Preliminary 0.9.0 tarballs

[Luigi Ballabio]

Hi all,
        preliminary tarballs for the 0.9.0 release are available at
<http://quantlib.org/prerelease/>. If you have some spare cycles on your
box, please try them out and let me know if there are any problems. (I'm
especially interested in how they fare in the Cygwin and/or MinGW
shells, as I can't check those platforms myself.)

Thanks,
        Luigi


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[Knox, Matt]

>> I'm especially interested in how they fare in the Cygwin and/or MinGW
>> shells, as I can't check those platforms myself.

On my vista machine here at home with MinGW and msys, it seems to compile ok... although I get this error at the end when I do "make install"

....
make  install-exec-hook
make[4]: Entering directory `/home/QuantLib-0.9.0/ql'
mv /usr/local/lib/libQuantLib.a /usr/local/lib/libQuantLib-0.9.0.a
cp -p libQuantLib-0.9.0.a /usr/local/lib/libQuantLib.a
cp: cannot stat `libQuantLib-0.9.0.a': No such file or directory
make[4]: *** [install-exec-hook] Error 1
make[4]: Leaving directory `/home/QuantLib-0.9.0/ql'
make[3]: *** [install-exec-am] Error 2
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql'
make[2]: *** [install-am] Error 2
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql'
make[1]: *** [install-recursive] Error 1
make[1]: Leaving directory `/home/QuantLib-0.9.0/ql'
make: *** [install-recursive] Error 1
....

I assume I can just manually rename libQuantLib-0.9.0.a to libQuantLib.a and then things will be ok... but not sure why this error is happening. Also, are their any instructions anywhere on how to run the test suite? or could someone provide me with some instructions on doing that? Thanks,

- Matt

[Luigi Ballabio]

On Wed, 2007-11-28 at 07:55 -0800, mattknox_ca wrote:
> >> I'm especially interested in how they fare in the Cygwin and/or MinGW
> >> shells, as I can't check those platforms myself.
>
> On my vista machine here at home with MinGW and msys, it seems to compile
> ok... although I get this error at the end when I do "make install"

I'll look into it, thanks.

> Also,
> are their any instructions anywhere on how to run the test suite?

Just run 'make check'.

Later,
        Luigi


--

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When confronted by a difficult problem, you can solve it more
easily by reducing it to the question, "How would the Lone
Ranger have handled this?"



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[Knox, Matt]

>> Just run 'make check'.

don't see any errors when doing this... but I'm not sure if it actually did anything. Here is the output I get...

Making check in config
make[1]: Entering directory `/home/QuantLib-0.9.0/config'
make[1]: Nothing to be done for `check'.
make[1]: Leaving directory `/home/QuantLib-0.9.0/config'
Making check in ql
make[1]: Entering directory `/home/QuantLib-0.9.0/ql'
Making check in cashflows
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/cashflows'
make[2]: Nothing to be done for `check'.
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/cashflows'
Making check in currencies
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/currencies'
make[2]: Nothing to be done for `check'.
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/currencies'
Making check in experimental
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/experimental'
make[2]: Nothing to be done for `check'.
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/experimental'
Making check in indexes
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/indexes'
Making check in ibor
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/indexes/ibor'
make[3]: Nothing to be done for `check'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes/ibor'
Making check in inflation
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/indexes/inflation'
make[3]: Nothing to be done for `check'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes/inflation'
Making check in swap
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/indexes/swap'
make[3]: Nothing to be done for `check'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes/swap'
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/indexes'
make[3]: Nothing to be done for `check-am'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes'
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes'
Making check in instruments
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/instruments'
Making check in bonds
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/instruments/bonds'
make[3]: Nothing to be done for `check'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/instruments/bonds'
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/instruments'
make[3]: Nothing to be done for `check-am'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/instruments'
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/instruments'
Making check in legacy
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/legacy'
Making check in libormarketmodels
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/legacy/libormarketmodels'

and so on...

is that what it is supposed to do? or is there something I don't have setup completely? If it isn't obvious  yet, I don't really know a whole lot about make files and test suites :)

- Matt

[Luigi Ballabio]

On Wed, 2007-11-28 at 08:21 -0800, mattknox_ca wrote:
> >> Just run 'make check'.
>
> don't see any errors when doing this... but I'm not sure if it actually did
> anything.

