Implementing an optionlet stripper

Posted by on
URL: http://quantlib.414.s1.nabble.com/Implementing-an-optionlet-stripper-tp9072.html

Hello,

I am implementing an optionlet stripper as described below

//  START CODE

boost::shared_ptr<CapFloorTermVolSurface> capfloorVolSurf;
capfloorVolSurf = boost::shared_ptr<CapFloorTermVolSurface>(new
CapFloorTermVolSurface(0, iCal, iRollConv, iOptionTenors, iStrikes, iSigmas,
iDayCount));

// Underlying Libor index (Euribor 6-Months)
boost::shared_ptr<IborIndex> iborIndex(new Euribor6M(yieldTermStructure));

boost::shared_ptr<OptionletStripper> capletStripper1(new OptionletStripper1
(capfloorVolSurf,iborIndex,Null<Rate>(),0.00000001));
boost::shared_ptr<StrippedOptionletAdapter> capletStrippedAdapt = boost::
shared_ptr<StrippedOptionletAdapter>(new StrippedOptionletAdapter
(capletStripper1));
Date maximdate=capletStrippedAdapt->maxDate();

// END CODE

all input data look ok but when I go to use the capletStripperAdapt pointer my
system crash and debugging it the problem is in the file sp_counter_base_w32.
hpp line 100 (boost lib) with the following exception:

Unhandled exception at 0x05673360, access violation writing location
0xffff6234

Any clue?
Thanks in advance,
Paolo

------------------------------------------------------------------------------
This SF.net email is sponsored by

Make an app they can't live without
Enter the BlackBerry Developer Challenge
http://p.sf.net/sfu/RIM-dev2dev 
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev