CDO test failure
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Hi all
the CDO unit test fails with VC8 and VC9. Any idea why and how to fix it? Please find below the relevant report. ciao -- Nando ================== ------ Build started: Project: testsuite, Configuration: Release Win32 ------ Auto run test ================================== Testing QuantLib-vc90-mt-0_9_7.lib ================================== Running 385 test cases... Platform: Win32 Compiler: Microsoft Visual C++ version 9.0 STL : Dinkumware standard library version 503 Boost : 1.35.0 Testing Barone-Adesi and Whaley approximation for American options... [...] Testing CDO premiums against Hull-White values... correlation attach - detach expected : found1 found2 ... -------------------------------------------------------- unknown location(0): fatal error in "CdoTest::testHW": Invalid parameter detected by C runtime library .\cdo.cpp(69): last checkpoint Testing Cliquet option values... [...] Testing caplet LMM Monte-Carlo caplet pricing... Tests completed in 31 m 18 s Test suite "Master Test Suite" failed with: 440 assertions out of 441 passed 1 assertion out of 441 failed 384 test cases out of 385 passed 1 test case out of 385 failed 1 test case out of 385 aborted Build log was saved at "file://c:\Projects\trunk\QuantLib\test-suite\build\vc90\Release\BuildLog.htm" testsuite - 1 error(s), 0 warning(s) ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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On Thu, 2008-10-16 at 12:20 +0200, Ferdinando Ametrano wrote:
> the CDO unit test fails with VC8 and VC9. Any idea why and how to fix > it? Please find below the relevant report. > > -------------------------------------------------------- > unknown location(0): fatal error in "CdoTest::testHW": Invalid > parameter detected by C runtime library No idea. I know you don't have time to go and debug it, but do you have a spare machine where you can compile and run the test case in debug mode? The message from the debug build might be more informative. Luigi -- Testing can never demonstrate the absence of errors in software, only their presence. -- W.E. Dijkstra ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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In reply to this post by Ferdinando M. Ametrano-3
Hi Nando,
Nice to see the credit stuff is getting in there at last. You may wish to add the line results_.expectedTrancheLoss.resize(dates.size(), 0.0); in syntheticcdoengines.cpp, line 184. Rgds, Chris -----Original Message----- From: Ferdinando Ametrano [mailto:[hidden email]] Sent: 16 October 2008 11:20 To: QuantLib developers Cc: Roland Lichters Subject: [Quantlib-dev] CDO test failure Hi all the CDO unit test fails with VC8 and VC9. Any idea why and how to fix it? Please find below the relevant report. ciao -- Nando ================== ------ Build started: Project: testsuite, Configuration: Release Win32 ------ Auto run test ================================== Testing QuantLib-vc90-mt-0_9_7.lib ================================== Running 385 test cases... Platform: Win32 Compiler: Microsoft Visual C++ version 9.0 STL : Dinkumware standard library version 503 Boost : 1.35.0 Testing Barone-Adesi and Whaley approximation for American options... [...] Testing CDO premiums against Hull-White values... correlation attach - detach expected : found1 found2 ... -------------------------------------------------------- unknown location(0): fatal error in "CdoTest::testHW": Invalid parameter detected by C runtime library .\cdo.cpp(69): last checkpoint Testing Cliquet option values... [...] Testing caplet LMM Monte-Carlo caplet pricing... Tests completed in 31 m 18 s Test suite "Master Test Suite" failed with: 440 assertions out of 441 passed 1 assertion out of 441 failed 384 test cases out of 385 passed 1 test case out of 385 failed 1 test case out of 385 aborted Build log was saved at "file://c:\Projects\trunk\QuantLib\test-suite\build\vc90\Release\BuildLo g.htm" testsuite - 1 error(s), 0 warning(s) ------------------------------------------------------------------------ - This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev Solent Capital Partners LLP 30 Charles II Street London SW1Y 4AE Tel: +44 (0) 20 7451 0823 Fax: +44 (0) 20 7024 4881 Mob: +44 (0)7811 938 989 mailto:[hidden email] http://www.solentcapital.com/ Solent Capital Partners LLP is authorised and regulated by the Financial Services Authority, registered address 20-22 Bedford Row, London WC1R 4JS, Company No. OC304664. The investment products and services of Solent Capital Partners LLP are only available to Professional Clients and Eligible Counterparties. They are not available to Retail Clients. This document does not constitute an offer to buy or sell shares in the funds managed by Solent Capital Partners LLP. The prospectuses of the funds are the only authorised documents for offering of shares of the funds. The prospectuses may only be distributed in accordance with the laws and regulations of each appropriate jurisdiction in which any potential investor resides. Investors are also reminded that past performance should not be seen as an indication of future performance and that they might not get back the amount that they originally invested. Investors in the UK are reminded that they will not benefit from the UK investors compensation scheme. Investment in the funds carries risks, which are more fully described in the prospectuses. The funds are only suitable for sophisticated investors who are aware of the risks of investing in hedge funds. ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: CDO test failure
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In reply to this post by Luigi Ballabio
On Thu, Oct 16, 2008 at 12:52 PM, Luigi Ballabio
<[hidden email]> wrote: > do you have a spare machine where you can compile and run the test > case in debug mode? The message from the debug build might be > more informative. here it is: > unknown location(0): fatal error in "CdoTest::testHW": c:\programs\microsoft > visual studio 9.0\vc\include\vector(779) : Assertion failed: vector subscript out > of range c:\projects\trunk\quantlib\test-suite\cdo.cpp(69): last checkpoint ciao -- Nando ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: CDO test failure
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In reply to this post by Chris Leigh-2
Hi Chris
> You may wish to add the line > results_.expectedTrancheLoss.resize(dates.size(), 0.0); > in syntheticcdoengines.cpp, line 184. you're right, thank you for pointing this out. Anyway it's not enough yet. Checking on my spare machine in my spare time... ciao -- Nando ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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