http://quantlib.414.s1.nabble.com/spatial-convergence-speed-of-Heston-engine-test-error-tp12946p12949.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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 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::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme : HV1
> 1> model : kappaEqSigRho
> 1> error : 7.19017e+178
> 1> tolerance : 0.02
> 1>
>
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