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Preliminary tarballs for QuantLib 1.7

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Luigi Ballabio

Preliminary tarballs for QuantLib 1.7

Hi all,

tarballs of what will eventually become QuantLib 1.7 are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>; if you have some time, please try them out and report any problems. The list of changes is not yet available, but a list of the pull requests that made it into this release are at <https://github.com/lballabio/quantlib/issues?utf8=%E2%9C%93&q=milestone%3A%221.7+release%22+>

Thanks,

Luigi

<http://leanpub.com/implementingquantlib>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

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Luigi Ballabio

Re: Preliminary tarballs for QuantLib 1.7

Hi all,

new tentative tarballs (which by now should be pretty close to release 1.7, and include a list of changes) are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. if you have some time, please try them out and report any problems.

Thanks,

Luigi

On Fri, Oct 30, 2015 at 5:04 PM Luigi Ballabio <[hidden email]> wrote:

Hi all,
tarballs of what will eventually become QuantLib 1.7 are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>; if you have some time, please try them out and report any problems. The list of changes is not yet available, but a list of the pull requests that made it into this release are at <https://github.com/lballabio/quantlib/issues?utf8=%E2%9C%93&q=milestone%3A%221.7+release%22+>

Thanks,
Luigi

--
<http://leanpub.com/implementingquantlib>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

<http://leanpub.com/implementingquantlib>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

Peter Caspers-4

Re: Preliminary tarballs for QuantLib 1.7

I tested QuantLib-1.7.tar.gz, it builds fine with gcc 4.9.3 / boost
1.59.0 on my machine. The test-suite runs fine as well, also under
memcheck, except for a use of uninitialized values triggered from

VPPTest::testKlugeExtOUMatrixDecomposition()

but I do not think that this is specific to the release. Maybe Klaus,
can you have a closer look ? I attach the full memcheck log.

Two more observations (also unrelated to 1.7, anyway):

The following files are wrongly marked as executable, is that coming
from the repository?

-rwxrwxr-x 1 peter peter 3085 Nov 12 15:38 ql/userconfig.hpp
-rwxrwxr-x 1 peter peter 7844 Nov 12 15:38 test-suite/observable.cpp
-rwxrwxr-x 1 peter peter 14561 Nov 12 15:38 test-suite/quantlibtestsuite.cpp

Second thing is that when running the test-suite overnight and the
system date changes in the middle of a test, the check for restoring
the settings (if applicable to the case) may fail, like here

utilities.hpp(80): error: in "QuantLib test suite/Forward option
tests/QuantLib::detail::quantlib_test_case(&ForwardOptionTest::testGreeksInitialization)":
Evaluation date not reset
before: November 13th, 2015
after: November 14th, 2015

I guess that would be fixed though by the more general attempt to make
the suite deterministic w.r.t. the evaluation date (PR #313).

Peter

On 13 November 2015 at 17:11, Luigi Ballabio <[hidden email]> wrote:

> Hi all,
> new tentative tarballs (which by now should be pretty close to release
> 1.7, and include a list of changes) are available at
> <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. if
> you have some time, please try them out and report any problems.
>
> Thanks,
> Luigi
>
>
> On Fri, Oct 30, 2015 at 5:04 PM Luigi Ballabio <[hidden email]>
> wrote:
>>
>> Hi all,
>> tarballs of what will eventually become QuantLib 1.7 are available at
>> <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>; if
>> you have some time, please try them out and report any problems. The list of
>> changes is not yet available, but a list of the pull requests that made it
>> into this release are at
>> <https://github.com/lballabio/quantlib/issues?utf8=%E2%9C%93&q=milestone%3A%221.7+release%22+>
>>
>> Thanks,
>> Luigi
>>
>> --
>>
>> <http://leanpub.com/implementingquantlib>
>> <http://implementingquantlib.com>
>> <http://twitter.com/lballabio>
>
> --
>
> <http://leanpub.com/implementingquantlib>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

memcheck_ql17.log (23K) Download Attachment

Klaus Spanderen-2

Re: [Quantlib-users] Preliminary tarballs for QuantLib 1.7

Hi Peter,

thanks for highlighting this issue. You're right, the test compares
uninitialized values with themselves and therefore the explanatory power is
not as good as it could be. IMO the fix is a one line change and I've sent a PR
to Luigi.

regards
Klaus

On Saturday, November 14, 2015 06:04:04 PM Peter Caspers wrote:

