Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/ATM-cap-volatility-curve-construction-tp8717p8718.html
On Fri, 2010-08-13 at 09:16 +0200,
[hidden email] wrote:
> I am creating a cap volatility curve (see the code below).
> I have created correctly the yield term structure, the vector
> atmVolatilityHandle (see the code) is well constructed (I used a cout in each
> for step and the iATMVol used are well defined), but when I go to create the
> capfloorATMVolCurve the following exception raise:
> "not enough points to interpolate: at least 2 required, 0 provided"
Can you send a self-contained example we can try to run?
Thanks,
Luigi
--
No, I'm not interested in developing a powerful brain. All I'm after
is just a mediocre brain, something like the president of American
Telephone and Telegraph Company.
-- Alan Turing on the possibilities of a thinking machine, 1943.
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