http://quantlib.414.s1.nabble.com/problems-making-QuantLib-v-1-1-in-cygwin-on-Windows-7-tp6263p6274.html
I am curious to know why to compile QuantLib in cygwin on Windows? Thanks.
code check that could give a false positive. Try looking for 'boost'
tests.
> I have boost 1.47.0 built and installed.
>
>
>
> Here is the last few lines of output from make:
>
>
>
> /bin/sh ../libtool --tag=CXX --mode=link g++ -g -O2
> -lboost_unit_test_framework-mt -o quantlib-test-suite.exe
> quantlibtestsuite.o americanoption.o array.o asianoptions.o
> assetswap.o autocovariances.o barrieroption.o basketoption.o
> batesmodel.o bermudanswaption.o blackdeltacalculator.o bonds.o
> brownianbridge.o calendars.o capfloor.o capflooredcoupon.o cashflows.o
> cdo.o cdsoption.o chooseroption.o cliquetoption.o cms.o
> commodityunitofmeasure.o compoundoption.o convertiblebonds.o
> covariance.o creditdefaultswap.o curvestates.o dates.o daycounters.o
> defaultprobabilitycurves.o digitalcoupon.o digitaloption.o
> distributions.o dividendoption.o europeanoption.o everestoption.o
> exchangerate.o extendedtrees.o factorial.o fastfouriertransform.o
> fdheston.o fdmlinearop.o forwardoption.o gaussianquadratures.o
> gjrgarchmodel.o hestonmodel.o himalayaoption.o
> hybridhestonhullwhiteprocess.o inflation.o inflationcapfloor.o
> inflationcapflooredcoupon.o inflationvolatility.o instruments.o
> integrals.o interestrates.o interpolations.o jumpdiffusion.o
> libormarketmodel.o libormarketmodelprocess.o
> linearleastsquaresregression.o lookbackoptions.o
> lowdiscrepancysequences.o margrabeoption.o marketmodel.o
> marketmodel_cms.o marketmodel_smm.o
> marketmodel_smmcapletalphacalibration.o
> marketmodel_smmcapletcalibration.o
> marketmodel_smmcaplethomocalibration.o matrices.o
> mclongstaffschwartzengine.o mersennetwister.o money.o nthtodefault.o
> operators.o optimizers.o optionletstripper.o overnightindexedswap.o
> pagodaoption.o pathgenerator.o period.o piecewiseyieldcurve.o
> quantooption.o quotes.o rangeaccrual.o riskstats.o rngtraits.o
> rounding.o sampledcurve.o shortratemodels.o solvers.o stats.o
> surface.o swap.o swapforwardmappings.o swaption.o
> swaptionvolatilitycube.o swaptionvolatilitymatrix.o termstructures.o
> timeseries.o transformedgrid.o tqreigendecomposition.o tracing.o
> utilities.o variancegamma.o varianceoption.o varianceswaps.o
> volatilitymodels.o libUnitMain.la ../ql/libQuantLib.lalibtool: link: g
> ++ -g -O2 -o .libs/quantlib-test-suite.exe quantlibtestsuite.o
> americanoption.o array.o asianoptions.o assetswap.o autocovariances.o
> barrieroption.o basketoption.o batesmodel.o bermudanswaption.o
> blackdeltacalculator.o bonds.o brownianbridge.o calendars.o capfloor.o
> capflooredcoupon.o cashflows.o cdo.o cdsoption.o chooseroption.o
> cliquetoption.o cms.o commodityunitofmeasure.o compoundoption.o
> convertiblebonds.o covariance.o creditdefaultswap.o curvestates.o
> dates.o daycounters.o defaultprobabilitycurves.o digitalcoupon.o
> digitaloption.o distributions.o dividendoption.o europeanoption.o
> everestoption.o exchangerate.o extendedtrees.o factorial.o
> fastfouriertransform.o fdheston.o fdmlinearop.o forwardoption.o
> gaussianquadratures.o gjrgarchmodel.o hestonmodel.o himalayaoption.o
> hybridhestonhullwhiteprocess.o inflation.o inflationcapfloor.o
> inflationcapflooredcoupon.o inflationvolatility.o instruments.o
> integrals.o interestrates.o interpolations.o jumpdiffusion.o
> libormarketmodel.o libormarketmodelprocess.o
> linearleastsquaresregression.o lookbackoptions.o
> lowdiscrepancysequences.o margrabeoption.o marketmodel.o
> marketmodel_cms.o marketmodel_smm.o
> marketmodel_smmcapletalphacalibration.o
> marketmodel_smmcapletcalibration.o
> marketmodel_smmcaplethomocalibration.o matrices.o
> mclongstaffschwartzengine.o mersennetwister.o money.o nthtodefault.o
