Posted by
Gary Kennedy on
Dec 01, 2007; 7:58pm
URL: http://quantlib.414.s1.nabble.com/Preliminary-0-9-0-tarballs-tp11440p11451.html
I am also seeing some test fails relating HybridHestonHullWhiteProcess.
I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2
Gary
gary@linux:~/ccwork/QuantLib-0.9.0/test-suite> gcc --version
gcc (GCC)
4.0.2 20050901 (prerelease) (SUSE Linux)
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...
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
t:
13.8667
calculated: 0.304786
error: 0.0158731
expected: 0.357429
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
t: 13.9528
calculated: 0.30925
error: 0.0164681
expected: 0.359895
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
t: 14.0361
calculated: 0.313884
error: 0.0168382
expected: 0.366483
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
t: 14.1222
calculated: 0.323935
error: 0.0170272
expected: 0.376798
hybridhestonhullwhiteprocess.cpp(366): error in "HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce expected zero bond prices
t: 14.2056
calculated: 0.336136
error: 0.0173186
expected: 0.39062
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 Joint Calibration of an Heston Equity Processincl. Stochastic Interest Rates via a Hull-White Model...
hybridhestonhullwhiteprocess.cpp(1414): error in "HybridHestonHullWhiteProcessTest::testPseudoJointCalibration": Failed to calibrate Heston Hull-White Model
Quality index: 5.83705
Testing observability of instruments...
Testing segment integration...
On 29/11/2007, Luigi Ballabio <[hidden email]> wrote:On Thu, 2007-11-29 at 08:27 -0800, mattknox_ca wrote:
> I was able to run the test suite finally, but there were some test failures.
Hmm. Those saying "this version of gcc does not support the Boost uBlas
library" are expected. We'll have to look at the Heston one.
Thanks,
Luigi
--
So little done, so much to do.
-- Cecil Rhodes
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