Re: Preliminary 0.9.0 tarballs
Posted by Knox, Matt on Nov 29, 2007; 4:27pm
URL: http://quantlib.414.s1.nabble.com/Preliminary-0-9-0-tarballs-tp11440p11449.html
I was able to run the test suite finally, but there were some test failures. See the details below...
I'm using MinGW with gcc version 3.4.5 (the latest released version of the MinGW tool set)
======================
Testing QuantLib 0.9.0
======================
Running 317 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 analytic continuous geometric average-price Asians...
Testing analytic continuous geometric average-price Asian greeks...
Testing analytic discrete geometric average-price Asians...
Testing Monte Carlo discrete geometric average-price Asians...
Testing Monte Carlo discrete arithmetic average-price Asians...
Testing discrete-averaging geometric Asian greeks...
Testing bond implied value against asset-swap fair price with spread=0...
Testing relationship between market asset swap and par asset swap...
Testing clean and dirty price with Zspread=0 return bond's theo prices...
Testing generic bond implied value against assetswap fair price with spread=0...
Testing market asset swap vs par asset swap with generic bond...
Testing clean and dirty price with Zspread=0 return generic bond's theo prices...
Testing theo clean and dirty prices for specialized bond are equal to theo clean and dirty prices for equivalent generic bond...
Testing assetswap prices and spreads for specialized bond are equal to theo clean, dirty prices and asw spreads for equivalent generic bond...
Testing barrier options against Haug's values...
Testing barrier options against Babsiri's values...
Testing barrier options against Beaglehole's values...
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 Bates model calibration using DAX volatility data...
Testing Bermudan swaption against cached values...
Testing consistency of bond price/yield 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 cached values...
Testing Brownian-bridge variates...
Testing Brownian-bridge path generation...
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 calendar modification...
Testing joint 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 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 Cliquet option values...
Testing Cliquet option greeks...
Testing performance option greeks...
Testing fair-rate calculation for constant-maturity coupons...
Testing put-call parity for constant-maturity coupons...
Testing constant-maturity swaps...
Testing out-of-the-money convertible bonds against vanilla bonds...
Testing zero-coupon convertible bonds against vanilla option...
Testing covariance and correlation calculations...
Testing positive semi-definiteness salvaging algorithms...
Testing matrix rank reduction salvaging algorithms...
Testing constant-maturity-swap-market-model curve state...
Testing dates...
Testing IMM dates...
Testing ISO dates...
Testing actual/actual day counters...
Testing simple day counter...
Testing 1/1 day counter...
Testing business/252 day counter...
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 dividend European option values with no dividends...
Testing dividend European option values with no dividends...
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 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 factorial numbers...
Testing Gamma function...
Testing forward option values...
Testing forward option greeks...
Testing forward performance option values...
Testing forward performance option greeks...
Testing Gauss-Jacobi integration...
Testing Gauss-Laguerre integration...
Testing Gauss-Hermite integration...
Testing Gauss hyperbolic integration...
Testing tabulated Gauss-Laguerre integration...
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 Monte Carlo Heston engine for the Kahl-Jäckel example
Testing Monte Carlo Heston engine against cached values...
Testing European option pricing for a BSM process with one factor Hull-White Model...
Testing 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...
hybridhestonhullwhiteprocess.cpp(556): error in "HybridHestonHullWhiteProcessTest::testMcPureHestonPricing": Failed to reproduce heston vanilla prices
corr: 0.25
strike: 100
calculated: 12.0157
error: 0.0953149
expected: 11.7088
Testing analytic Heston Hull White Option Pricing...
Testing the pricing of a callable equity product...
Testing Joint Calibration of an Heston Equity Processincl. Stochastic Interest Rates via a Hull-White Model...
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 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 Merton 76 jump-diffusion model for European options...
Testing jump-diffusion option greeks...
Testing linear least-squares regression...
Testing analytic continuous 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 Jäckel-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 multi-step constant maturity swaps and swaptions in a lognormal constant maturity swap market model...
Testing exact repricing of multi-step coterminal swaps and swaptions in a lognormal coterminal swap rate market model...
Testing alpha caplet calibration in a lognormal coterminal swap market model...
unknown location(0): fatal error in "MarketModelSmmCapletAlphaCalibrationTest::testFunction": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing GHLS caplet calibration in a lognormal coterminal swap market model...
unknown location(0): fatal error in "MarketModelSmmCapletCalibrationTest::testFunction": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing max homogeneity caplet calibration in a lognormal coterminal swap market model...
unknown location(0): fatal error in "MarketModelSmmCapletHomoCalibrationTest::testFunction": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing max homogeneity periodic caplet calibration in a lognormal coterminal swap market model...
unknown location(0): fatal error in "MarketModelSmmCapletHomoCalibrationTest::testPeriodFunction": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing SphereCylinder optimization...
Testing period adaption routines in LIBOR market model
Testing eigenvalues and eigenvectors calculation...
Testing matricial square root...
