QuantLib 1.0.1: Errors in test suite "Master Test Suite" with compoundoption

[Georgy Jikia]

Hi,

after compiling the version 1.0.1 with VC9 I've got two errors with
compoundoption.cpp:

Testing compound-option values and greeks...
./compoundoption.cpp(315): fatal error in
"QuantLib::detail::quantlib_test_case(&CompoundOptionTest::testValues)":
mother option type:   Put
daughter option type: Call
spot value:           500
strike mother:        50
strike daughter:      520
dividend yield:       3.000000 %
risk-free rate:       8.000000 %
reference date:       May 28th, 2010
maturity mother:      August 26th, 2010
maturity daughter:    November 24th, 2010
volatility:           35.000000 %
  expected value: 21.1965
calculated value: 21.2058
error:                0.00931461
tolerance:            0.001
Testing compound-option put-call parity...
./compoundoption.cpp(200): fatal error in
"QuantLib::detail::quantlib_test_case(&CompoundOptionTest::testPutCallParity)":
mother option type:   Call
daughter option type: Call
spot value:           500
strike mother:        50
strike daughter:      520
dividend yield:       3.000000 %
risk-free rate:       8.000000 %
reference date:       May 28th, 2010
maturity mother:      August 26th, 2010
maturity daughter:    November 24th, 2010
volatility:           35.000000 %
  expected put call parity: 0
calculated put call parity: 0.134586
error:                0.134586
tolerance:            1e-008

Does anyone else get such errors?

Regards,
Georgy

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[Luigi Ballabio]

On Fri, 2010-05-28 at 08:04 +0200, Georgy Jikia wrote:
> after compiling the version 1.0.1 with VC9 I've got two errors with
> compoundoption.cpp:
>
> [...]
>
> Does anyone else get such errors?

I don't.  What configuration did you compile? And when did you run the
tests?

Luigi


--

Prediction is very difficult, especially if it's about the future.
-- Niels Bohr



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[Georgy Jikia]

It is Release (static runtime). The tests were run early in the morning today.

Georgy

On Fri, May 28, 2010 at 2:40 PM, Luigi Ballabio
<[hidden email]> wrote:

> On Fri, 2010-05-28 at 08:04 +0200, Georgy Jikia wrote:
>> after compiling the version 1.0.1 with VC9 I've got two errors with
>> compoundoption.cpp:
>>
>> [...]
>>
>> Does anyone else get such errors?
>
> I don't.  What configuration did you compile? And when did you run the
> tests?
>
> Luigi
>
>
> --
>
> Prediction is very difficult, especially if it's about the future.
> -- Niels Bohr
>
>
>

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[Luigi Ballabio]

On Fri, 2010-05-28 at 16:21 +0200, Georgy Jikia wrote:
> It is Release (static runtime). The tests were run early in the morning today.

Apologies for the delay.  The same day, I ran Release with no errors.
Unfortunately, I couldn't run Release (static runtime)---I didn't have
the corresponding Boost libraries available.  Did the tests run since?

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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[Georgy Jikia]

Run the same executable (without recompilation) again: this time no errors!
So it looks like the errors were time specific.

Georgy

On Thu, Jun 3, 2010 at 5:14 PM, Luigi Ballabio <[hidden email]> wrote:

> On Fri, 2010-05-28 at 16:21 +0200, Georgy Jikia wrote:
>> It is Release (static runtime). The tests were run early in the morning today.
>
> Apologies for the delay.  The same day, I ran Release with no errors.
> Unfortunately, I couldn't run Release (static runtime)---I didn't have
> the corresponding Boost libraries available.  Did the tests run since?
>
> 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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ThinkGeek and WIRED's GeekDad team up for the Ultimate
GeekDad Father's Day Giveaway. ONE MASSIVE PRIZE to the
lucky parental unit.  See the prize list and enter to win:
http://p.sf.net/sfu/thinkgeek-promo
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