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"spatial convergence speed of Heston engine" test error

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Ferdinando M. Ametrano-3
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"spatial convergence speed of Heston engine" test error

Ferdinando M. Ametrano-3
Hi Klaus

the "spatial convergence speed of Heston engine" test fails with my
configuration (details below).
Any hint ?

ciao -- Nando


>Auto run test
7>=======================================================
7>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
7>=======================================================
7>Running 467 test cases...
7>Platform: Win32
7>Compiler: Microsoft Visual C++ version 9.0
7>STL     : Dinkumware standard library version 505
7>Boost   : 1.44.0
7>Testing spatial convergence speed of Heston engine...
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 1
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 2
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 3
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 4
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : Ikonen-Toivanen
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : Kahl-Jaeckel
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : Equity case
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : high correlation
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : low Vol-Of-Vol
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : kappaEqSigRho
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 1
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 2
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 3
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 4
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : Ikonen-Toivanen
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : Kahl-Jaeckel
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : Equity case
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : high correlation
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : low Vol-Of-Vol
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : kappaEqSigRho

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Klaus Spanderen-2
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Re: "spatial convergence speed of Heston engine" test error

Klaus Spanderen-2
Hi Nando,

unfortunately the test case runs without an error on my linux machine.  Can
you please do me a favour and add the following line to the test case rerum
it and send me the result?

line 1179
printf("%s %s %f %f\n",schemes[i].name,
        hestonModels[j].name,avgPriceDiff, tol[i]);

(next line is if (avgPriceDiff > tol[i]) ....)


thanks in advance
 Klaus


On Monday 13 December 2010 15:02:53 Ferdinando Ametrano wrote:

> Hi Klaus
>
> the "spatial convergence speed of Heston engine" test fails with my
> configuration (details below).
> Any hint ?
>
> ciao -- Nando
>
> >Auto run test
>
> 7>=======================================================
> 7>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
> 7>=======================================================
> 7>Running 467 test cases...
> 7>Platform: Win32
> 7>Compiler: Microsoft Visual C++ version 9.0
> 7>STL     : Dinkumware standard library version 505
> 7>Boost   : 1.44.0
> 7>Testing spatial convergence speed of Heston engine...
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : 't Hout case 1
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : 't Hout case 2
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : 't Hout case 3
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : 't Hout case 4
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : Ikonen-Toivanen
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : Kahl-Jaeckel
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : Equity case
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : high correlation
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : low Vol-Of-Vol
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : kappaEqSigRho
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : 't Hout case 1
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : 't Hout case 2
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : 't Hout case 3
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : 't Hout case 4
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : Ikonen-Toivanen
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : Kahl-Jaeckel
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : Equity case
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : high correlation
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : low Vol-Of-Vol
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : kappaEqSigRho
>
> ---------------------------------------------------------------------------
>--- Oracle to DB2 Conversion Guide: Learn learn about native support for
> PL/SQL, new data types, scalar functions, improved concurrency, built-in
> packages, OCI, SQL*Plus, data movement tools, best practices and more.
> http://p.sf.net/sfu/oracle-sfdev2dev
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev



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http://p.sf.net/sfu/oracle-sfdev2dev 
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Re: "spatial convergence speed of Heston engine" test error

Ferdinando M. Ametrano-3
On Mon, Dec 13, 2010 at 4:20 PM, Klaus Spanderen <[hidden email]> wrote:
> unfortunately the test case runs without an error on my linux machine.  Can
> you please do me a favour and add the following line to the test case rerum
> it and send me the result?

I've checked in this changed line
                if (avgPriceDiff > tol[i]) {
                    BOOST_ERROR("\nFailed to reproduce Heston prices" <<
                        "\n scheme    : " << schemes[i].name <<
                        "\n model     : " << hestonModels[j].name <<
                        "\n error     : " << avgPriceDiff <<
                        "\n tolerance : " << tol[i]);
                }

the errors (see below) are so huge that this might be an easy fix... ;-)