> I tested QuantLib-1.7.tar.gz, it builds fine with gcc 4.9.3 / boost
> 1.59.0 on my machine. The test-suite runs fine as well, also under
> memcheck, except for a use of uninitialized values triggered from
>
> VPPTest::testKlugeExtOUMatrixDecomposition()
>
> but I do not think that this is specific to the release. Maybe Klaus,
> can you have a closer look ? I attach the full memcheck log.
>
> Two more observations (also unrelated to 1.7, anyway):
>
> The following files are wrongly marked as executable, is that coming
> from the repository?
>
> -rwxrwxr-x 1 peter peter 3085 Nov 12 15:38 ql/userconfig.hpp
> -rwxrwxr-x 1 peter peter 7844 Nov 12 15:38 test-suite/observable.cpp
> -rwxrwxr-x 1 peter peter 14561 Nov 12 15:38
> test-suite/quantlibtestsuite.cpp
>
> Second thing is that when running the test-suite overnight and the
> system date changes in the middle of a test, the check for restoring
> the settings (if applicable to the case) may fail, like here
>
> utilities.hpp(80): error: in "QuantLib test suite/Forward option
> tests/QuantLib::detail::quantlib_test_case(&ForwardOptionTest::testGreeksIni
> tialization)": Evaluation date not reset
> before: November 13th, 2015
> after: November 14th, 2015
>
> I guess that would be fixed though by the more general attempt to make
> the suite deterministic w.r.t. the evaluation date (PR #313).
>
> Peter
>
> On 13 November 2015 at 17:11, Luigi Ballabio <[hidden email]>

wrote:

> > Hi all,
> >
> > new tentative tarballs (which by now should be pretty close to release
> >
> > 1.7, and include a list of changes) are available at
> > <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. if
> > you have some time, please try them out and report any problems.
> >
> > Thanks,
> >
> > Luigi
> >
> > On Fri, Oct 30, 2015 at 5:04 PM Luigi Ballabio <[hidden email]>
> >
> > wrote:
> >> Hi all,
> >>
> >> tarballs of what will eventually become QuantLib 1.7 are available at
> >>
> >> <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>;
> >> if
> >> you have some time, please try them out and report any problems. The list
> >> of changes is not yet available, but a list of the pull requests that
> >> made it into this release are at
> >> <<a href="https://github.com/lballabio/quantlib/issues?utf8=%E2%9C%93&q=milestone%">https://github.com/lballabio/quantlib/issues?utf8=%E2%9C%93&q=milestone%
> >> 3A%221.7+release%22+>
> >>
> >> Thanks,
> >>
> >> Luigi
> >>
> >> --
> >>
> >> <http://leanpub.com/implementingquantlib>
> >> <http://implementingquantlib.com>
> >> <http://twitter.com/lballabio>
> >
> > --
> >
> > <http://leanpub.com/implementingquantlib>
> > <http://implementingquantlib.com>
> > <http://twitter.com/lballabio>
> >
> >
> > --------------------------------------------------------------------------
> > ----
> >
> > _______________________________________________
> > QuantLib-dev mailing list
> > [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev

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Peter Caspers-4

Re: [Quantlib-users] Preliminary tarballs for QuantLib 1.7

Hi Klaus,

it's better with your fix, but still not perfect:

==22028== Invalid read of size 8
==22028== at 0x559A5AD: __normal_iterator (stl_iterator.h:729)
==22028== by 0x559A5AD: end (stl_vector.h:566)
==22028== by 0x559A5AD:
QuantLib::FdmExpExtOUInnerValueCalculator::innerValue(QuantLib::FdmLinearOpIterator
const&, double) (fdmexpextouinnervaluecalculator.hpp:55)
==22028== by 0x59CD89C:
QuantLib::FdmSimpleStorageCondition::applyTo(QuantLib::Array&, double)
const (fdmsimplestoragecondition.cpp:77)
==22028== by 0x59D175E:
QuantLib::FdmStepConditionComposite::applyTo(QuantLib::Array&, double)
const (fdmstepconditioncomposite.cpp:63)
==22028== by 0x59D175E:
QuantLib::FdmStepConditionComposite::applyTo(QuantLib::Array&, double)
const (fdmstepconditioncomposite.cpp:63)
==22028== by 0x599416D: rollbackImpl (finitedifferencemodel.hpp:103)
==22028== by 0x599416D: rollback (finitedifferencemodel.hpp:86)
==22028== by 0x599416D:
QuantLib::FdmBackwardSolver::rollback(QuantLib::Array&, double,
double, unsigned long, unsigned long) (fdmbackwardsolver.cpp:117)
==22028== by 0x597DD48:
QuantLib::Fdm2DimSolver::performCalculations() const
(fdm2dimsolver.cpp:78)
==22028== by 0x597B186: calculate (lazyobject.hpp:150)
==22028== by 0x597B186:
QuantLib::Fdm2DimSolver::interpolateAt(double, double) const
(fdm2dimsolver.cpp:88)
==22028== by 0x55DD743: valueAt (fdmsimple2dextousolver.hpp:53)
==22028== by 0x55DD743:
QuantLib::FdSimpleExtOUStorageEngine::calculate() const
(fdsimpleextoustorageengine.cpp:181)
==22028== by 0x4E3FCE: QuantLib::Instrument::performCalculations()
const (instrument.hpp:168)
==22028== by 0x4F684E: calculate (lazyobject.hpp:150)
==22028== by 0x4F684E: calculate (instrument.hpp:153)
==22028== by 0x4F684E: QuantLib::Instrument::NPV() const (instrument.hpp:187)
==22028== by 0xD69C79: VPPTest::testSimpleExtOUStorageEngine() (vpp.cpp:254)