Please run ./configure again and check the output. Does it find the
Boost unit-test framework?

Luigi


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[Knox, Matt]

>> Please run ./configure again and check the output. Does it find the
>> Boost unit-test framework?

No, it does not. I've tried a few things to get msys to detect it (I built the boost unit test framework when I installed and configured boost and that seemed to worked), but no luck. To build QuantLib with msys, I do the following:

 * copy the boost include files into C:\msys\1.0\local\include   (these get detected properly when building QuantLib)
 * in msys, type: export CPPFLAGS="-I/local/include"
 * in msys, type "configure"
 * in msys, type "make"
 * in msys, type "make install"

that all works fine (aside from the small problem with the "install" step mentioned earlier)

So to try and get it to detect the unit test framework, I copied the compiled boost_unit_test_framework files into C:\msys\1.0\local\lib and then instead typed: export CPPFLAGS="-I/local/include -L/local/lib" , hoping that the configure script would detect the unit test framework then. But unfortunately it still does not. Perhaps what I am doing is completely naive, I'm not really sure.

- Matt

[Dirk Eddelbuettel]

The 0.9.0 builds fine on Debian, and I just uploaded it to Debian
'unstable'. Build logs, incl full regression tests, will soon appear at the
bottom of
        http://buildd.debian.org/build.php?pkg=quantlib

Sticking with an old pattern :-), I once more attach a new manual page for
the new FittedBondCurve binary.  Could someone look it over please, and
integrate it into man/ and its Makefile.am etc ?  

Thanks, Dirk



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[Dirk Eddelbuettel]

On 28 November 2007 at 18:40, Dirk Eddelbuettel wrote:
|
| The 0.9.0 builds fine on Debian, and I just uploaded it to Debian
| 'unstable'. Build logs, incl full regression tests, will soon appear at the
| bottom of
| http://buildd.debian.org/build.php?pkg=quantlib

Small correction -- I forgot that the build implies a so-called 'new' package
libquantlib-0.9.0 which means that the ftpmasters need to hand-approve this
first.  Then the builds will roll in.

Dirk

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[Luigi Ballabio]

On Wed, 2007-11-28 at 11:34 -0800, mattknox_ca wrote:
> So to try and get it to detect the unit test framework, I copied the
> compiled boost_unit_test_framework files into C:\msys\1.0\local\lib and then
> instead typed: export CPPFLAGS="-I/local/include -L/local/lib" , hoping that
> the configure script would detect the unit test framework then. But
> unfortunately it still does not. Perhaps what I am doing is completely
> naive, I'm not really sure.

That would be:

export CPPFLAGS="-I/local/include"
export LDFLAGS="-L/local/lib"

since the latter is needed by the linker, not the compiler.

However, there's a couple of switches in configure you can use instead
of environment variables---try running

./configure --with-boost-include=/local/include --with-boost-lib=/local/lib

instead. It has a few advantages over environment variables.

Luigi


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by stupidity.



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[Luigi Ballabio]

On Wed, 2007-11-28 at 18:40 -0600, Dirk Eddelbuettel wrote:
> Sticking with an old pattern :-), I once more attach a new manual page for
> the new FittedBondCurve binary.  Could someone look it over please, and
> integrate it into man/ and its Makefile.am etc ?  

Done, thanks.

Luigi


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[Marco Marchioro]

Hi all,
I have successfully compiled the 0.9.0 tarball on cygwin under gcc.
All the tests are ok(other than the one that does not compile under  
gcc 3.4.4)

Marco

+-------------------------------------------------------+
| Marco Marchioro, Ph. D., Head of Quantitative Finance |
|                    www.statpro.com                    |
+-------------------------------------------------------+


On Tuesday, 2007-11-27 , at 16:06 , Luigi Ballabio wrote:

