Fatal error in test suite "QuantLib test suite" in QuantLib 0.9.6
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Fatal error in test suite "QuantLib test suite" in QuantLib 0.9.6
 
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I did not see this error being posted yet:
./optionletstripper.cpp(361): fatal error in "QuantLib::detail::quantlib_test_case(&OptionletStripperTest::testTermVolatilityStripping1)":
option tenor: 20Y strike: 4.000000 % stripped vol price: 8.178939 % constant vol price: 8.180508 % error: 0.001569 % tolerance: 0.001500 % I think the error was not present in QuantLib 0.9.5.
Regards,
Georgy ------------------------------------------------------------------------- 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: Fatal error in test suite "QuantLib test suite" in QuantLib 0.9.6
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On 24 August 2008 at 10:14, Georgy Jikia wrote: | I did not see this error being posted yet: | | ./optionletstripper.cpp(361): fatal error in | "QuantLib::detail::quantlib_test_case(&OptionletStripperTest::testTermVolatilityStripping1)": | | option tenor: 20Y | strike: 4.000000 % | stripped vol price: 8.178939 % | constant vol price: 8.180508 % | error: 0.001569 % | tolerance: 0.001500 % | | I think the error was not present in QuantLib 0.9.5. What platform / compiler / settings / ... ? For the Debian builds (which I do on x86 using gcc/g++, currently at upstream version 4.3.1), the standard 0.9.6 release also showed this (and similar "is past max curve time" messages in more places) : [...] Testing nested optimizations... Testing forward/forward vol stripping from flat term vol surface using optionletstripper1... Testing forward/forward vol stripping from non-flat term vol surface using optionletstripper1... Testing forward/forward vol stripping from flat term vol surface using optionletstripper2... unknown location(0): fatal error in "OptionletStripperTest::testFlatTermVolatilityStripping2": std::exception: time (10.0055) is past max curve time (10.0055) nthtodefault.cpp(296): last checkpoint Testing forward/forward vol stripping from non-flat term vol surface using optionletstripper2... unknown location(0): fatal error in "OptionletStripperTest::testTermVolatilityStripping2": std::exception: time (30.0192) is past max curve time (30.0192) nthtodefault.cpp(296): last checkpoint [...] whereas after applying a patch (see below) from Luigi [...] Testing nested optimizations... Testing forward/forward vol stripping from flat term vol surface using optionletstripper1... Testing forward/forward vol stripping from non-flat term vol surface using optionletstripper1... Testing forward/forward vol stripping from flat term vol surface using optionletstripper2... Testing forward/forward vol stripping from non-flat term vol surface using optionletstripper2... Testing 1-D path generation against cached values... [...] things are more peachy. The simple patch is below, see if that helps. Thanks as always to Luigi for a quick response when I reported that earlier in an off-list email, and thanks to you for reporting this too -- looks like it may be a more generally relevant issue. Cheers, Dirk --- quantlib-0.9.6.orig/ql/termstructure.cpp +++ quantlib-0.9.6/ql/termstructure.cpp @@ -18,6 +18,7 @@ */ #include <ql/termstructure.hpp> +#include <ql/math/comparison.hpp> namespace QuantLib { @@ -77,7 +78,7 @@ bool extrapolate) const { QL_REQUIRE(t >= 0.0, "negative time (" << t << ") given"); - QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(), + QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime() || close_enough(t, maxTime()), "time (" << t << ") is past max curve time (" << maxTime() << ")"); } -- Three out of two people have difficulties with fractions. ------------------------------------------------------------------------- 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: Fatal error in test suite "QuantLib test suite" in QuantLib 0.9.6
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On Sun, 2008-08-24 at 12:54 -0500, Dirk Eddelbuettel wrote:
> On 24 August 2008 at 10:14, Georgy Jikia wrote: > | I did not see this error being posted yet: > | > | ./optionletstripper.cpp(361): fatal error in > | "QuantLib::detail::quantlib_test_case(&OptionletStripperTest::testTermVolatilityStripping1)": > | > | option tenor: 20Y > | strike: 4.000000 % > | stripped vol price: 8.178939 % > | constant vol price: 8.180508 % > | error: 0.001569 % > | tolerance: 0.001500 % > | > | I think the error was not present in QuantLib 0.9.5. > > What platform / compiler / settings / ... ? > > For the Debian builds (which I do on x86 using gcc/g++, currently at upstream > version 4.3.1), the standard 0.9.6 release also showed this (and similar "is > past max curve time" messages in more places) : No, the "is past max curve time" messages are not related---they were some kind of compiler issue with Debian unstable which I haven't seen on other compilers. On the other hand, I did see the error reported by Georgy---on some dates (the test passed in the past weeks and started failing recently) the stripping error goes slightly above the tolerance set in the test. We'll have to see how the input accuracy is used and whether the tolerance is too small. Luigi -- Poets have been mysteriously silent on the subject of cheese. -- Gilbert K. Chesterton ------------------------------------------------------------------------- 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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