test-suite failure with capfloor on mac
Posted by mrtreibe on Mar 18, 2004; 8:53pm
URL: http://quantlib.414.s1.nabble.com/test-suite-failure-with-capfloor-on-mac-tp2831.html
As a small contribution I'm putting together a fink package description
for the mac. Fink is basically a collection of unix-ports that uses
the debian package system. Previously I was using quantlib without
cppunit but I eventually got around to installing it and found that the
test-suite is successful with the exception of a single case in the
cap/floor dependency on strike. Here's the output from
quantlib-test-suite:
Test Results:
Run: 77 Failures: 1 Errors: 0
1) test: Testing cap/floor dependency on strike (F) line: 164
capfloor.cpp
"NPV is increasing with the strike in a cap:
length: 5 years
volatility: 1.00 %
value: -0.000000 at strike: 6.00 %
value: 0.000000 at strike: 7.00 %"
By expanding the precision displayed it looks like its a numerical
rounding error thats probably an artifact of the double-precision
emulation of the G4. Given below are other values at different strikes
for a length of 5 years and a volatility of 1%.
values: 9.13001481746623966274 at strike: 3.00 %
values: 4.70647037771517862126 at strike: 4.00 %
values: 0.31883582613931149563 at strike: 5.00 %
values: 0.00000081081387526048 at strike: 5.50 %
values: -0.00000000000000001577 at strike: 6.00 %
values: 0.00000000000000000000 at strike: 6.50 %
values: 0.00000000000000000000 at strike: 7.00 %
The above results were from 0.3.4 but I also tested with cvs and had
the same results. I'm tempted to just remove that single case for the
fink package but how can the implementation be corrected for the mac?
Is it there another problem here that I'm overlooking.
Mark.