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Re: Bug#525603: libquantlib0-dev: quantlib-test-suite error

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Dirk Eddelbuettel
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Re: Bug#525603: libquantlib0-dev: quantlib-test-suite error

Dirk Eddelbuettel

Hi,

Arnaud noticed that quantlib-test-suite dies on the error below, seemingly
from the code in test-suite/swaptionvolatilitymatrix.cpp that does:

                    Date exerciseDate = swaption.exercise()->dates().front();
                    if (exerciseDate!=vol->optionDates()[i])
                        BOOST_FAIL(
                             "optionDateFromTenor mismatch for " <<
                             description << ":"
                             "\n      option tenor: " << atm.tenors.options[i] <<
                             "\nactual option date: " << exerciseDate <<
                             "\n  exp. option date: " << vol->optionDates()[i]);


This happened to him on amd64, I see the same on i386.  Is that considered an
actual bug, or merely an imperfect implementation in the date logic in
swaption exercise handling ?

Thanks, Dirk

On 25 April 2009 at 22:53, Arnaud Battistella wrote:
| Hi,
| This is probably a rather unimportant bug; however, quantlib-test-suite reports 1 failure. I do not know if
| this problem is old or not as it is the first time I run this command (I only use quantlib from R). Let me
| know if you need additional information.
| Thanks again for your amazing work with R, quantlib, gsl etc...
| Very best!
| A.
|
| Output:
|
| Running 390 test cases...
| swaptionvolatilitymatrix.cpp(214): fatal error in
| "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence": optionDateFromTenor mismatch for floating
| reference date, floating market data:
|       option tenor: 1M
| actual option date: May 25th, 2009
|   exp. option date: May 27th, 2009
|
| Tests completed in 18 m 35 s
|
|
| *** 1 failure detected in test suite "Master Test Suite"
|
| -- System Information:
| Debian Release: squeeze/sid
|   APT prefers testing
|   APT policy: (990, 'testing'), (300, 'unstable')
| Architecture: amd64 (x86_64)
|
| Kernel: Linux 2.6.26-2-amd64 (SMP w/4 CPU cores)
| Locale: LANG=en_US.UTF-8, LC_CTYPE=en_US.UTF-8 (charmap=UTF-8)
| Shell: /bin/sh linked to /bin/bash
|
| Versions of packages libquantlib0-dev depends on:
| ii  libboost-test-dev           1.34.1-15+b1 components for writing and executi
| ii  libboost-test1.34.1         1.34.1-15+b1 components for writing and executi
| ii  libc6                       2.9-4        GNU C Library: Shared libraries
| ii  libc6-dev                   2.9-4        GNU C Library: Development Librari
| ii  libgcc1                     1:4.3.3-3    GCC support library
| ii  libquantlib-0.9.7           0.9.7-1      Quantitative Finance Library -- de
| ii  libstdc++6                  4.3.3-3      The GNU Standard C++ Library v3
|
| libquantlib0-dev recommends no packages.
|
| libquantlib0-dev suggests no packages.
|
| -- no debconf information
|
|

--
Three out of two people have difficulties with fractions.

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Ferdinando Ametrano-4
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Re: Bug#525603: libquantlib0-dev: quantlib-test-suite error

Ferdinando Ametrano-4
Hi Dirk

the issue arises when the test is run on a non-trading day. To fix
this I've added a
            Settings::instance().evaluationDate() =
                conventions.calendar.adjust(Date::todaysDate());
line so it won't happen again.

thank you for the report

ciao -- Nando

On Sun, Apr 26, 2009 at 2:13 PM, Dirk Eddelbuettel <[hidden email]> wrote:

