public void testAccessViolation()
{
// Testing dynamic cast of coupon in Black pricer...
SavedSettings backup = new SavedSettings();
Date todaysDate = new Date(7, Month.April, 2010);
Date settlementDate = new Date(9, Month.April, 2010);
Settings.setEvaluationDate(todaysDate);
Calendar calendar = new TARGET();
Handle<YieldTermStructure> rhTermStructure = new Handle<YieldTermStructure>(
Utilities.flatRate(settlementDate, 0.04875825, new Actual365Fixed()));
double volatility = 0.10;
Handle<OptionletVolatilityStructure> vol= new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(2,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
IborIndex index3m =new USDLibor(new Period(3,TimeUnit.Months), rhTermStructure);
Date payDate = new Date(20, Month.December, 2013);
Date startDate = new Date(20, Month.September, 2013);
Date endDate = new Date(20, Month.December, 2013);
double spread = 0.0115;
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
FloatingRateCoupon coupon = new FloatingRateCoupon(100,payDate, startDate, endDate, 2,
index3m, 1.0 , spread / 100);
coupon.setPricer(pricer);
try
{
// this caused an access violation in version 1.0
coupon.amount();
}
catch (Exception )
{
// ok; proper exception thrown
}
}
public override void setPricer(FloatingRateCouponPricer pricer)
{
base.setPricer(pricer);
underlying_.setPricer(pricer);
}
public void visit(FloatingRateCoupon c)
{
c.setPricer(pricer_);
}