ciao -- Nando

>Auto run test
1>=======================================================
1>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
1>=======================================================
1>Running 4 test cases...
1>Platform: Win32
1>Compiler: Microsoft Visual C++ version 9.0
1>STL     : Dinkumware standard library version 505
1>Boost   : 1.44.0
1>Testing spatial convergence speed of Heston engine...
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : 't Hout case 1
1> error     : 5.13291e+166
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : 't Hout case 2
1> error     : 3.02071e+136
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : 't Hout case 3
1> error     : 1.00308e+164
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : 't Hout case 4
1> error     : 1.33395e+176
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : Ikonen-Toivanen
1> error     : 2.00548e+160
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : Kahl-Jaeckel
1> error     : 6.90768e+194
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : Equity case
1> error     : 2.37078e+198
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : high correlation
1> error     : 3.87152e+202
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : low Vol-Of-Vol
1> error     : 6.07056e+139
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : kappaEqSigRho
1> error     : 7.19017e+178
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : 't Hout case 1
1> error     : 5.13291e+166
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : 't Hout case 2
1> error     : 3.02071e+136
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : 't Hout case 3
1> error     : 1.00308e+164
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : 't Hout case 4
1> error     : 1.33395e+176
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : Ikonen-Toivanen
1> error     : 2.00548e+160
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : Kahl-Jaeckel
1> error     : 6.90768e+194
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : Equity case
1> error     : 2.37078e+198
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : high correlation
1> error     : 3.87152e+202
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : low Vol-Of-Vol
1> error     : 6.07056e+139
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : kappaEqSigRho
1> error     : 7.19017e+178
1> tolerance : 0.02
1>

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Klaus Spanderen-2
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Re: "spatial convergence speed of Heston engine" test error

Klaus Spanderen-2
Hi Nando,

so it should be fixed now, thanks for the hint!

regards
 Klaus


On Monday 13 December 2010 18:00:52 Ferdinando Ametrano wrote:

> On Mon, Dec 13, 2010 at 4:20 PM, Klaus Spanderen <[hidden email]> wrote:
> > unfortunately the test case runs without an error on my linux machine.
> >  Can you please do me a favour and add the following line to the test
> > case rerum it and send me the result?
>
> I've checked in this changed line
>                 if (avgPriceDiff > tol[i]) {
>                     BOOST_ERROR("\nFailed to reproduce Heston prices" <<
>                         "\n scheme    : " << schemes[i].name <<
>                         "\n model     : " << hestonModels[j].name <<
>                         "\n error     : " << avgPriceDiff <<
>                         "\n tolerance : " << tol[i]);
>                 }
>
> the errors (see below) are so huge that this might be an easy fix... ;-)
>
> ciao -- Nando
>
> >Auto run test
>
> 1>=======================================================
> 1>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
> 1>=======================================================
> 1>Running 4 test cases...
> 1>Platform: Win32
> 1>Compiler: Microsoft Visual C++ version 9.0
> 1>STL     : Dinkumware standard library version 505
> 1>Boost   : 1.44.0
> 1>Testing spatial convergence speed of Heston engine...
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : 't Hout case 1
> 1> error     : 5.13291e+166
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : 't Hout case 2
> 1> error     : 3.02071e+136
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : 't Hout case 3
> 1> error     : 1.00308e+164
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : 't Hout case 4
> 1> error     : 1.33395e+176
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : Ikonen-Toivanen
> 1> error     : 2.00548e+160
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : Kahl-Jaeckel
> 1> error     : 6.90768e+194
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : Equity case
> 1> error     : 2.37078e+198
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : high correlation
> 1> error     : 3.87152e+202
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : low Vol-Of-Vol
> 1> error     : 6.07056e+139
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : kappaEqSigRho
> 1> error     : 7.19017e+178
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : 't Hout case 1
> 1> error     : 5.13291e+166
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : 't Hout case 2
> 1> error     : 3.02071e+136
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : 't Hout case 3
> 1> error     : 1.00308e+164
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : 't Hout case 4
> 1> error     : 1.33395e+176
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : Ikonen-Toivanen
> 1> error     : 2.00548e+160
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : Kahl-Jaeckel
> 1> error     : 6.90768e+194
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : Equity case
> 1> error     : 2.37078e+198
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : high correlation
> 1> error     : 3.87152e+202
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : low Vol-Of-Vol
> 1> error     : 6.07056e+139
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : kappaEqSigRho
> 1> error     : 7.19017e+178
> 1> tolerance : 0.02
> 1>
>
> ---------------------------------------------------------------------------
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> to connect the dots, take your collaborative environment
> to the next level, and enter the era of Social Business.
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