Posted by
Billy Ng-5 on
URL: http://quantlib.414.s1.nabble.com/Multiple-complilation-errors-QuantLibXL-1-1-tp650p652.html
unknown location(0): fatal error in "QuantLib::detail::quantlib_test_case(&SwaptionTest::testCashSettledSwaptions)": std::exception: 1st leg: d1 (March 31st, 2015) later than d2 (March 30th, 2015)
c:\quantlib-1.2\test-suite\utilities.hpp(78): last checkpoint
The test suite - Swaption is run on today (CommonVars) = March 24, 2012 with the above error.
Tried with other days 25, 26, March, 2012 have the same problem
For today = March 27, 2012, the same error with d1 and d2 changed to 2020
It run fine if today = March 23, 2012
As I just started going through the system, what does it mean and the cause of the problem?
Meanwhile, I am going over the Example Code on Market Model, two questions:
1. What is the Pathwise Greeks methodology used for the simulation, the 1999 Glasserman & Zhao, or the Adjoint method, or the more current modified adjoint method?
2. What is that upper/inner bound calculation? What is outer paths and inner paths?
Many Thanks
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