http://quantlib.414.s1.nabble.com/problems-making-QuantLib-v-1-1-in-cygwin-on-Windows-7-tp6263p6276.html
windows. I myself haven't much experience of that.
on cygwin). I like to pass my code through different compilers to ensure my
code is as portable and robust as possible. Different compilers have
potential issues with one that the others may have missed. This makes for
better quality code. While I am new to working on risk assessment using
There is another reason also. I try to keep up my skills programming in a
unix-like environment, and I don't have a unix box. Cygwin is the nest best
> check that could give a false positive. Try looking for 'boost'
>
> Later,
> Luigi
>
>
> On Mon, 2011-08-29 at 16:44 -0400, Ted Byers wrote:
> > 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(&MarketModelSmmCapletAlphaCalibr
> ationTest::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(&MarketModelSmmCapletCalibrationT
> est::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(&MarketModelSmmCapletHomoCalibr
> ationTest::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::testFlatTerm
> VolatilityStripping1)":
> >
> > 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::testTermVola
> tilityStripping1)":
> >
> > 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
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> >
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> --
>
> Don't let school get in the way of your education.
> -- Mark Twain
>
>
>
>
virtual desktop model.