Posted by
Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/spatial-convergence-speed-of-Heston-engine-test-error-tp12946.html
Hi Klaus
the "spatial convergence speed of Heston engine" test fails with my
configuration (details below).
Any hint ?
ciao -- Nando
>Auto run test
7>=======================================================
7>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
7>=======================================================
7>Running 467 test cases...
7>Platform: Win32
7>Compiler: Microsoft Visual C++ version 9.0
7>STL : Dinkumware standard library version 505
7>Boost : 1.44.0
7>Testing spatial convergence speed of Heston engine...
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : 't Hout case 1
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : 't Hout case 2
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : 't Hout case 3
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : 't Hout case 4
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : Ikonen-Toivanen
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : Kahl-Jaeckel
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : Equity case
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : high correlation
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : low Vol-Of-Vol
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV2
7> model : kappaEqSigRho
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : 't Hout case 1
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : 't Hout case 2
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : 't Hout case 3
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : 't Hout case 4
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : Ikonen-Toivanen
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : Kahl-Jaeckel
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : Equity case
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : high correlation
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : low Vol-Of-Vol
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7> scheme : HV1
7> model : kappaEqSigRho
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