Re: Release candidates for QuantLib 1.6

Posted by igitur on
URL: http://quantlib.414.s1.nabble.com/Release-candidates-for-QuantLib-1-6-tp16628p16670.html

I tried, but unfortunately I don't know much about pathwise vegas.

What I can tell you is that the test fails in \test-suite\marketmodel.cpp line 3628 

for (Size s=0; s  < capsDeflated.numberOfProducts(); ++s)

{

    Real mcVega = vegasMatrix[s][b];

    Real analyticVega = vegaCaps[s];

    Real thisError =  mcVega - analyticVega;

    Real thisSE = standardErrors[s][b];

    if (fabs(thisError) >  0.0)

    {

        Real errorInSEs = fabs(thisError/thisSE);

        if (errorInSEs > 3.5)

            ++numberErrors;

    }

}

with 

s=1

b=13

mcVega = 3.4254718729879052e-007

analyticVega = 0.00000000000000000

thisSE = 9.6387087427780794e-008

errorInSEs = 3.5538700923549351

The errorInSEs is just outside the 3.5 threshold. Anyone else on 32bit getting this test failure?

regards

Francois Botha

On 11 June 2015 at 11:44, Luigi Ballabio <[hidden email]> wrote:

Hi Francois,
    any chance you can investigate further?

Luigi

On 15:38, Tue, Jun 9, 2015 Francois Botha <[hidden email]> wrote:

On Win32, VC10, Boost 1.55, the test suite gives this error:

c:/dev/quantlib/quantlib/test-suite/marketmodel.cpp(3638): fatal error in "QuantLib::detail::quantlib_test_case(&MarketModelTest::testPathwiseVegas)": caps Pathwise vega test fails : 1  

Francois Botha

On 8 June 2015 at 19:47, Ferdinando M. Ametrano <[hidden email]> wrote:

Hi all

candidates for QuantLibXL 1.6 are available too:
https://sourceforge.net/projects/quantlib/files/QuantLibXL/prerelease/

For the time being it's just win32: tomorrow x64 target will be added.

Any feedback is appreciated, especially on the x64 target.

The branch for any QuantLibXL pull requests is:
https://github.com/fametrano/quantlib/tree/v1.6.x

ciao -- Nando

On Fri, Jun 5, 2015 at 10:35 AM, Luigi Ballabio <[hidden email]> wrote:

Hi all,

     candidates for next release are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>.

If you have some spare time, please download them, check if they compile and work on your machine, and report the results here.

Thanks,

    Luigi

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