Re: C# Error when trying to price instrument 'System.ApplicationException : 2nd leg: empty Handle cannot be dereferenced'

Posted by Ahmad Mahomed on
URL: http://quantlib.414.s1.nabble.com/C-Error-when-trying-to-price-instrument-System-ApplicationException-2nd-leg-empty-Handle-cannot-be-d-tp8585p8586.html

OK some, further investigating lead me to believe the following:

1) The actual error is being thrown from the `discountingswapengine.cpp` calculate routine specifically around these lines. The fact that the error is showing 2nd leg implies to me that the loop fails at the second iteration (there should be only two loops since there are only two legs). The only code here that deals with Handles and pointers  from what I gather relate to  the 'discountCurve_'. I am not too familiar with C++ but my guess is that the offending piece of code is this statement: '**discountCurve_'. which deals with dereferencing a pointer. I also noted that the Handle class has overridden the '*' operator, so the net effect of this statement is unknown to me. So my guess is that somehow the reference to the  discountcurve pointer is being lost...or the error is within the CashFlows.

   for (Size i=0; i<arguments_.legs.size(); ++i) {

            try {

                results_.legNPV[i] = arguments_.payer[i] *

                    CashFlows::npv(arguments_.legs[i],

                                   **discountCurve_,

                                   includeRefDateFlows,

                                   settlementDate,

                                   results_.valuationDate);

                results_.legBPS[i] = arguments_.payer[i] *

                    CashFlows::bps(arguments_.legs[i],

                                   **discountCurve_,

                                   includeRefDateFlows,

                                   settlementDate,

                                   results_.valuationDate);

            } catch (std::exception &e) {

                QL_FAIL(io::ordinal(i+1) << " leg: " << e.what());

            }

            results_.value += results_.legNPV[i];

            try {

                Date d = CashFlows::startDate(arguments_.legs[i]);

                startDiscounts[i] = discountCurve_->discount(d);

            } catch (...) {

                startDiscounts[i] = Null<DiscountFactor>();

            }

}

On 25 October 2010 11:24, Ahmad Mahomed <[hidden email]> wrote:

Hi,

I am receiving the following error when trying to price a 20x10 swap from a bootstrapped curve.

"SwapRatesServiceTests.ImpliedRate_ForTwenty_x_TenYearSwap_ReturnsRate: System.ApplicationException : 2nd leg: empty Handle cannot be dereferenced"

I don't have the faintest idea where to start to debug this issue. Any assistance will be highly appreciated.

IMPORTANT: I am using the C# Swig version of Quantlib, so my actual prod code is as follows based on the swapvaluation.cpp example:

The test method:

        [Test]

        public void ImpliedRate_ForTwenty_x_TenYearSwap_ReturnsRate() 

        {

            //Arrange

            var startingDate = new Date(10,Month.October,2030); // starting date of 20x10yr swap

            var length= 10;

            repo.Setup(r => r.Read(It.IsAny<string>())).Returns(LoadSwapPoints()); // LoadSwapPoints returns IEnumerable<RateHelpers>

            //Act

            service.ConstructSwapPoints(SettlementDate);

            var instrumentRate = service.ImpliedRate(startingDate, length);

            //Assert

            Assert.That(instrumentRate, Is.Not.Null); // this must change to a value test

        }

This is part of the larger ConstructSwapPoints method

            var depoFRASwapInstruments = PointVector; // RateHelperVector populated with RateHelpers

            DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.Actual365);

            QuoteHandleVector quotes = new QuoteHandleVector();

            DateVector quoteDates = new DateVector();

            py = CreatePiecewiseLinearCurve(settlementDate, depoFRASwapInstruments, termStructureDayCounter, quotes, quoteDates);

            DiscountingTermStructure = new RelinkableYieldTermStructureHandle(py); //RelinkableYieldTermStructureHandle

            //DiscountingTermStructure.linkTo(py); // alternate way

            PricingEngine = new DiscountingSwapEngine(DiscountingTermStructure); // DiscountingSwapEngine           

With the ImpliedRate method as follows (i have snipped some parts out due to IP restrictions);

 

        public double ImpliedRate(Date startingDate, int length)

        {

            

            var swapMaturityDate = startingDate.Add(new Period(length, TimeUnit.Years));

            var curveMaturityDate = py.maxDate();

 

            Schedule fixedSchedule = new Schedule(startingDate, swapMaturityDate, new Period(Frequency.Quarterly), SouthAfricanCalender, Convention, Convention, DateGeneration.Rule.Forward, false);

            Schedule floatSchedule = new Schedule(startingDate, swapMaturityDate, new Period(Frequency.Quarterly), SouthAfricanCalender, Convention, Convention, DateGeneration.Rule.Forward, false);

            VanillaSwap impliedSwap = new VanillaSwap(

                _VanillaSwap.Type.Payer, 

                10000000.0, 

                fixedSchedule, 

                0.1, 

                Actual365FixedDayCounter, 

                floatSchedule, 

                new Jibar(new Period(Frequency.Quarterly)), 

                0, 

                Actual365FixedDayCounter);

            impliedSwap.setPricingEngine(PricingEngine);

            return impliedSwap.fairRate();

        }

I hope my terminology is correct as the finance jargon is still new to me.

--
Ahmad Mahomed

--
Ahmad Mahomed

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