=============================================== QuantLib 1.6.2: test-suite/test-suite.log =============================================== # TOTAL: 1 # PASS: 0 # SKIP: 0 # XFAIL: 0 # FAIL: 1 # XPASS: 0 # ERROR: 0 .. contents:: :depth: 2 FAIL: quantlib-test-suite ========================= =================================== Testing QuantLib 1.6.2 QL_NEGATIVE_RATES defined QL_EXTRA_SAFETY_CHECKS undefined QL_USE_INDEXED_COUPON undefined =================================== Running 609 test cases... Testing Barone-Adesi and Whaley approximation for American options... Testing Bjerksund and Stensland approximation for American options... Testing Ju approximation for American options... Testing finite-difference engine for American options... Testing finite-differences American option greeks... Testing finite-differences shout option greeks... Testing array construction... Testing array functions... Testing analytic continuous geometric average-price Asians... Testing analytic continuous geometric average-price Asian greeks... Testing analytic discrete geometric average-price Asians... Testing analytic discrete geometric average-strike Asians... Testing Monte Carlo discrete geometric average-price Asians... Testing Monte Carlo discrete arithmetic average-price Asians... Testing Monte Carlo discrete arithmetic average-strike Asians... Testing discrete-averaging geometric Asian greeks... Testing use of past fixings in Asian options... Testing consistency between fair price and fair spread... Testing implied bond value against asset-swap fair price with null spread... Testing relationship between market asset swap and par asset swap... Testing clean and dirty price with null Z-spread against theoretical prices... Testing implied generic-bond value against asset-swap fair price with null spread... Testing market asset swap against par asset swap with generic bond... Testing clean and dirty price with null Z-spread against theoretical prices... Testing clean and dirty prices for specialized bond against equivalent generic bond... Testing asset-swap prices and spreads for specialized bond against equivalent generic bond... Testing convolutions... Testing auto-covariances... Testing auto-correlations... Testing barrier options against Haug's values... Testing barrier options against Babsiri's values... Testing barrier options against Beaglehole's values... Testing local volatility and Heston FD engines for barrier options... Testing two-asset European basket options... Testing three-asset basket options against Barraquand's values... Testing three-asset American basket options against Tavella's values... Testing basket American options against 1-D case... Testing antithetic engine using odd sample number... Testing analytic Bates engine against Black formula... Testing analytic Bates engine against Merton-76 engine... Testing analytic Bates engine against Monte-Carlo engine... Testing Bates model calibration using DAX volatility data... Testing Bermudan swaption against cached values... Testing cash-or-nothing barrier options against Haug's values... Testing asset-or-nothing barrier options against Haug's values... Testing Bachelier implied vol... Testing Chambers-Nawalkha implied vol approximation... Testing consistency of bond price/yield calculation... Testing consistency of bond price/ATM rate calculation... Testing consistency of bond price/z-spread calculation... Testing theoretical bond price/yield calculation... Testing bond price/yield calculation against cached values... Testing zero-coupon bond prices against cached values... Testing fixed-coupon bond prices against cached values... Testing floating-rate bond prices against cached values... Testing Brazilian public bond prices against Andima cached values... Testing ex-coupon UK Gilt price against market values... Testing ex-coupon Australian bond price against market values... Testing Brownian-bridge variates... Testing Brownian-bridge path generation... Testing business day conventions... Testing Brazil holiday list... Testing Milan Stock Exchange holiday list... Testing UK settlement holiday list... Testing London Stock Exchange holiday list... Testing London Metals Exchange holiday list... Testing Frankfurt Stock Exchange holiday list... Testing Xetra holiday list... Testing Eurex holiday list... Testing TARGET holiday list... Testing US settlement holiday list... Testing US government bond market holiday list... Testing New York Stock Exchange holiday list... Testing South-Korean settlement holiday list... Testing Korea Stock Exchange holiday list... Testing calendar modification... Testing joint calendars... Testing bespoke calendars... Testing end-of-month calculation... Testing calculation of business days between dates... Testing cap/floor dependency on strike... Testing consistency between cap, floor and collar... Testing cap/floor parity... Testing cap/floor vega... Testing cap/floor ATM rate... Testing implied term volatility for cap and floor... Testing Black cap/floor price against cached values... Testing degenerate collared coupon... Testing collared coupon against its decomposition... Testing cash-flow settings... Testing dynamic cast of coupon in Black pricer... Testing default evaluation date in cashflows methods... Testing ibor leg construction with null fixing days... Testing Cliquet option values... Testing Cliquet option greeks... Testing performance option greeks... Testing Monte Carlo performance engine against analytic results... Testing Hagan-pricer flat-vol equivalence for coupons... Testing Hagan-pricer flat-vol equivalence for swaps... Testing put-call parity for capped-floored CMS coupons... Testing covariance and correlation calculations... Testing positive semi-definiteness salvaging algorithms... Testing matrix rank reduction salvaging algorithms... Testing credit-default