>
> Hi,
>
> Arnaud noticed that quantlib-test-suite dies on the error below, seemingly
> from the code in test-suite/swaptionvolatilitymatrix.cpp that does:
>
>                    Date exerciseDate = swaption.exercise()->dates().front();
>                    if (exerciseDate!=vol->optionDates()[i])
>                        BOOST_FAIL(
>                             "optionDateFromTenor mismatch for " <<
>                             description << ":"
>                             "\n      option tenor: " << atm.tenors.options[i] <<
>                             "\nactual option date: " << exerciseDate <<
>                             "\n  exp. option date: " << vol->optionDates()[i]);
>
>
> This happened to him on amd64, I see the same on i386.  Is that considered an
> actual bug, or merely an imperfect implementation in the date logic in
> swaption exercise handling ?
>
> Thanks, Dirk
>
> On 25 April 2009 at 22:53, Arnaud Battistella wrote:
> | Hi,
> | This is probably a rather unimportant bug; however, quantlib-test-suite reports 1 failure. I do not know if
> | this problem is old or not as it is the first time I run this command (I only use quantlib from R). Let me
> | know if you need additional information.
> | Thanks again for your amazing work with R, quantlib, gsl etc...
> | Very best!
> | A.
> |
> | Output:
> |
> | Running 390 test cases...
> | swaptionvolatilitymatrix.cpp(214): fatal error in
> | "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence": optionDateFromTenor mismatch for floating
> | reference date, floating market data:
> |       option tenor: 1M
> | actual option date: May 25th, 2009
> |   exp. option date: May 27th, 2009
> |
> | Tests completed in 18 m 35 s
> |
> |
> | *** 1 failure detected in test suite "Master Test Suite"
> |
> | -- System Information:
> | Debian Release: squeeze/sid
> |   APT prefers testing
> |   APT policy: (990, 'testing'), (300, 'unstable')
> | Architecture: amd64 (x86_64)
> |
> | Kernel: Linux 2.6.26-2-amd64 (SMP w/4 CPU cores)
> | Locale: LANG=en_US.UTF-8, LC_CTYPE=en_US.UTF-8 (charmap=UTF-8)
> | Shell: /bin/sh linked to /bin/bash
> |
> | Versions of packages libquantlib0-dev depends on:
> | ii  libboost-test-dev           1.34.1-15+b1 components for writing and executi
> | ii  libboost-test1.34.1         1.34.1-15+b1 components for writing and executi
> | ii  libc6                       2.9-4        GNU C Library: Shared libraries
> | ii  libc6-dev                   2.9-4        GNU C Library: Development Librari
> | ii  libgcc1                     1:4.3.3-3    GCC support library
> | ii  libquantlib-0.9.7           0.9.7-1      Quantitative Finance Library -- de
> | ii  libstdc++6                  4.3.3-3      The GNU Standard C++ Library v3
> |
> | libquantlib0-dev recommends no packages.
> |
> | libquantlib0-dev suggests no packages.
> |
> | -- no debconf information
> |
> |
>
> --
> Three out of two people have difficulties with fractions.
>
> ------------------------------------------------------------------------------
> Crystal Reports &#45; New Free Runtime and 30 Day Trial
> Check out the new simplified licensign option that enables unlimited
> royalty&#45;free distribution of the report engine for externally facing
> server and web deployment.
> http://p.sf.net/sfu/businessobjects
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

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royalty&#45;free distribution of the report engine for externally facing
server and web deployment.
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Dirk Eddelbuettel
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Re: Bug#525603: libquantlib0-dev: quantlib-test-suite error

Dirk Eddelbuettel

On 27 April 2009 at 11:48, Ferdinando Ametrano wrote:
| Hi Dirk
|
| the issue arises when the test is run on a non-trading day. To fix
| this I've added a
|             Settings::instance().evaluationDate() =
|                 conventions.calendar.adjust(Date::todaysDate());
| line so it won't happen again.

Cool, thank you!

