[ quantlib-Bugs-1687805 ] CapsStripperTest fails on non-working days

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Bugs item #1687805, was opened at 2007-03-25 12:56
Message generated for change (Comment added) made by fdv1
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: goncha (victor_gonzalez)
Assigned to: Eric Ehlers (ericehlers)
Summary: CapsStripperTest fails on non-working days

Initial Comment:
Can anyone help to identify this error when building the testsuite project and let me know whether is a known bug and how can be fixed?

I have sucessfully installed QuantLib, and then decided to installed the XLAddIn, which compiles perfectly too but then when asked by the tutorial reference on the web to build the testsuite in order to check the QuantLib project, the compiler throw the error below which relates to cap volatilities.

I built
I look forward to hearing from you

Thank you

Victor


Testing flat-volatility stripping...
./capstripper.cpp(234): error in "CapsStripperTest::FlatVolatilityStripping": tenor: 2Y
strike: 3%
volatility=: 0.179926
relativeError=: -0.0412448
-------------
./capstripper.cpp(234): error in "CapsStripperTest::FlatVolatilityStripping": tenor: 2Y
strike: 4%
volatility=: 0.179893
relativeError=: -0.0595946
-------------
./capstripper.cpp(234): error in "CapsStripperTest::FlatVolatilityStripping": tenor: 2Y
strike: 5%
volatility=: 0.17991
relativeError=: -0.0502123
-------------
./capstripper.cpp(234): error in "CapsStripperTest::FlatVolatilityStripping": tenor: 2Y
strike: 6%
volatility=: 0.179941
relativeError=: -0.0327453
-------------
./capstripper.cpp(234): error in "CapsStripperTest::FlatVolatilityStripping": tenor: 2Y
strike: 7%
volatility=: 0.179967
relativeError=: -0.0184223
-------------
./capstripper.cpp(234): error in "CapsStripperTest::FlatVolatilityStripping": tenor: 3Y
strike: 4%
volatility=: 0.180023
relativeError=: 0.0127118
-------------
./capstripper.cpp(234): error in "CapsStripperTest::FlatVolatilityStripping": tenor: 3Y
strike: 5%
volatility=: 0.180021
relativeError=: 0.0114133

On completion:
Tests completed in 17 m 31 s
Test suite "QuantLib test suite" failed with:
  279 assertions out of 287 passed
  8 assertions out of 287 failed
  277 test cases out of 279 passed
  2 test cases out of 279 failed


----------------------------------------------------------------------

Comment By: Francois du Vignaud (fdv1)
Date: 2007-03-29 07:23

Message:
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This test is failing because the CapStripper (being a TermStructure) uses
an adjusted reference date whereas caps don't.
rgds,
François


----------------------------------------------------------------------

Comment By: Eric Ehlers (ericehlers)
Date: 2007-03-27 21:43

Message:
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user_id=1143221
Originator: NO

Hi Victor,

I just ran the testsuite and it passed OK.  Then I set the clock back to
25 March 2007 - the date of your bug report, and a Sunday - and I got the
exact same failure as you.  So it looks like there's a flaw in the logic of
the CapsStripper test which causes it to fail if run on 25 March 2007 - I
imagine it also fails on any other non-working day.  I'll try to arrange
for this to be fixed in the next release.

In the meantime the temporary workaround is for you to stop working on
weekends.  :-)

Regards,
Eric

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