Re: Failed test in CVS

Posted by Neil Firth on
URL: http://quantlib.414.s1.nabble.com/Failed-test-in-CVS-tp3393p3394.html

Hi,

It is a bit strange that it has just started failing, but as it is a MC
method for a difficult test case, and not that far out I wouldn't worry
too much. Try incresing the number of simulations and see whether it
converges, or reducing the tolerance. Let me know how you get on.

Neil



Joseph Wang wrote:

> I'm getting this error when I run the test suite.  Any ideas as to
> where to start
> looking for a fix?
>
> digitaloption.cpp(735): fatal error in
> "DigitalOptionTest::testMCCashAtHit": American put option with
> cash-or-nothing payoff:
>    spot value: 105.000000
>    strike:           100.000000
>    dividend yield:   20.00000%
>    risk-free rate:   10.00000%
>    reference date:   November 1st, 2004
>    maturity:         April 30th, 2005
>    volatility:       20.00000%
>
>    expected   value: 12.271500
>    calculated value: 12.280527
>    error:            0.009027
>    tolerance:        0.001000
>
> Tests completed in 907.46 s
>
>
>
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