Dirk

| thank you for the report
|
| ciao -- Nando
|
| On Sun, Apr 26, 2009 at 2:13 PM, Dirk Eddelbuettel <[hidden email]> wrote:
| >
| > Hi,
| >
| > Arnaud noticed that quantlib-test-suite dies on the error below, seemingly
| > from the code in test-suite/swaptionvolatilitymatrix.cpp that does:
| >
| >                    Date exerciseDate = swaption.exercise()->dates().front();
| >                    if (exerciseDate!=vol->optionDates()[i])
| >                        BOOST_FAIL(
| >                             "optionDateFromTenor mismatch for " <<
| >                             description << ":"
| >                             "\n      option tenor: " << atm.tenors.options[i] <<
| >                             "\nactual option date: " << exerciseDate <<
| >                             "\n  exp. option date: " << vol->optionDates()[i]);
| >
| >
| > This happened to him on amd64, I see the same on i386.  Is that considered an
| > actual bug, or merely an imperfect implementation in the date logic in
| > swaption exercise handling ?
| >
| > Thanks, Dirk
| >
| > On 25 April 2009 at 22:53, Arnaud Battistella wrote:
| > | Hi,
| > | This is probably a rather unimportant bug; however, quantlib-test-suite reports 1 failure. I do not know if
| > | this problem is old or not as it is the first time I run this command (I only use quantlib from R). Let me
| > | know if you need additional information.
| > | Thanks again for your amazing work with R, quantlib, gsl etc...
| > | Very best!
| > | A.
| > |
| > | Output:
| > |
| > | Running 390 test cases...
| > | swaptionvolatilitymatrix.cpp(214): fatal error in
| > | "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence": optionDateFromTenor mismatch for floating
| > | reference date, floating market data:
| > |       option tenor: 1M
| > | actual option date: May 25th, 2009
| > |   exp. option date: May 27th, 2009
| > |
| > | Tests completed in 18 m 35 s
| > |
| > |
| > | *** 1 failure detected in test suite "Master Test Suite"
| > |
| > | -- System Information:
| > | Debian Release: squeeze/sid
| > |   APT prefers testing
| > |   APT policy: (990, 'testing'), (300, 'unstable')
| > | Architecture: amd64 (x86_64)
| > |
| > | Kernel: Linux 2.6.26-2-amd64 (SMP w/4 CPU cores)
| > | Locale: LANG=en_US.UTF-8, LC_CTYPE=en_US.UTF-8 (charmap=UTF-8)
| > | Shell: /bin/sh linked to /bin/bash
| > |
| > | Versions of packages libquantlib0-dev depends on:
| > | ii  libboost-test-dev           1.34.1-15+b1 components for writing and executi
| > | ii  libboost-test1.34.1         1.34.1-15+b1 components for writing and executi
| > | ii  libc6                       2.9-4        GNU C Library: Shared libraries
| > | ii  libc6-dev                   2.9-4        GNU C Library: Development Librari
| > | ii  libgcc1                     1:4.3.3-3    GCC support library
| > | ii  libquantlib-0.9.7           0.9.7-1      Quantitative Finance Library -- de
| > | ii  libstdc++6                  4.3.3-3      The GNU Standard C++ Library v3
| > |
| > | libquantlib0-dev recommends no packages.
| > |
| > | libquantlib0-dev suggests no packages.
| > |
| > | -- no debconf information
| > |
| > |
| >
| > --
| > Three out of two people have difficulties with fractions.
| >
| > ------------------------------------------------------------------------------
| > Crystal Reports &#45; New Free Runtime and 30 Day Trial
| > Check out the new simplified licensign option that enables unlimited
| > royalty&#45;free distribution of the report engine for externally facing
| > server and web deployment.
| > http://p.sf.net/sfu/businessobjects
| > _______________________________________________
| > QuantLib-dev mailing list
| > [hidden email]
| > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
| >

--
Three out of two people have difficulties with fractions.

------------------------------------------------------------------------------
Crystal Reports &#45; New Free Runtime and 30 Day Trial
Check out the new simplified licensign option that enables unlimited
royalty&#45;free distribution of the report engine for externally facing
server and web deployment.
http://p.sf.net/sfu/businessobjects
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
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