QuantLib:0.3.12 bug and polishes

Posted by Eugene Shevkoplyas on
URL: http://quantlib.414.s1.nabble.com/QuantLib-0-3-12-bug-and-polishes-tp11115.html

Hello All!

 

1. [Bug] I've got the error like "Tamas R Sashalmi"

 

Testing analytic Heston engine against Black formula...
quantlib/0.3.12/src/test-suite/hestonmodel.cpp(296): fatal error in "HestonModelTest::testAnalyticVsBlack": failed to reproduce Black price
calculated: 0.80067
expected: 0.80067
error: 1.071473e-007

 

It was on Windows only, it is ok on my 64-bit Linux.

I use: AMD Athlon(tm) 64 X2 Dual

         with: Microsoft Windows XP Pro (v.2002) SP2

          and: Visual Studio 2005

 

2. I use some extra compiler's options: -std=gnu99 -pedantic -Wall -ansi

    So I get many errors during compilation:

 

2.1. C++ style comment in C sources.

      In files ql/RandomNumbers/primitivepolynomials.[ch]

      there are "// ... " comments used instead of "/* ... */".

 

2.2. Non ASCII symbols

      Also in files ql/RandomNumbers/primitivepolynomials.[ch]

      I've got many errors like this:

         error: stray '\169' in program

      It is because there are name in comment with strange symbol:

        "Monte Carlo Methods in Finance" by Peter J?kel

 

Thanks!

 

Sincerely yours,

Eugene Shevkoplyas

 

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