>
> Hi all,
> preliminary tarballs for the 0.9.0 release are available at
> <http://quantlib.org/prerelease/>. If you have some spare cycles on  
> your
> box, please try them out and let me know if there are any problems.  
> (I'm
> especially interested in how they fare in the Cygwin and/or MinGW
> shells, as I can't check those platforms myself.)
>
> Thanks,
> Luigi
>
>
> --
>
> Newton's Law of Gravitation:
> What goes up must come down. But don't expect it to come down
> where you can find it. Murphy's Law applies to Newton's.
>
>
>
> ----------------------------------------------------------------------
> ---
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> Defy all challenges. Microsoft(R) Visual Studio 2005.
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> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

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[Georgy Jikia]

Hello Marco,

0.9.0 also compiled and installed fine with cygwin for me. The cygwin
boost distribution does not include unit-test framework however. How
did you run the tests? Did you also have to compile boost libraries?

Georgy

On 11/29/07, Marco Marchioro <[hidden email]> wrote:

> Hi all,
> I have successfully compiled the 0.9.0 tarball on cygwin under gcc.
> All the tests are ok(other than the one that does not compile under
> gcc 3.4.4)
>
> Marco
>
> +-------------------------------------------------------+
> | Marco Marchioro, Ph. D., Head of Quantitative Finance |
> |                    www.statpro.com                    |
> +-------------------------------------------------------+
>
>
> On Tuesday, 2007-11-27 , at 16:06 , Luigi Ballabio wrote:
>
> >
> > Hi all,
> > preliminary tarballs for the 0.9.0 release are available at
> > <http://quantlib.org/prerelease/>. If you have some spare cycles on
> > your
> > box, please try them out and let me know if there are any problems.
> > (I'm
> > especially interested in how they fare in the Cygwin and/or MinGW
> > shells, as I can't check those platforms myself.)
> >
> > Thanks,
> > Luigi
> >
> >
> > --
> >
> > Newton's Law of Gravitation:
> > What goes up must come down. But don't expect it to come down
> > where you can find it. Murphy's Law applies to Newton's.
> >
> >
> >
> > ----------------------------------------------------------------------
> > ---
> > This SF.net email is sponsored by: Microsoft
> > Defy all challenges. Microsoft(R) Visual Studio 2005.
> > http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> > _______________________________________________
> > QuantLib-dev mailing list
> > [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

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[Marco Marchioro]

Hi,
I do not remember the exact details because I have installed boost
(1.33.1) a while ago.
However, yes I am pretty sure I did it manually.

Marco Marchioro


On Thursday, 2007-11-29 , at 12:14 , Georgy Jikia wrote:

> Hello Marco,
>
> 0.9.0 also compiled and installed fine with cygwin for me. The cygwin
> boost distribution does not include unit-test framework however. How
> did you run the tests? Did you also have to compile boost libraries?
>
> Georgy
>
> On 11/29/07, Marco Marchioro <[hidden email]> wrote:
>> Hi all,
>> I have successfully compiled the 0.9.0 tarball on cygwin under gcc.
>> All the tests are ok(other than the one that does not compile under
>> gcc 3.4.4)
>>
>> Marco
>>
>> +-------------------------------------------------------+
>> | Marco Marchioro, Ph. D., Head of Quantitative Finance |
>> |                    www.statpro.com                    |
>> +-------------------------------------------------------+
>>
>>
>> On Tuesday, 2007-11-27 , at 16:06 , Luigi Ballabio wrote:
>>
>>>
>>> Hi all,
>>> preliminary tarballs for the 0.9.0 release are available at
>>> <http://quantlib.org/prerelease/>. If you have some spare cycles on
>>> your
>>> box, please try them out and let me know if there are any problems.
>>> (I'm
>>> especially interested in how they fare in the Cygwin and/or MinGW
>>> shells, as I can't check those platforms myself.)
>>>
>>> Thanks,
>>> Luigi
>>>
>>>
>>> --
>>>
>>> Newton's Law of Gravitation:
>>> What goes up must come down. But don't expect it to come down
>>> where you can find it. Murphy's Law applies to Newton's.
>>>
>>>
>>>
>>> --------------------------------------------------------------------
>>> --
>>> ---
>>> This SF.net email is sponsored by: Microsoft
>>> Defy all challenges. Microsoft(R) Visual Studio 2005.
>>> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> [hidden email]
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>
>
> BlackSpider MailControl : To report this as spam, forward the email  
> to [hidden email]

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[Knox, Matt]

>> That would be:
>>
>> export CPPFLAGS="-I/local/include"
>> export LDFLAGS="-L/local/lib"

ahh, that makes sense. Unfortunately, it still can't find the  unit test framework. But I think I know why...

