QuantLib - Re: "spatial convergence speed of Heston engine" test error

Re: "spatial convergence speed of Heston engine" test error

Posted by Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/spatial-convergence-speed-of-Heston-engine-test-error-tp12946p12947.html

Hi Nando,

unfortunately the test case runs without an error on my linux machine. Can
you please do me a favour and add the following line to the test case rerum
it and send me the result?

line 1179
printf("%s %s %f %f\n",schemes[i].name,
hestonModels[j].name,avgPriceDiff, tol[i]);

(next line is if (avgPriceDiff > tol[i]) ....)

thanks in advance
Klaus

On Monday 13 December 2010 15:02:53 Ferdinando Ametrano wrote:

> 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV2
> 7> model : Ikonen-Toivanen
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV2
> 7> model : Kahl-Jaeckel
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV2
> 7> model : Equity case
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV2
> 7> model : high correlation
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV2
> 7> model : kappaEqSigRho
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV1
> 7> model : Ikonen-Toivanen
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV1
> 7> model : Kahl-Jaeckel
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV1
> 7> model : Equity case
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV1
> 7> model : high correlation
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7> scheme : HV1
> 7> model : kappaEqSigRho
>
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