Posted by
gbogaert on
URL: http://quantlib.414.s1.nabble.com/Fixed-bond-Empty-Handle-cannot-be-dereferenced-tp7595p7597.html
Dear All,
I got a question concerning the spread curve. I built at first a zero
curve. Then I wanted to add a spread to this curve. My aim was to add a
flat spread curve to pull up the previous zero curve. To do so, I built
a spread vector with a value of 0.01684 and a date vector with the same
dates than my bond schedule.
I checked the rates [depoSwapTermStructureSpreaded->zeroRate(sch.at(i))]
for the same dates than the schedule dates. I compared these spreads to
the risk free curve and I deducted a spread of 0.0175-0.0176. Should I
not receive a spread of 0.01684? What did I do wrong?
Thank you in advance for your help.
Best regards,
Gilles
----------
Here it is the code:
Rate MySpreadQuote = 0.01684;
boost::shared_ptr<Quote> MySpreadRate (new SimpleQuote
(MySpreadQuote));
boost::shared_ptr<YieldTermStructure> depoSwapTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate,
depoSwapInstruments,
termStructureDayCounter,
std::vector<Handle<Quote> >(),
std::vector<Date>(),
tolerance));
RelinkableHandle<YieldTermStructure> discountingTermStructure;
discountingTermStructure.linkTo(depoSwapTermStructure);
RelinkableHandle<YieldTermStructure> MyHandle;
MyHandle.linkTo(depoSwapTermStructure);
std::vector<Handle<Quote> > MySpreadRateVector(sch.size());
std::vector<Date> mydates(sch.size());
/* (...) I fed my dates vector and spreads vector (...) */
for (int i=0; i < sch.size(); i++)
{
MySpreadRateVector[i] = Handle<Quote>(MySpreadRate);
mydates[i]=sch.at(i);
}
boost::shared_ptr<YieldTermStructure>
depoSwapTermStructureSpreaded(
new
PiecewiseZeroSpreadedTermStructure(
MyHandle,MySpreadRateVector,mydates));
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