Looking in config.log, I see the following line:

configure:20002: g++ -o conftest.exe -g -O2 -Wall  -I/local/include  -L/local/lib conftest.cpp  -lboost_unit_test_framework-gcc34 >&5

But when building boost with mingw, it names the libraries like this:

boost_unit_test_framework-mgw34-1_34_1.a
boost_unit_test_framework-mgw34-mt-1_34_1.a
etc...

notice the "-mgw" instead of "-gcc"

[Luigi Ballabio]

On Thu, 2007-11-29 at 06:42 -0800, mattknox_ca wrote:

> Looking in config.log, I see the following line:
>
> configure:20002: g++ -o conftest.exe -g -O2 -Wall  -I/local/include
> -L/local/lib conftest.cpp  -lboost_unit_test_framework-gcc34 >&5
>
> But when building boost with mingw, it names the libraries like this:
>
> boost_unit_test_framework-mgw34-1_34_1.a
> boost_unit_test_framework-mgw34-mt-1_34_1.a
> etc...

Oh, right. You'll have to make a copy and rename it.

Luigi


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[Knox, Matt]

I was able to run the test suite finally, but there were some test failures. See the details below...

I'm using MinGW with gcc version 3.4.5 (the latest released version of the MinGW tool set)


======================
Testing QuantLib 0.9.0
======================
Running 317 test cases...
Testing Barone-Adesi and Whaley approximation for American options...
Testing Bjerksund and Stensland approximation for American options...
Testing Ju approximation for American options...
Testing finite-difference engine for American options...
Testing finite-differences American option greeks...
Testing finite-differences shout option greeks...
Testing array construction...
Testing analytic continuous geometric average-price Asians...
Testing analytic continuous geometric average-price Asian greeks...
Testing analytic discrete geometric average-price Asians...
Testing Monte Carlo discrete geometric average-price Asians...
Testing Monte Carlo discrete arithmetic average-price Asians...
Testing discrete-averaging geometric Asian greeks...
Testing bond implied value against asset-swap fair price with spread=0...
Testing relationship between market asset swap and par asset swap...
Testing clean and dirty price with Zspread=0 return bond's theo prices...
Testing generic bond implied value against assetswap fair price with spread=0...
Testing market asset swap vs par asset swap with generic bond...
Testing clean and dirty price with Zspread=0 return generic bond's theo prices...
Testing theo clean and dirty prices for specialized bond are equal to theo clean and dirty prices for equivalent generic bond...
Testing assetswap prices and spreads for specialized bond are equal to theo clean, dirty prices and asw spreads for equivalent generic bond...
Testing barrier options against Haug's values...
Testing barrier options against Babsiri's values...
Testing barrier options against Beaglehole's values...
Testing two-asset European basket options...
Testing three-asset basket options against Barraquand's values...
Testing three-asset American basket options against Tavella's values...
Testing basket American options against 1-D case...
Testing antithetic engine using odd sample number...
Testing analytic Bates engine against Black formula...
Testing analytic Bates engine against Merton-76 engine...
Testing Bates model calibration using DAX volatility data...
Testing Bermudan swaption against cached values...
Testing consistency of bond price/yield calculation...
Testing theoretical bond price/yield calculation...
Testing bond price/yield calculation against cached values...
Testing zero-coupon bond prices against cached values...
Testing fixed-coupon bond prices against cached values...
Testing floating-rate bond prices against cached values...
Testing Brazilian public bond prices against cached values...
Testing Brownian-bridge variates...
Testing Brownian-bridge path generation...
Testing Brazil holiday list...
Testing Milan Stock Exchange holiday list...
Testing UK settlement holiday list...
Testing London Stock Exchange holiday list...
Testing London Metals Exchange holiday list...
Testing Frankfurt Stock Exchange holiday list...
Testing Xetra holiday list...
Testing Eurex holiday list...
Testing TARGET holiday list...
Testing US settlement holiday list...
Testing US government bond market holiday list...
Testing New York Stock Exchange holiday list...
Testing calendar modification...
Testing joint calendars...
Testing end-of-month calculation...
Testing calculation of business days between dates...
Testing cap/floor dependency on strike...
Testing consistency between cap, floor and collar...
Testing cap/floor parity...
