Errors in test suite

[Bianchetti Marco-2]

On the trunk using vc7 I get the following three errors in test suite:

Testing Joint Calibration of an Heston Equity Processincl. Stochastic
Interest Rates via a Hull-White Model...
./hybridhestonhullwhiteprocess.cpp(1418): error in
"HybridHestonHullWhiteProcessTest::testPseudoJointCalibration": Failed
to calibrate Heston Hull-White Model

Testing randomized lattice sequences, C up to dimension 30...
./lowdiscrepancysequences.cpp(156): error in
"LowDiscrepancyTest::testRandomizedLattices": Lattice generatorC returns
a mean of 0.49985 with standard deviation -4.12168 in dimension 7

Testing consistency of piecewise-spline forward-rate curve...
unknown location(0): fatal error in
"PiecewiseYieldCurveTest::testSplineForwardConsistency": std::exception:

 1st iteration: could not bootstrap the 17th instrument, maturity
November 8th, 2019
 error message: root not bracketed: f[2.22045e-016,3] ->
[-3.371568e-003,-6.562049e-002]
.\lowdiscrepancysequences.cpp(156): last checkpoint

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[Luigi Ballabio]

On Tue, 2007-11-06 at 09:45 +0100, Bianchetti Marco wrote:
> On the trunk using vc7 I get the following three errors in test suite:
>
> Testing Joint Calibration of an Heston Equity Processincl. Stochastic
> Interest Rates via a Hull-White Model...
> ./hybridhestonhullwhiteprocess.cpp(1418): error in
> "HybridHestonHullWhiteProcessTest::testPseudoJointCalibration": Failed
> to calibrate Heston Hull-White Model

It happens depending on the evaluation date. The sample data are not
very robust, I guess.  Klaus? Any further insight?


> Testing randomized lattice sequences, C up to dimension 30...
> ./lowdiscrepancysequences.cpp(156): error in
> "LowDiscrepancyTest::testRandomizedLattices": Lattice generatorC returns
> a mean of 0.49985 with standard deviation -4.12168 in dimension 7

Strange. Not for the value as such (the check is for <= 4, I think, so
it's not much far off) but for the negative sign.  Mark, are you
reading? Can you look into this?


> Testing consistency of piecewise-spline forward-rate curve...
> unknown location(0): fatal error in
> "PiecewiseYieldCurveTest::testSplineForwardConsistency": std::exception:
>
>  1st iteration: could not bootstrap the 17th instrument, maturity
> November 8th, 2019
>  error message: root not bracketed: f[2.22045e-016,3] ->
> [-3.371568e-003,-6.562049e-002]
> .\lowdiscrepancysequences.cpp(156): last checkpoint

This never worked as far as I know---the test case was not enabled in
last release.  Nando? Are you working on splines? How's it going?

Luigi


--

All generalizations are false, including this one.
-- Mark Twain



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[Ferdinando M. Ametrano-3]

On Nov 6, 2007 11:26 AM, Luigi Ballabio <[hidden email]> wrote:

> > Testing consistency of piecewise-spline forward-rate curve...
> > unknown location(0): fatal error in
> > "PiecewiseYieldCurveTest::testSplineForwardConsistency": std::exception:
> >
> >  1st iteration: could not bootstrap the 17th instrument, maturity
> > November 8th, 2019
> >  error message: root not bracketed: f[2.22045e-016,3] ->
> > [-3.371568e-003,-6.562049e-002]
> > .\lowdiscrepancysequences.cpp(156): last checkpoint
>
> This never worked as far as I know---the test case was not enabled in
> last release.  Nando? Are you working on splines? How's it going?

you're right, that never worked. I commented the test in since I am
working on splines and wanted to perform it. Unfortunately the
conclusion of my work so far is that splines do not go well with
instantaneous forward rate bootstrapping.
The test will probably just commented out in next release...

ciao -- nando

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