> operators.o optimizers.o optionletstripper.o overnightindexedswap.o
> pagodaoption.o pathgenerator.o period.o piecewiseyieldcurve.o
> quantooption.o quotes.o rangeaccrual.o riskstats.o rngtraits.o
> rounding.o sampledcurve.o shortratemodels.o solvers.o stats.o
> surface.o swap.o swapforwardmappings.o swaption.o
> swaptionvolatilitycube.o swaptionvolatilitymatrix.o termstructures.o
> timeseries.o transformedgrid.o tqreigendecomposition.o tracing.o
> utilities.o variancegamma.o varianceoption.o varianceswaps.o
> volatilitymodels.o
> -lboost_unit_test_framework-mt ./.libs/libUnitMain.a
> ../ql/.libs/libQuantLib.a
> /usr/lib/gcc/i686-pc-cygwin/4.3.4/libstdc++.dll.a -L/usr/lib/gcc/i686-pc-cygwin/4.3.4
> ./.libs/libUnitMain.a(libUnitMain_la-main.o):
>
> In function `main':
>
> /home/Ted/QuantLib-1.1/test-suite/main.cpp:11: undefined reference to
> `boost::unit_test::unit_test_main(bool (*)(), int, char**)'
>
> ./.libs/libUnitMain.a(libUnitMain_la-main.o): In function
> `_Z13init_functionv':
>
> /home/Ted/QuantLib-1.1/test-suite/main.cpp:7: undefined reference to
> `boost::unit_test::framework::master_test_suite()'
>
> collect2: ld returned 1 exit status
>
> make[1]: *** [quantlib-test-suite.exe] Error 1
>
> make[1]: Leaving directory `/home/Ted/QuantLib-1.1/test-suite'
>
> make: *** [all-recursive] Error 1
>
>
>
> However, that last command works if I edit it to have '
> lboost_unit_test_framework-mt ' come after './.libs/libUnitMain.a ',
> as in :
>
> g++ -g -O2 -o .libs/quantlib-test-suite.exe quantlibtestsuite.o
> americanoption.o array.o asianoptions.o assetswap.o autocovariances.o
> barrieroption.o basketoption.o batesmodel.o bermudanswaption.o
> blackdeltacalculator.o bonds.o brownianbridge.o calendars.o capfloor.o
> capflooredcoupon.o cashflows.o cdo.o cdsoption.o chooseroption.o
> cliquetoption.o cms.o commodityunitofmeasure.o compoundoption.o
> convertiblebonds.o covariance.o creditdefaultswap.o curvestates.o
> dates.o daycounters.o defaultprobabilitycurves.o digitalcoupon.o
> digitaloption.o distributions.o dividendoption.o europeanoption.o
> everestoption.o exchangerate.o extendedtrees.o factorial.o
> fastfouriertransform.o fdheston.o fdmlinearop.o forwardoption.o
> gaussianquadratures.o gjrgarchmodel.o hestonmodel.o himalayaoption.o
> hybridhestonhullwhiteprocess.o inflation.o inflationcapfloor.o
> inflationcapflooredcoupon.o inflationvolatility.o instruments.o
> integrals.o interestrates.o interpolations.o jumpdiffusion.o
> libormarketmodel.o libormarketmodelprocess.o
> linearleastsquaresregression.o lookbackoptions.o
> lowdiscrepancysequences.o margrabeoption.o marketmodel.o
> marketmodel_cms.o marketmodel_smm.o
> marketmodel_smmcapletalphacalibration.o
> marketmodel_smmcapletcalibration.o
> marketmodel_smmcaplethomocalibration.o matrices.o
> mclongstaffschwartzengine.o mersennetwister.o money.o nthtodefault.o
> operators.o optimizers.o optionletstripper.o overnightindexedswap.o
> pagodaoption.o pathgenerator.o period.o piecewiseyieldcurve.o
> quantooption.o quotes.o rangeaccrual.o riskstats.o rngtraits.o
> rounding.o sampledcurve.o shortratemodels.o solvers.o stats.o
> surface.o swap.o swapforwardmappings.o swaption.o
> swaptionvolatilitycube.o swaptionvolatilitymatrix.o termstructures.o
> timeseries.o transformedgrid.o tqreigendecomposition.o tracing.o
> utilities.o variancegamma.o varianceoption.o varianceswaps.o
> volatilitymodels.o ./.libs/libUnitMain.a
> -lboost_unit_test_framework-mt ../ql/.libs/libQuantLib.a
> /usr/lib/gcc/i686-pc-cygwin/4.3.4/libstdc++.dll.a -L/usr/lib/gcc/i686-pc-cygwin/4.3.4
>
>
>
> This last command, executed in test-suite, works fine, and here is the
> output of running quantlib-test-suite.exe in ,libs that it produces:
>
>
>
> Ted@Ted-acer-i7w7 ~/QuantLib-1.1/test-suite/.libs
>
> $ ./quantlib-test-suite.exe
>
> Running 467 test cases...