Testing cap/floor vega...
Testing ATM rate...
Testing implied term volatility for cap and floor...
Testing Black cap/floor price against cached values...
Testing degenerate collared coupon...
Testing collared coupon against its decomposition...
Testing Cliquet option values...
Testing Cliquet option greeks...
Testing performance option greeks...
Testing fair-rate calculation for constant-maturity coupons...
Testing put-call parity for constant-maturity coupons...
Testing constant-maturity swaps...
Testing out-of-the-money convertible bonds against vanilla bonds...
Testing zero-coupon convertible bonds against vanilla option...
Testing covariance and correlation calculations...
Testing positive semi-definiteness salvaging algorithms...
Testing matrix rank reduction salvaging algorithms...
Testing constant-maturity-swap-market-model curve state...
Testing dates...
Testing IMM dates...
Testing ISO dates...
Testing actual/actual day counters...
Testing simple day counter...
Testing 1/1 day counter...
Testing business/252 day counter...
Testing European asset-or-nothing digital coupon ...
Testing European deep in-the-money asset-or-nothing digital coupon ...
Testing European deep out-the-money asset-or-nothing digital coupon ...
Testing European cash-or-nothing digital coupon ...
Testing European deep in-the-money cash-or-nothing digital coupon ...
Testing European deep out-the-money cash-or-nothing digital coupon ...
Testing call/put parity for European digital coupon ...
Testing replication type for European digital coupon ...
Testing European cash-or-nothing digital option...
Testing European asset-or-nothing digital option...
Testing European gap digital option...
Testing American cash-(at-hit)-or-nothing digital option...
Testing American cash-(at-hit)-or-nothing digital option greeks...
Testing American asset-(at-hit)-or-nothing digital option...
Testing American cash-(at-expiry)-or-nothing digital option...
Testing American asset-(at-expiry)-or-nothing digital option...
Testing Monte Carlo cash-(at-hit)-or-nothing American engine...
Testing normal distributions...
Testing bivariate cumulative normal distribution...
Testing Poisson distribution...
Testing cumulative Poisson distribution...
Testing inverse cumulative Poisson distribution...
Testing dividend European option values with no dividends...
Testing dividend European option values with no dividends...
Testing dividend European option greeks...
Testing finite-difference dividend European option values...
Testing finite-differences dividend European option greeks...
Testing finite-differences dividend American option greeks...
Testing degenerate finite-differences dividend European option...
Testing degenerate finite-differences dividend American option...
Testing European option values...
Testing European option greek values...
Testing analytic European option greeks...
Testing European option implied volatility...
Testing self-containment of implied volatility calculation...
Testing JR binomial European engines against analytic results...
Testing CRR binomial European engines against analytic results...
Testing EQP binomial European engines against analytic results...
Testing TGEO binomial European engines against analytic results...
Testing TIAN binomial European engines against analytic results...
Testing LR binomial European engines against analytic results...
Testing Joshi binomial European engines against analytic results...
Testing finite-difference European engines against analytic results...
Testing integral engines against analytic results...
Testing Monte Carlo European engines against analytic results...
Testing Quasi Monte Carlo European engines against analytic results...
Testing European price curves...
Testing direct exchange rates...
Testing derived exchange rates...
Testing lookup of direct exchange rates...
Testing lookup of triangulated exchange rates...
Testing lookup of derived exchange rates...
Testing factorial numbers...
Testing Gamma function...
Testing forward option values...
Testing forward option greeks...
Testing forward performance option values...
Testing forward performance option greeks...
Testing Gauss-Jacobi integration...
Testing Gauss-Laguerre integration...
Testing Gauss-Hermite integration...
Testing Gauss hyperbolic integration...
Testing tabulated Gauss-Laguerre integration...
Testing Heston model calibration using a flat volatility surface...
Testing Heston model calibration using DAX volatility data...
Testing analytic Heston engine against Black formula...
Testing analytic Heston engine against cached values...