It seems that t is not initialized in fdmexpextouinnervaluecalculator.hpp:55.

Best regards
Peter

On 15 November 2015 at 23:39, Klaus Spanderen <[hidden email]> wrote:

> Hi Peter,
>
> thanks for highlighting this issue. You're right, the test compares
> uninitialized values with themselves and therefore the explanatory power is
> not as good as it could be. IMO the fix is a one line change and I've sent a PR
> to Luigi.
>
> regards
> Klaus
>
>
> On Saturday, November 14, 2015 06:04:04 PM Peter Caspers wrote:
>> I tested QuantLib-1.7.tar.gz, it builds fine with gcc 4.9.3 / boost
>> 1.59.0 on my machine. The test-suite runs fine as well, also under
>> memcheck, except for a use of uninitialized values triggered from
>>
>> VPPTest::testKlugeExtOUMatrixDecomposition()
>>
>> but I do not think that this is specific to the release. Maybe Klaus,
>> can you have a closer look ? I attach the full memcheck log.
>>
>> Two more observations (also unrelated to 1.7, anyway):
>>
>> The following files are wrongly marked as executable, is that coming
>> from the repository?
>>
>> -rwxrwxr-x 1 peter peter 3085 Nov 12 15:38 ql/userconfig.hpp
>> -rwxrwxr-x 1 peter peter 7844 Nov 12 15:38 test-suite/observable.cpp
>> -rwxrwxr-x 1 peter peter 14561 Nov 12 15:38
>> test-suite/quantlibtestsuite.cpp
>>
>> Second thing is that when running the test-suite overnight and the
>> system date changes in the middle of a test, the check for restoring
>> the settings (if applicable to the case) may fail, like here
>>
>> utilities.hpp(80): error: in "QuantLib test suite/Forward option
>> tests/QuantLib::detail::quantlib_test_case(&ForwardOptionTest::testGreeksIni
>> tialization)": Evaluation date not reset
>> before: November 13th, 2015
>> after: November 14th, 2015
>>
>> I guess that would be fixed though by the more general attempt to make
>> the suite deterministic w.r.t. the evaluation date (PR #313).
>>
>> Peter
>>
>> On 13 November 2015 at 17:11, Luigi Ballabio <[hidden email]>
> wrote:
>> > Hi all,
>> >
>> > new tentative tarballs (which by now should be pretty close to release
>> >
>> > 1.7, and include a list of changes) are available at
>> > <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. if
>> > you have some time, please try them out and report any problems.
>> >
>> > Thanks,
>> >
>> > Luigi
>> >
>> > On Fri, Oct 30, 2015 at 5:04 PM Luigi Ballabio <[hidden email]>
>> >
>> > wrote:
>> >> Hi all,
>> >>
>> >> tarballs of what will eventually become QuantLib 1.7 are available at
>> >>
>> >> <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>;
>> >> if
>> >> you have some time, please try them out and report any problems. The list
>> >> of changes is not yet available, but a list of the pull requests that
>> >> made it into this release are at
>> >> <<a href="https://github.com/lballabio/quantlib/issues?utf8=%E2%9C%93&q=milestone%">https://github.com/lballabio/quantlib/issues?utf8=%E2%9C%93&q=milestone%
>> >> 3A%221.7+release%22+>
>> >>
>> >> Thanks,
>> >>
>> >> Luigi
>> >>
>> >> --
>> >>
>> >> <http://leanpub.com/implementingquantlib>
>> >> <http://implementingquantlib.com>
>> >> <http://twitter.com/lballabio>
>> >
>> > --
>> >
>> > <http://leanpub.com/implementingquantlib>
>> > <http://implementingquantlib.com>
>> > <http://twitter.com/lballabio>
>> >
>> >
>> > --------------------------------------------------------------------------
>> > ----
>> >
>> > _______________________________________________
>> > QuantLib-dev mailing list
>> > [hidden email]
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

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