QuantLib:0.3.12 bug and polishes

[Eugene Shevkoplyas]

Hello All!

 

1. [Bug] I've got the error like "Tamas R Sashalmi"

 

Testing analytic Heston engine against Black formula...
quantlib/0.3.12/src/test-suite/hestonmodel.cpp(296): fatal error in "HestonModelTest::testAnalyticVsBlack": failed to reproduce Black price
calculated: 0.80067
expected: 0.80067
error: 1.071473e-007

 

It was on Windows only, it is ok on my 64-bit Linux.

I use: AMD Athlon(tm) 64 X2 Dual

         with: Microsoft Windows XP Pro (v.2002) SP2

          and: Visual Studio 2005

 

2. I use some extra compiler's options: -std=gnu99 -pedantic -Wall -ansi

    So I get many errors during compilation:

 

2.1. C++ style comment in C sources.

      In files ql/RandomNumbers/primitivepolynomials.[ch]

      there are "// ... " comments used instead of "/* ... */".

 

2.2. Non ASCII symbols

      Also in files ql/RandomNumbers/primitivepolynomials.[ch]

      I've got many errors like this:

         error: stray '\169' in program

      It is because there are name in comment with strange symbol:

        "Monte Carlo Methods in Finance" by Peter J?kel

 

Thanks!

 

Sincerely yours,

Eugene Shevkoplyas

 

Trading Bricks

     

     

 

[Luigi Ballabio]

Hi Eugene,

On 05/10/2006 02:15:15 PM, Eugene Shevkoplyas wrote:
> 1. [Bug] I've got the error like "Tamas R Sashalmi"
>
> Testing analytic Heston engine against Black formula...
> quantlib/0.3.12/src/test-suite/hestonmodel.cpp(296): fatal error in
> "HestonModelTest::testAnalyticVsBlack": failed to reproduce Black
> price
> calculated: 0.80067
> expected: 0.80067
> error: 1.071473e-007

This was already fixed in CVS.



> 2. I use some extra compiler's options: -std=gnu99 -pedantic -Wall
> -ansi

I see. I've been using the -pedantic -Wall -ansi flags, but not -std.

>     So I get many errors during compilation:
>
> 2.1. C++ style comment in C sources.
>       In files ql/RandomNumbers/primitivepolynomials.[ch]
>       there are "// ... " comments used instead of "/* ... */".

Fixed.


> 2.2. Non ASCII symbols
>       Also in files ql/RandomNumbers/primitivepolynomials.[ch]
>       I've got many errors like this:
>          error: stray '\169' in program
>       It is because there are name in comment with strange symbol:
>         "Monte Carlo Methods in Finance" by Peter J?kel

Hmm. I'd rather keep the correct name. Is there any directive I can add  
to the file to disable the warning?

Thanks,
        Luigi


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The first rule of intelligent tinkering is to save all the parts.
-- Paul Erlich