Re: Test Case Failure: SwaptionVolatilityMatrixTest

Posted by David Brown on Feb 15, 2009; 8:43pm
URL: http://quantlib.414.s1.nabble.com/Test-Case-Failure-SwaptionVolatilityMatrixTest-tp12607p12608.html

Same problem and here is the output from:
WINDOWS6, VC9, BOOST 1.38, and QL-0.9.7

Error 1

fatal error in "QuantLib::detail::quantlib_test_case(&SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence)": recovery of atm vols through BlackSwaptionEngine failed for floating reference date, floating market data:

%PROGRAMPATH%\Visual Studio 2008\Projects\QuantLib-0.9.7\test-suite\swaptionvolatilitymatrix.cpp 243 testsuite


Best,
David Brown

Ken-JP wrote

One Error in Windows XP, release build...

------ Build started: Project: testsuite, Configuration: Release (static runtime) Win32 ------
Linking...
Creating manifest...
Auto run test
====================================
Testing QuantLib-vc80-mt-s-0_9_7.lib
====================================
Running 390 test cases...
Platform: Win32
Compiler: Microsoft Visual C++ version 8.0
STL     : Dinkumware standard library version 405
Boost   : 1.35.0
...
Testing swaption volatility matrix...
./swaptionvolatilitymatrix.cpp(214): fatal error in "QuantLib::detail::quantlib_test_case(&SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence)": optionDateFromTenor mismatch for floating reference date, floating market data:
      option tenor: 1M
actual option date: February 11th, 2009
  exp. option date: February 12th, 2009