Testing singular value decomposition...
Testing inverse calculation...
unknown location(0): fatal error in "MatricesTest::testInverse": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing Higham matricial square root...
Testing Monte-Carlo pricing of American options...
Testing Monte-Carlo pricing of American max options...
Testing Mersenne twister...
Testing money arithmetic without conversions...
Testing money arithmetic with conversion to base currency...
Testing money arithmetic with automated conversion...
Testing differential operators...
Testing consistency of BSM operators...
Testing optimizers...
Optimizer: Simplex
Optimizer: Levenberg Marquardt
Optimizer: Conjugate Gradient
Testing nested optimizations...
Testing 1-D path generation against cached values...
Testing n-D path generation against cached values...
Testing Period (Years/Months) algebra...
Testing Period (Weeks/Days) algebra...
Testing consistency of piecewise-log-linear discount curve...
Testing consistency of piecewise-linear discount curve...
Testing consistency of piecewise-log-linear zero-yield curve...
Testing consistency of piecewise-linear zero-yield curve...
Testing consistency of piecewise-spline zero-yield curve...
Testing consistency of piecewise-linear forward-rate curve...
Testing consistency of piecewise-flat forward-rate curve...
Testing observability of piecewise yield curve...
Testing use of today's LIBOR fixings in swap curve...
Testing quanto option values...
Testing quanto option greeks...
Testing quanto-forward option values...
Testing quanto-forward option greeks...
Testing quanto-forward-performance option values...
Testing forward-value and implied-stdev quotes...
Testing risk measures...
Testing Gaussian pseudo-random number generation...
Testing Poisson pseudo-random number generation...
Testing custom Poisson pseudo-random number generation...
Testing closest decimal rounding...
Testing upward decimal rounding...
Testing downward decimal rounding...
Testing floor decimal rounding...
Testing ceiling decimal rounding...
Testing sampled curve construction...
Testing Hull-White calibration against cached values...
Testing Hull-White swap pricing against known values...
Testing Hull-White futures convexity bias...
Testing 1-D solvers...
Testing statistics...
Testing sequence statistics...
Testing convergence statistics...
Testing surface...
Testing vanilla-swap calculation of fair fixed rate...
Testing vanilla-swap calculation of fair floating spread...
Testing vanilla-swap dependency on fixed rate...
Testing vanilla-swap dependency on floating spread...
Testing in-arrears swap calculation...
Testing vanilla-swap calculation against cached value...
Testing forward-rate coinitial-swap jacobian...
Testing forward-rate cm-swap jacobian...
Testing forward-rate coterminal-swap mappings...
unknown location(0): fatal error in "SwapForwardMappingsTest::testForwardCoterminalMappings": std::exception: this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing cash settled swaptions modified annuity...
Testing swaption dependency on strike...
Testing swaption dependency on spread...
Testing swaption treatment of spread...
Testing swaption value against cached value...
Testing implied volatility for swaptions...
Testing swaption vega...
Testing swaption volatility cube (atm vols)...
Testing swaption volatility cube (smile)...
Testing swaption volatility cube (sabr interpolation)...
Testing spreaded swaption volatility cube...
Testing volatility cube observability...
Testing swaption volatility matrix...
Testing swaption volatility matrix observability...
Testing term structure against evaluation date change...
Testing consistency of implied term structure...
Testing observability of implied term structure...
Testing consistency of forward-spreaded term structure...
Testing observability of forward-spreaded term structure...
Testing consistency of zero-spreaded term structure...
Testing observability of zero-spreaded term structure...
Testing time series construction...
Testing time series interval price...
Testing TQR eigenvalue decomposition...
Testing TQR zero-off-diagonal eigenvalues...
Testing TQR eigenvector decomposition...
Testing tracing...
Testing transformed grid construction...
Testing variance swap with replicating cost engine...
Testing variance swap with Monte Carlo engine...
Testing volatility model construction...
Testing consistency of compound-forward curve with supplied rates...
Testing consistency of compound-forward curve with converted rates...
Testing simple covariance models...
Testing caplet pricing...
Testing forward swap and swaption pricing...
Testing calibration of a Libor Forward Model...
Testing caplet LMM process initialisation...
Testing caplet-LMM lambda bootstrapping...
Testing caplet-LMM Monte-Carlo caplet pricing...
Testing old-style Monte Carlo single-factor pricers...
Testing old-style Monte Carlo multi-factor pricers...
Tests completed in 17 m 60 s
*** 7 failures detected in test suite "Master Test Suite"
FAIL: quantlib-test-suite
===================================================
1 of 1 tests failed
Please report to quantlib-dev@lists.sourceforge.net
===================================================
make[2]: *** [check-TESTS] Error 1
make[2]: Leaving directory `/home/QuantLib-0.9.0/test-suite'
make[1]: *** [check-am] Error 2
make[1]: Leaving directory `/home/QuantLib-0.9.0/test-suite'
make: *** [check-recursive] Error 1