Posted by
Dirk Eddelbuettel on
Apr 26, 2009; 12:13pm
URL: http://quantlib.414.s1.nabble.com/Re-Bug-525603-libquantlib0-dev-quantlib-test-suite-error-tp12697.html
Hi,
Arnaud noticed that quantlib-test-suite dies on the error below, seemingly
from the code in test-suite/swaptionvolatilitymatrix.cpp that does:
Date exerciseDate = swaption.exercise()->dates().front();
if (exerciseDate!=vol->optionDates()[i])
BOOST_FAIL(
"optionDateFromTenor mismatch for " <<
description << ":"
"\n option tenor: " << atm.tenors.options[i] <<
"\nactual option date: " << exerciseDate <<
"\n exp. option date: " << vol->optionDates()[i]);
This happened to him on amd64, I see the same on i386. Is that considered an
actual bug, or merely an imperfect implementation in the date logic in
swaption exercise handling ?
Thanks, Dirk
On 25 April 2009 at 22:53, Arnaud Battistella wrote:
| Hi,
| This is probably a rather unimportant bug; however, quantlib-test-suite reports 1 failure. I do not know if
| this problem is old or not as it is the first time I run this command (I only use quantlib from R). Let me
| know if you need additional information.
| Thanks again for your amazing work with R, quantlib, gsl etc...
| Very best!
| A.
|
| Output:
|
| Running 390 test cases...
| swaptionvolatilitymatrix.cpp(214): fatal error in
| "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence": optionDateFromTenor mismatch for floating
| reference date, floating market data:
| option tenor: 1M
| actual option date: May 25th, 2009
| exp. option date: May 27th, 2009
|
| Tests completed in 18 m 35 s
|
|
| *** 1 failure detected in test suite "Master Test Suite"
|
| -- System Information:
| Debian Release: squeeze/sid
| APT prefers testing
| APT policy: (990, 'testing'), (300, 'unstable')
| Architecture: amd64 (x86_64)
|
| Kernel: Linux 2.6.26-2-amd64 (SMP w/4 CPU cores)
| Locale: LANG=en_US.UTF-8, LC_CTYPE=en_US.UTF-8 (charmap=UTF-8)
| Shell: /bin/sh linked to /bin/bash
|
| Versions of packages libquantlib0-dev depends on:
| ii libboost-test-dev 1.34.1-15+b1 components for writing and executi
| ii libboost-test1.34.1 1.34.1-15+b1 components for writing and executi
| ii libc6 2.9-4 GNU C Library: Shared libraries
| ii libc6-dev 2.9-4 GNU C Library: Development Librari
| ii libgcc1 1:4.3.3-3 GCC support library
| ii libquantlib-0.9.7 0.9.7-1 Quantitative Finance Library -- de
| ii libstdc++6 4.3.3-3 The GNU Standard C++ Library v3
|
| libquantlib0-dev recommends no packages.
|
| libquantlib0-dev suggests no packages.
|
| -- no debconf information
|
|
--
Three out of two people have difficulties with fractions.
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