Testing Monte Carlo Heston engine for the Kahl-Jäckel example
Testing Monte Carlo Heston engine against cached values...
Testing European option pricing for a BSM process with one factor Hull-White Model...
Testing Comparing European option pricing for a BSM process with one factor Hull-White Model...
Testing Monte-Carlo Zero Bond Pricing...
Testing Monte-Carlo Vanilla Option Pricing...
Testing Monte-Carlo Heston Option Pricing...
hybridhestonhullwhiteprocess.cpp(556): error in "HybridHestonHullWhiteProcessTest::testMcPureHestonPricing": Failed to reproduce heston vanilla prices
   corr:       0.25
   strike:     100
   calculated: 12.0157
   error:      0.0953149
   expected:   11.7088
Testing analytic Heston Hull White Option Pricing...
Testing the pricing of a callable equity product...
Testing Joint Calibration of an Heston Equity Processincl. Stochastic Interest Rates via a Hull-White Model...
Testing observability of instruments...
Testing segment integration...
Testing trapezoid integration...
Testing mid-point trapezoid integration...
Testing Simpson integration...
Testing adaptive Gauss-Kronrod integration...
Testing non-adaptive Gauss-Kronrod integration...
Testing interest-rate conversions...
Testing spline interpolation on generic values...
Testing symmetry of spline interpolation end-conditions...
Testing derivative end-conditions for spline interpolation...
Testing non-restrictive Hyman filter...
Testing spline interpolation on RPN15A data set...
Testing spline interpolation on a Gaussian data set...
Testing spline approximation on Gaussian data sets...
Testing N-dimensional cubic spline...
Testing use of interpolations as functors...
Testing backward-flat interpolation...
Testing forward-flat interpolation...
Testing Sabr interpolation...
Testing Merton 76 jump-diffusion model for European options...
Testing jump-diffusion option greeks...
Testing linear least-squares regression...
Testing analytic continuous floating-strike lookback options...
Testing analytic continuous fixed-strike lookback options...
Testing randomized lattice sequences, A up to dimension 30...
Testing randomized lattice sequences, B up to dimension 30...
Testing randomized lattice sequences, C up to dimension 30...
Testing randomized lattice sequences, D up to dimension 30...
Testing random-seed generator...
Testing 21200 primitive polynomials modulo two...
Testing Sobol sequences up to dimension 21200...
Testing Halton sequences...
Testing Faure sequences...
Testing Mersenne-twister discrepancy...
Testing plain Halton discrepancy...
Testing random-start Halton discrepancy...
Testing random-shift Halton discrepancy...
Testing random-start, random-shift Halton discrepancy...
Testing unit Sobol discrepancy...
Testing Jäckel-Sobol discrepancy...
Testing Levitan-Sobol discrepancy...
Testing Levitan-Lemieux-Sobol discrepancy...
Testing Sobol sequence skipping...
Testing randomized low-discrepancy sequences up to dimension 21200...
Testing exact repricing of multi-step constant maturity swaps and swaptions in a lognormal constant maturity swap market model...
Testing exact repricing of multi-step coterminal swaps and swaptions in a lognormal coterminal swap rate market model...
Testing alpha caplet calibration in a lognormal coterminal swap market model...
unknown location(0): fatal error in "MarketModelSmmCapletAlphaCalibrationTest::testFunction": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing GHLS caplet calibration in a lognormal coterminal swap market model...
unknown location(0): fatal error in "MarketModelSmmCapletCalibrationTest::testFunction": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing max homogeneity caplet calibration in a lognormal coterminal swap market model...
unknown location(0): fatal error in "MarketModelSmmCapletHomoCalibrationTest::testFunction": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing max homogeneity periodic caplet calibration in a lognormal coterminal swap market model...
unknown location(0): fatal error in "MarketModelSmmCapletHomoCalibrationTest::testPeriodFunction": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing SphereCylinder optimization...
Testing period adaption routines in LIBOR market model
Testing eigenvalues and eigenvectors calculation...
Testing matricial square root...
Testing singular value decomposition...
Testing inverse calculation...
unknown location(0): fatal error in "MatricesTest::testInverse": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing Higham matricial square root...
Testing Monte-Carlo pricing of American options...
Testing Monte-Carlo pricing of American max options...
