On 12/24/07, Nathan Abbott <
[hidden email]> wrote:
> I have just run the tests in the testsuite program and have come across
> these errors. I compile QuantLib with Boost1.34.1 and Visual C++ 2005.
>
> 1>Testing consistency of piecewise-log-linear discount curve...
> 1>unknown location(0): fatal error in
> "PiecewiseYieldCurveTest::testLogLinearDiscountConsistency":
> std::exception: negative time (- 0.00277778) given
Hi Nathan,
I am looking into it at the moment. You are right, but fortunately the
error appears with today's date = 24/12/07 only, and not with any
other date in December. It is related to the new BMA yield curve test
that depends on three calendars, TARGET, London, New York that treat
the 26th differently.
The error can be circumvented by changing the piecewiseyieldcurve.cpp
test, i.e. setting the termstructure reference date to today instead
of settlement:
termStructure = boost::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<T,I>(today,
bmaHelpers,
Actual360(), 1.0e-12,
interpolator));
I will try to understand that and see whether we can keep using the
settlement date as reference.
Happy new year,
Roland
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