Posted by
Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/spatial-convergence-speed-of-Heston-engine-test-error-tp12946p12948.html
On Mon, Dec 13, 2010 at 4:20 PM, Klaus Spanderen <
[hidden email]> wrote:
> 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?
I've checked in this changed line
if (avgPriceDiff > tol[i]) {
BOOST_ERROR("\nFailed to reproduce Heston prices" <<
"\n scheme : " << schemes[i].name <<
"\n model : " << hestonModels[j].name <<
"\n error : " << avgPriceDiff <<
"\n tolerance : " << tol[i]);
}
the errors (see below) are so huge that this might be an easy fix... ;-)
ciao -- Nando
>Auto run test
1>=======================================================
1>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
1>=======================================================
1>Running 4 test cases...
1>Platform: Win32
1>Compiler: Microsoft Visual C++ version 9.0
1>STL : Dinkumware standard library version 505
1>Boost : 1.44.0
1>Testing spatial convergence speed of Heston engine...
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : 't Hout case 1
1> error : 5.13291e+166
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : 't Hout case 2
1> error : 3.02071e+136
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : 't Hout case 3
1> error : 1.00308e+164
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : 't Hout case 4
1> error : 1.33395e+176
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : Ikonen-Toivanen
1> error : 2.00548e+160
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : Kahl-Jaeckel
1> error : 6.90768e+194
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : Equity case
1> error : 2.37078e+198
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : high correlation
1> error : 3.87152e+202
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : low Vol-Of-Vol
1> error : 6.07056e+139
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV2
1> model : kappaEqSigRho
1> error : 7.19017e+178
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : 't Hout case 1
1> error : 5.13291e+166
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : 't Hout case 2
1> error : 3.02071e+136
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : 't Hout case 3
1> error : 1.00308e+164
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : 't Hout case 4
1> error : 1.33395e+176
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : Ikonen-Toivanen
1> error : 2.00548e+160
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : Kahl-Jaeckel
1> error : 6.90768e+194
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : Equity case
1> error : 2.37078e+198
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : high correlation
1> error : 3.87152e+202
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : low Vol-Of-Vol
1> error : 6.07056e+139
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme : HV1
1> model : kappaEqSigRho
1> error : 7.19017e+178
1> tolerance : 0.02
1>
------------------------------------------------------------------------------
Lotusphere 2011
Register now for Lotusphere 2011 and learn how
to connect the dots, take your collaborative environment
to the next level, and enter the era of Social Business.
http://p.sf.net/sfu/lotusphere-d2d_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev