http://quantlib.414.s1.nabble.com/bugs-in-quantlib-in-bootstrap-and-CumulativeNormalDistribution-tp2182p2185.html
To reproduce the bug is not difficult. Simply build the curve using futures and
> Hi Xavier,
> sorry for the delay, but we're having some hectic weeks and
> QuantLib has to get behind...
>
> At 07:21 PM 9/11/02 +0200,
[hidden email] wrote:
> >Bug 1: already reported :
> >
> >"Crashing error in bootstrap:
> >Building piecewiseFlatForward curve with futures and swaps only, the
> >function crash.
> >As far as I understand, This is because in FuturesRateHelper'
> >discountGuess() function it calls discountImpl which try to get a value
> >with array index -1.
> >As a safety guard, I think in bootstrap() of PiecewiseFlatForward, we
> >should have
> > double guess= ( (i==1)? Null< double >() : instrument->discountGuess() );
> >instead of
> >double guess = instrument->discountGuess();
> >To prevent this from happening. "
>
> I haven't been able to reproduce this (and besides, I've had a look at
> discountImpl and it seems sound---i.e., steps are taken to ensure that
> the array is not accessed out of bounds).
> Can you send me a set of data for which the bootstrapping fails?
>
> >Bug2: Europeanoption pricing on Unix:
> >We check the code and found that in "europeanoption.hpp" the following
> >const static member is declared:
> >
> > static const Math::CumulativeNormalDistribution f_;
> >
> >This variable "f_" is never explicitly initialized, thus it is up to the
> >compilor to decide what to do when it is first used.
>
> Argh. I'm tempted to blame the compiler for this, as the above is
> initialized in europeanoption.cpp as
> const Math::CumulativeNormalDistribution EuropeanOption::f_;
> which should be equivalent to
> const Math::CumulativeNormalDistribution EuropeanOption::f_ =
> Math::CumulativeNormalDistribution();
> which in turn should properly initialize f_ with a sigma=1.
> However, I'm too lazy to look up the C++ standard, so I might be wrong.
>
> Anyway, let's try to code around this. What happens on Unix if you:
> a) remove the line
> static const Math::CumulativeNormalDistribution f_;
> from europeanoption.hpp
> b) replace the line
> const Math::CumulativeNormalDistribution EuropeanOption::f_;
> in europeanoption.cpp with
> namespace {
> const Math::CumulativeNormalDistribution f_;
> }
> and leave the rest unmodified?
>
> Later,
> Luigi
>
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