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Re: Fwd: Error dereferencing handle (for fixings in an index)

Posted by rohan talwar on Jun 13, 2012; 11:22am
URL: http://quantlib.414.s1.nabble.com/Fwd-Error-dereferencing-handle-for-fixings-in-an-index-tp8274p8276.html

Thanks for the swift response - I don't but file at work - I pretty much copy the implementation of the FRN example .

Perhaps I am constructing the index (Ibor) incorrectly. If this is most likely issue I will go back and review the model. If I still have issue I will send worksheet (file at work presently).

What are the suitable term structures one can feed in, given we need to extract forward libor settings for the frn with fixed spread, and perhaps where the market spread has moved (i.e. NPV not = par).

Are there known issues with sending in a time series into the "=qlIndexAddFixings2()" xl call?

Cheers, Rohan




From: Luigi Ballabio <[hidden email]>
To: Rohan TALWAR <[hidden email]>
Cc: quantlib-users <[hidden email]>
Sent: Wednesday, 13 June 2012, 20:13
Subject: Re: [Quantlib-users] Fwd: Error dereferencing handle (for fixings in an index)

If your error is that a null handle is dereferenced, then past fixings
are not involved.
You're probably missing the term structure needed to forecast future
fixings.  Do you pass a yield term-structure handle to the index when
you build it?  Do you link it to an actual term structure before
calculating the NPV?

Luigi


On Wed, Jun 13, 2012 at 11:49 AM, Rohan TALWAR <[hidden email]> wrote:

> Hi
>
> I have tried to trace back the error dereferencing the handle problem but it
> seems to relate to code examples not QL XL.
> I am trying to put a worksheet together to calc an FRN and the fixings are
> added to an index as a time series. However, when trying to get the accruals
> and also NPV which needs the set leg it seems, it falls over. I can send the
> worksheet if required (it's a bit messy).
> I've looked at the examples, but these don't relate to where you have a
> series of fixings, only if you ad an individual fixing.
>
> Any ideas would be greatly appreciated.
>
>
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