Testing Mersenne twister...
Testing money arithmetic without conversions...
Testing money arithmetic with conversion to base currency...
Testing money arithmetic with automated conversion...
Testing differential operators...
Testing consistency of BSM operators...
Testing optimizers...
Optimizer: Simplex
Optimizer: Levenberg Marquardt
Optimizer: Conjugate Gradient
Testing nested optimizations...
Testing 1-D path generation against cached values...
Testing n-D path generation against cached values...
Testing Period (Years/Months) algebra...
Testing Period (Weeks/Days) algebra...
Testing consistency of piecewise-log-linear discount curve...
Testing consistency of piecewise-linear discount curve...
Testing consistency of piecewise-log-linear zero-yield curve...
Testing consistency of piecewise-linear zero-yield curve...
Testing consistency of piecewise-spline zero-yield curve...
Testing consistency of piecewise-linear forward-rate curve...
Testing consistency of piecewise-flat forward-rate curve...
Testing observability of piecewise yield curve...
Testing use of today's LIBOR fixings in swap curve...
Testing quanto option values...
Testing quanto option greeks...
Testing quanto-forward option values...
Testing quanto-forward option greeks...
Testing quanto-forward-performance option values...
Testing forward-value and implied-stdev quotes...
Testing risk measures...
Testing Gaussian pseudo-random number generation...
Testing Poisson pseudo-random number generation...
Testing custom Poisson pseudo-random number generation...
Testing closest decimal rounding...
Testing upward decimal rounding...
Testing downward decimal rounding...
Testing floor decimal rounding...
Testing ceiling decimal rounding...
Testing sampled curve construction...
Testing Hull-White calibration against cached values...
Testing Hull-White swap pricing against known values...
Testing Hull-White futures convexity bias...
Testing 1-D solvers...
Testing statistics...
Testing sequence statistics...
Testing convergence statistics...
Testing surface...
Testing vanilla-swap calculation of fair fixed rate...
Testing vanilla-swap calculation of fair floating spread...
Testing vanilla-swap dependency on fixed rate...
Testing vanilla-swap dependency on floating spread...
Testing in-arrears swap calculation...
Testing vanilla-swap calculation against cached value...
Testing forward-rate coinitial-swap jacobian...
Testing forward-rate cm-swap jacobian...
Testing forward-rate coterminal-swap mappings...
unknown location(0): fatal error in "SwapForwardMappingsTest::testForwardCoterminalMappings": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing cash settled swaptions modified annuity...
Testing swaption dependency on strike...
Testing swaption dependency on spread...
Testing swaption treatment of spread...
Testing swaption value against cached value...
Testing implied volatility for swaptions...
Testing swaption vega...
Testing swaption volatility cube (atm vols)...
Testing swaption volatility cube (smile)...
Testing swaption volatility cube (sabr interpolation)...
Testing spreaded swaption volatility cube...
Testing volatility cube observability...
Testing swaption volatility matrix...
Testing swaption volatility matrix observability...
Testing term structure against evaluation date change...
Testing consistency of implied term structure...
Testing observability of implied term structure...
Testing consistency of forward-spreaded term structure...
Testing observability of forward-spreaded term structure...
Testing consistency of zero-spreaded term structure...
Testing observability of zero-spreaded term structure...
Testing time series construction...
Testing time series interval price...
Testing TQR eigenvalue decomposition...
Testing TQR zero-off-diagonal eigenvalues...
Testing TQR eigenvector decomposition...
Testing tracing...
Testing transformed grid construction...
Testing variance swap with replicating cost engine...
Testing variance swap with Monte Carlo engine...
Testing volatility model construction...
Testing consistency of compound-forward curve with supplied rates...
Testing consistency of compound-forward curve with converted rates...
Testing simple covariance models...
Testing caplet pricing...
Testing forward swap and swaption pricing...
Testing calibration of a Libor Forward Model...
Testing caplet LMM process initialisation...
Testing caplet-LMM lambda bootstrapping...
Testing caplet-LMM Monte-Carlo caplet pricing...
Testing old-style Monte Carlo single-factor pricers...
Testing old-style Monte Carlo multi-factor pricers...
 
