Keeping QuantLib Interpolation Data Alive in C++

Summary

The document describes a C++ lifetime problem when returning a QuantLib linear interpolation object from a function. The example constructs the interpolator using iterators into local vectors of time points and values. Those vectors are destroyed when the function returns, while the returned interpolator still refers to their ranges; using it afterward can trigger an iterator bounds assertion.

The accepted explanation is that LinearInterpolation does not copy the input ranges. The vectors must remain alive for as long as the interpolator is used, so a reusable callable should own the vectors alongside the interpolation object. This resolves the apparent conflict between wanting to construct the interpolation once and wanting to call it repeatedly. The example concerns object lifetime and data ownership in QuantLib’s C++ interface; it does not give a complete function-object implementation or discuss other interpolation types, so users should check the relevant API’s ownership requirements.

Key ideas

• QuantLib's LinearInterpolation retains references to iterator ranges rather than copying the input vectors.
• Returning an interpolator built from local vectors leaves it referring to data whose lifetime has ended.
• A reusable callable can keep the vectors alive by storing them with the interpolation object.
• The example illustrates a C++ lifetime issue and does not establish ownership behavior for every QuantLib interpolation class.

Tags

# Quantlib interpolation question


# Quantlib interpolation question












I am trying to use QuantLib to create some curves, but I am finding this error I do not really know how to get around. Say for simplicity this is the example:

```
#include<iostream>
#include <ql/quantlib.hpp>
using namespace QuantLib;
LinearInterpolation e() {
    std::vector<Time> x = { 0,1 }; 
    std::vector<Real> y = { 0,2 };
    return LinearInterpolation(x.begin(), x.end(), y.begin());
}

int main()
{
    LinearInterpolation c = e();
    std::cout << c(0.5) << std::endl;
    system("pause");
    return 0;
}
```

But it gives me an error: "Debug assertion failed. Vector iterator + offset out of range."

I can get around it if I change the code to:

```
Real e(Real t) {
    std::vector<Time> x = { 0,1 }; 
    std::vector<Real> y = { 0,2 };
    LinearInterpolation c(x.begin(), x.end(), y.begin());
    return c(t);
}

int main()
{
    std::cout << e(0.5) << std::endl;
    system("pause");
    return 0;
}
```

but I would like to use the function multiple times, so that would perform the interpolation multiple times (and hence not so efficient). I was wondering if there is a way to return a Real operator I can use throughout only doing the interpolation once.

## Answer by Luigi Ballabio (score 1, accepted)

https://quant.stackexchange.com/a/39467

The `LinearInterpolation` class doesn't copy the x and y ranges. You have to make sure that the vectors stay alive as long as you're using them. Instead of a function, you can code a small function object that stores the vectors.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.