swap against cached values... Testing credit-default swap against cached market values... Testing implied hazard-rate for credit-default swaps... Testing fair-spread calculation for credit-default swaps... Testing fair-upfront calculation for credit-default swaps... Testing constant-maturity-swap-market-model curve state... Testing dates... Testing ECB dates... Testing IMM dates... Testing ASX dates... Testing ISO dates... Testing parsing of dates... Testing actual/actual day counters... Testing simple day counter... Testing 1/1 day counter... Testing business/252 day counter... Testing thirty/360 day counter (Bond Basis)... Testing thirty/360 day counter (Eurobond Basis)... Testing default-probability structure... Testing flat hazard rate... Testing piecewise-flat hazard-rate consistency... Testing piecewise-flat default-density consistency... Testing piecewise-linear default-density consistency... Testing log-linear survival-probability consistency... Testing single-instrument curve bootstrap... Testing bootstrap on upfront quotes... Testing European asset-or-nothing digital coupon... Testing European deep in-the-money asset-or-nothing digital coupon... Testing European deep out-the-money asset-or-nothing digital coupon... Testing European cash-or-nothing digital coupon... Testing European deep in-the-money cash-or-nothing digital coupon... Testing European deep out-the-money cash-or-nothing digital coupon... Testing call/put parity for European digital coupon... Testing replication type for European digital coupon... Testing European cash-or-nothing digital option... Testing European asset-or-nothing digital option... Testing European gap digital option... Testing American cash-(at-hit)-or-nothing digital option... Testing American cash-(at-hit)-or-nothing digital option greeks... Testing American asset-(at-hit)-or-nothing digital option... Testing American cash-(at-expiry)-or-nothing digital option... Testing American asset-(at-expiry)-or-nothing digital option... Testing Monte Carlo cash-(at-hit)-or-nothing American engine... Testing normal distributions... Testing bivariate cumulative normal distribution... Testing Poisson distribution... Testing cumulative Poisson distribution... Testing inverse cumulative Poisson distribution... Testing bivariate cumulative Student t distribution... Testing bivariate cumulative Student t distribution for large N... Testing dividend European option values with no dividends... Testing dividend European option with a dividend on today's date... Testing dividend European option greeks... Testing finite-difference dividend European option values... Testing finite-differences dividend European option greeks... Testing finite-differences dividend American option greeks... Testing degenerate finite-differences dividend European option... Testing degenerate finite-differences dividend American option... Testing European option values... Testing European option greek values... Testing analytic European option greeks... Testing European option implied volatility... Testing self-containment of implied volatility calculation... Testing JR binomial European engines against analytic results... Testing CRR binomial European engines against analytic results... Testing EQP binomial European engines against analytic results... Testing TGEO binomial European engines against analytic results... Testing TIAN binomial European engines against analytic results... Testing LR binomial European engines against analytic results... Testing Joshi binomial European engines against analytic results... Testing finite-difference European engines against analytic results... Testing integral engines against analytic results... Testing Monte Carlo European engines against analytic results... Testing Quasi Monte Carlo European engines against analytic results... Testing European price curves... Testing finite-differences with local volatility... Testing direct exchange rates... Testing derived exchange rates... Testing lookup of direct exchange rates... Testing lookup of triangulated exchange rates... Testing lookup of derived exchange rates... Testing complex direct FFT... Testing convolution via inverse FFT... Testing FDM with barrier option for Heston model vs Black-Scholes model... Testing FDM with barrier option in Heston model... Testing FDM with American option in Heston model... Testing FDM Heston for Ikonen and Toivanen tests... Testing FDM Heston with Black Scholes model... Testing FDM with European option with dividends in Heston model... Testing FDM Heston convergence... Testing indexing of a linear operator... Testing uniform grid mesher... Testing application of first-derivatives map... Testing application of second-derivatives map... Testing finite differences coefficients... Testing application of second-order mixed-derivatives map... Testing triple-band map solution... Testing FDM with barrier option in Heston model... Testing FDM with American option in Heston model... Testing FDM with express certificate in Heston model... Testing FDM with Heston Hull-White model... Testing bi-conjugated gradient stabilized algorithm with Heston operator... Testing Crank-Nicolson with initial implicit damping steps for a digital option... Testing SparseMatrixReference type... Testing assignment to zero in sparse matrix... Testing integrals over meshers functions... Testing forward option values... Testing forward option greeks... Testing forward performance option values... Testing forward performance option greeks... Testing forward option greeks initialization... Testing factorial numbers... Testing Gamma function... Testing Gamma values... Testing modified Bessel function of first and second kind... Testing weighted modified Bessel functions... Testing GARCH model calibration... Testing GARCH model calculation... Testing Gauss-Jacobi