>
> unknown location(0): fatal error in
> "QuantLib::detail::quantlib_test_case(&MarketModelSmmCapletAlphaCalibrationTest::testFunction)":
> std::exception: last caplet vol (0.1340376439125532) must be equal to last
> swaption vol (0.1340517152226495); discrepancy is 1.407131009625862e-05
>
> utilities.hpp(78): last checkpoint
>
> unknown location(0): fatal error in
> "QuantLib::detail::quantlib_test_case(&MarketModelSmmCapletCalibrationTest::testFunction)":
> std::exception: last caplet vol (0.1340376439125532) must be equal to last
> swaption vol (0.1340517152226495); discrepancy is 1.407131009625862e-05
>
> utilities.hpp(78): last checkpoint
>
> unknown location(0): fatal error in
> "QuantLib::detail::quantlib_test_case(&MarketModelSmmCapletHomoCalibrationTest::testFunction)":
> std::exception: last caplet vol (0.1340376439125532) must be equal to last
> swaption vol (0.1340517152226495); discrepancy is 1.407131009625862e-05
>
> utilities.hpp(78): last checkpoint
>
> optionletstripper.cpp(303): fatal error in
> "QuantLib::detail::quantlib_test_case(&OptionletStripperTest::testFlatTermVolatilityStripping1)":
>
> option tenor: 3Y
>
> strike: 4.000000 %
>
> stripped vol price: 0.766155 %
>
> constant vol price: 0.769284 %
>
> error: 0.003129 %
>
> tolerance: 0.002500 %
>
> optionletstripper.cpp(362): fatal error in
> "QuantLib::detail::quantlib_test_case(&OptionletStripperTest::testTermVolatilityStripping1)":
>
> option tenor: 4Y
>
> strike: 4.000000 %
>
> stripped vol price: 1.011738 %
>
> constant vol price: 1.015189 %
>
> error: 0.003451 %
>
> tolerance: 0.002500 %
>
>
>
> Tests completed in 17 m 37 s
>
>
>
>
>
> *** 5 failures detected in test suite "Master Test Suite"
>
>
>
> There are, thus, two questions.
>
>
>
> 1) How do I fix the makefiles QuantLib's files produces so that the
> two problem libraries are included in the right order in the above
> command?
>
> 2) Is this output from 'quantlib-test-suite.exe' indicative of serious
> problems, sufficient to warrant caution in installing QuantLib? If
> so, how do I fix things? 5 failures out of 467 tests doesn't seem too
> bad. And differences like '1.407131009625862e-05' in a number like
> '0.1340517152226495' doesn't seem too bad. But then, I am drawing on
> experience in modelling environmental systems were one can count
> onself lucky if you can get 3 significant figures in one's
> measurements.
>
>
>
> My aim is to study what QuantLib can do for me, and how? What is the
> best way to proceed. Like most open source products I have used, the
> documentation is OK, but short on details when things go awry.
>
>
>
> Thanks
>
>
>
> Ted
>
>
>
>
> ------------------------------------------------------------------------------
> Special Offer -- Download ArcSight Logger for FREE!
> Finally, a world-class log management solution at an even better
> price-free! And you'll get a free "Love Thy Logs" t-shirt when you
> download Logger. Secure your free ArcSight Logger TODAY!
>
http://p.sf.net/sfu/arcsisghtdev2dev> _______________________________________________ QuantLib-users mailing
> list
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-usersDon't let school get in the way of your education.
virtual desktop model.
virtual desktop model.