Re: HestonDAXCalibration with dividends

Hi Klaus,
Thank you very much. I totally missed the mismatch in sizes of dates and
dividends.

Thanks again.

Klaus Spanderen-2 wrote:
> 
> Hi,
> 
> please change it into 
> 
>  vector<Real> dividends;
>  dividends.push_back(0,1);
> 
>  for (i = 0; i < 8; ++i) {
>          dates.push_back(settlementDate + t[i]);
>          rates.push_back(r[i]);
>          dividends.push_back(0.1);
>  }
> 
> In addition I'd recommend to add a "global" try-catch block for QuantLib 
> exceptions around your program. E. g. then you get the correct error
> message 
> 
>    std::exception: dates/yields count mismatch
> 
> for your original program.
> 
> hope that helps
>  Klaus
> 
> On Tuesday 08 July 2008 19:10:03 cc2008 wrote:
>> Hi,
>>  I've modified parts of the test-suite/hestonmodel.cpp to incorporate
>> dividends. Specifically, I've changed the testDAXCalibration method to
>> include some descrete divident values (paid at the same dates in the
>> program) as follows (full source code attached):
>>
>> vector<Real> dividends;
>>
>> for (i = 0; i < 8; ++i) {
>>
>>         dates.push_back(settlementDate + t[i]);
>>
>>         rates.push_back(r[i]);
>>
>>         dividends.push_back(0.1);
>>
>> }
>>
>>
>>  Handle<YieldTermStructure> dividendTS(
>>   			    boost::shared_ptr<YieldTermStructure>(
>>   			    new ZeroCurve(dates, dividends, dayCounter)));
>>
>>
>> When I run the program, it aborts. On Linux, I get the following trace
>> using gdb.
>> Continuing.
>> Testing Heston model calibration using DAX volatility data...
>>
>> Program received signal SIGABRT, Aborted.
>> 0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6
>> (gdb) where
>> #0  0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6
>> #1  0x0000002a96440abf in abort () from /lib64/tls/libc.so.6
>> #2  0x0000002a9606fca6 in __cxxabiv1::__terminate ()
>>    from /usr/lib64/libstdc++.so.5
>> #3  0x0000002a9606fcd3 in std::terminate () from
>> /usr/lib64/libstdc++.so.5
>> #4  0x0000002a9606fdc3 in __cxa_throw () from /usr/lib64/libstdc++.so.5
>> #5  0x0000000000489b6e in InterpolatedZeroCurve (this=<value optimized
>> out>, dates=<value optimized out>, yields=<value optimized out>,
>>     dayCounter=<value optimized out>, interpolator=<value optimized out>)
>>     at /QuantLib-0.8.1/ql/termstructures/yieldcurves/zerocurve.hpp:150
>> #6  0x000000000043d370 in main (argc=<value optimized out>,
>>     argv=<value optimized out>) at HestonDAXCalibration.cpp:73
>>
>>
>> Could someone point out what I'm doing wrong. Thank you very much.
>>
>>
>> http://www.nabble.com/file/p18343830/HestonDAXCalibration.cpp
>> HestonDAXCalibration.cpp
> 
> 
> 
> -- 
> Klaus Spanderen
> Ludwig Erhard Str. 12
> 48734 Reken (Germany)
> EMail: klaus <at> NOSPAMspanderen.de (remove NOSPAM from the address)
> 
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