integration... Testing Gauss-Laguerre integration... Testing Gauss-Hermite integration... Testing Gauss hyperbolic integration... Testing tabulated Gauss-Laguerre integration... Testing Monte Carlo GJR-GARCH engine against analytic GJR-GARCH engine... Testing GJR-GARCH model calibration using DAX volatility data... Testing GSR process... Testing GSR model... Testing Heston model calibration using a flat volatility surface... Testing Heston model calibration using DAX volatility data... Testing analytic Heston engine against Black formula... Testing analytic Heston engine against cached values... Testing MC and FD Heston engines for the Kahl-Jaeckel example... Testing different numerical Heston integration algorithms... Testing FD barrier Heston engine against cached values... Testing FD vanilla Heston engine against cached values... Testing FD vanilla Heston engine for discrete dividends... Testing FD vanilla Heston engine for american exercise... Testing multiple-strikes FD Heston engine... Testing Monte Carlo Heston engine against cached values... Testing analytic piecewise time dependent Heston prices... Testing time-dependent Heston model calibration... Testing Alan Lewis reference prices... Testing expansion on Alan Lewis reference prices... Testing expansion on Forde reference prices... Testing European option pricing for a BSM process with one-factor Hull-White model... Comparing European option pricing for a BSM process with one-factor Hull-White model... Testing Monte-Carlo zero bond pricing... Testing Monte-Carlo vanilla option pricing... Testing Monte-Carlo Heston option pricing... Testing analytic Heston Hull-White option pricing... Testing the pricing of a callable equity product... Testing the discretization error of the Heston Hull-White process... Testing the FDM Heston Hull-White engine... Testing the Heston Hull-White calibration... Testing convergence speed of Heston-Hull-White engine... Testing spatial convergence speed of Heston engine... Testing inflation period... Testing zero inflation indices... Testing zero inflation term structure... Testing that zero inflation indices forecast future fixings... Testing year-on-year inflation indices... Testing year-on-year inflation term structure... Testing consistency between yoy inflation cap, floor and collar... Testing yoy inflation cap/floor parity... Testing Black yoy inflation cap/floor price against cached values... Testing collared coupon against its decomposition... Testing inflation capped/floored coupon against inflation capfloor instrument... Testing observability of instruments... Testing segment integration... Testing trapezoid integration... Testing mid-point trapezoid integration... Testing Simpson integration... Testing adaptive Gauss-Kronrod integration... Testing non-adaptive Gauss-Kronrod integration... Testing adaptive Gauss-Lobatto integration... Testing two dimensional adaptive Gauss-Lobatto integration... Testing Folin's integral formulae... Testing discrete integral formulae... Testing interest-rate conversions... Testing spline interpolation on generic values... Testing symmetry of spline interpolation end-conditions... Testing derivative end-conditions for spline interpolation... Testing non-restrictive Hyman filter... Testing spline interpolation on RPN15A data set... Testing spline interpolation on a Gaussian data set... Testing spline approximation on Gaussian data sets... Testing N-dimensional cubic spline... Testing use of interpolations as functors... Testing backward-flat interpolation... Testing forward-flat interpolation... Testing Sabr interpolation... Testing kernel 1D interpolation... Testing kernel 2D interpolation... Testing bicubic spline derivatives... Testing that bicubic splines actually update... Testing Richardson extrapolation... Testing no-arbitrage Sabr interpolation... Testing Sabr calibration single cases... Testing Sabr and no-arbitrage Sabr transformation functions... Testing Merton 76 jump-diffusion model for European options... Testing jump-diffusion option greeks... Testing linear least-squares regression... Testing multi-dimensional linear least-squares regression... Testing 1D simple linear least-squares regression... Testing analytic continuous floating-strike lookback options... Testing analytic continuous fixed-strike lookback options... Testing analytic continuous partial floating-strike lookback options... Testing analytic continuous fixed-strike lookback options... Testing randomized lattice sequences (A) up to dimension 30... Testing randomized lattice sequences (B) up to dimension 30... Testing randomized lattice sequences (C) up to dimension 30... Testing randomized lattice sequences (D) up to dimension 30... Testing random-seed generator... Testing 21200 primitive polynomials modulo two... Testing Sobol sequences up to dimension 21200... Testing Halton sequences... Testing Faure sequences... Testing Mersenne-twister discrepancy... Testing plain Halton discrepancy... Testing random-start Halton discrepancy... Testing random-shift Halton discrepancy... Testing random-start, random-shift Halton discrepancy... Testing unit Sobol discrepancy... Testing Jaeckel-Sobol discrepancy... Testing Levitan-Sobol discrepancy... Testing Levitan-Lemieux-Sobol discrepancy... Testing Sobol sequence skipping... Testing randomized low-discrepancy sequences up to dimension 21200... Testing exact repricing of inverse floater in forward rate market model... Pricing callable swap with Longstaff-Schwartz exercise strategy in a LIBOR market model... unknown location(0): fatal error in "QuantLib::detail::quantlib_test_case(&MarketModelTest::testCallableSwapLS)": signal: SIGSEGV, si_code: 0 (memory access violation at address: 0x00000080) utilities.hpp(74): last checkpoint Test is aborted *** 1 failure detected in test suite "Master Test Suite"