Tests completed in 17 m 60 s


*** 7 failures detected in test suite "Master Test Suite"
FAIL: quantlib-test-suite
===================================================
1 of 1 tests failed
Please report to [e-mail]
===================================================
make[2]: *** [check-TESTS] Error 1
make[2]: Leaving directory `/home/QuantLib-0.9.0/test-suite'
make[1]: *** [check-am] Error 2
make[1]: Leaving directory `/home/QuantLib-0.9.0/test-suite'
make: *** [check-recursive] Error 1

[Luigi Ballabio]

On Thu, 2007-11-29 at 08:27 -0800, mattknox_ca wrote:
> I was able to run the test suite finally, but there were some test failures.

Hmm. Those saying "this version of gcc does not support the Boost uBlas
library" are expected. We'll have to look at the Heston one.

Thanks,
        Luigi


--

So little done, so much to do.
-- Cecil Rhodes



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[Gary Kennedy]

I am also seeing some test fails relating HybridHestonHullWhiteProcess.
I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2

Gary

gary@linux:~/ccwork/QuantLib-0.9.0/test-suite> gcc --version
gcc (GCC) 4.0.2 20050901 (prerelease) (SUSE Linux)



Testing European option pricing for a BSM process with one factor Hull-White Model...
Testing Comparing European option pricing for a BSM process with one factor Hull-White Model...
Testing Monte-Carlo Zero Bond Pricing...
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
   t:          13.8667
   calculated: 0.304786
   error:      0.0158731
   expected:   0.357429
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
   t:          13.9528
   calculated: 0.30925
   error:      0.0164681
   expected:   0.359895
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
   t:          14.0361
   calculated: 0.313884
   error:      0.0168382
   expected:   0.366483
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
   t:          14.1222
   calculated: 0.323935
   error:      0.0170272
   expected:   0.376798
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
   t:          14.2056
   calculated: 0.336136
   error:      0.0173186
   expected:   0.39062
Testing Monte-Carlo Vanilla Option Pricing...
Testing Monte-Carlo Heston Option Pricing...
Testing analytic Heston Hull White Option Pricing...
Testing the pricing of a callable equity product...
Testing Joint Calibration of an Heston Equity Processincl. Stochastic Interest Rates via a Hull-White Model...
hybridhestonhullwhiteprocess.cpp(1414): error in "HybridHestonHullWhiteProcessTest::testPseudoJointCalibration": Failed to calibrate Heston Hull-White Model
Quality index: 5.83705
Testing observability of instruments...
Testing segment integration...

On 29/11/2007, Luigi Ballabio <[hidden email]> wrote:

On Thu, 2007-11-29 at 08:27 -0800, mattknox_ca wrote:
> I was able to run the test suite finally, but there were some test failures.

Hmm. Those saying "this version of gcc does not support the Boost uBlas
library" are expected. We'll have to look at the Heston one.

Thanks,
        Luigi


--

So little done, so much to do.
-- Cecil Rhodes



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[Luigi Ballabio]

On Dec 1, 2007, at 8:58 PM, Gary Kennedy wrote:
> I am also seeing some test fails relating HybridHestonHullWhiteProcess.
> I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2

Gary,
        did you run them today (Saturday?)  If so, it might have to do with
today being a holiday. I'll look into this in the next days.

Thanks,
        Luigi



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[Gary Kennedy]

yes, built and run today
gary

On 01/12/2007, Luigi Ballabio <[hidden email]> wrote:

On Dec 1, 2007, at 8:58 PM, Gary Kennedy wrote:
> I am also seeing some test fails relating HybridHestonHullWhiteProcess.
> I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2

Gary,
        did you run them today (Saturday?)  If so, it might have to do with
today being a holiday. I'll look into this in the next days.

Thanks,
        Luigi

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