Negative Rates - Failed tests for PiecewiseYieldCurve
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Negative Rates - Failed tests for PiecewiseYieldCurve
 
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Hi,
I'm building QL 1.1 with QL_NEGATIVE_RATES enabled in the userconfig.hpp file and receive the following failure when running the test suite. The same error occurred on two builds on two machines. Both machines are x64 Win7 machines, using VS2010. The builds are 32 bit though.
The following is a snippet from the build output. ===================== Testing consistency of piecewise-log-linear discount curve... Testing consistency of piecewise-linear discount curve...
Testing consistency of piecewise-log-linear zero-yield curve... unknown location(0): fatal error in "QuantLib::detail::quantlib_test_case(&PiecewiseYieldCurveTest::testLogLinearZeroConsistency)": std::exception: 1st iteration: failed at 1st alive instrument, maturity June 25th, 2012, reference date June 18th, 2012: invalid value (-3) at index 0
c:\code\quantlib\quantlib-1.1\quantlib-1.1\test-suite\utilities.hpp(78): last checkpoint Testing consistency of piecewise-linear zero-yield curve... Testing consistency of piecewise-cubic zero-yield curve...
Testing consistency of piecewise-linear forward-rate curve... Testing consistency of piecewise-flat forward-rate curve... Testing consistency of convex monotone forward-rate curve......
... ... Tests completed in 19 m 56 s Test suite "Master Test Suite" failed with: 1703 assertions out of 1704 passed
1 assertion out of 1704 failed 459 test cases out of 460 passed 1 test case out of 460 failed 1 test case out of 460 aborted ======================
I have seen 2 previous issues remotely similar to this, so there is not much in terms of what the solution could be. Please assist. Regards, Ahmad Mahomed ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Negative Rates - Failed tests for PiecewiseYieldCurve
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Hi Ahmad,
apologies for the late reply. That test uses log-linear interpolation of rates, which of course breaks for negative rates due to the logarithm. The test case should just be disabled when negative rates are allowed. You can ignore the failure. Luigi On Thu, Jun 14, 2012 at 11:31 AM, Ahmad Mahomed <[hidden email]> wrote: > Hi, > > I'm building QL 1.1 with QL_NEGATIVE_RATES enabled in the userconfig.hpp > file and receive the following failure when running the test suite. The same > error occurred on two builds on two machines. Both machines are x64 Win7 > machines, using VS2010. The builds are 32 bit though. > > The following is a snippet from the build output. > > ===================== > Testing consistency of piecewise-log-linear discount curve... > Testing consistency of piecewise-linear discount curve... > Testing consistency of piecewise-log-linear zero-yield curve... > unknown location(0): fatal error in > "QuantLib::detail::quantlib_test_case(&PiecewiseYieldCurveTest::testLogLinearZeroConsistency)": > std::exception: 1st iteration: failed at 1st alive instrument, maturity June > 25th, 2012, reference date June 18th, 2012: invalid value (-3) at index 0 > > c:\code\quantlib\quantlib-1.1\quantlib-1.1\test-suite\utilities.hpp(78): > last checkpoint > Testing consistency of piecewise-linear zero-yield curve... > Testing consistency of piecewise-cubic zero-yield curve... > Testing consistency of piecewise-linear forward-rate curve... > Testing consistency of piecewise-flat forward-rate curve... > Testing consistency of convex monotone forward-rate curve...... > ... > ... > > Tests completed in 19 m 56 s > > Test suite "Master Test Suite" failed with: > 1703 assertions out of 1704 passed > 1 assertion out of 1704 failed > 459 test cases out of 460 passed > 1 test case out of 460 failed > 1 test case out of 460 aborted > ====================== > > I have seen 2 previous issues remotely similar to this, so there is not much > in terms of what the solution could be. Please assist. > > Regards, > > -- > Ahmad Mahomed > > ------------------------------------------------------------------------------ > Live Security Virtual Conference > Exclusive live event will cover all the ways today's security and > threat landscape has changed and how IT managers can respond. Discussions > will include endpoint security, mobile security and the latest in malware > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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