Posted by
Billy Ng-5 on
URL: http://quantlib.414.s1.nabble.com/Multiple-complilation-errors-QuantLibXL-1-1-tp650p655.html
Any comment on my other two questions on Market Model Example Code?
1. What is the Pathwise Greeks methodology used in the simulation?
2. What is that upper/inner bound calculation in the example code? What is outer paths and inner paths?
Billy Ng
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Wednesday, March 28, 2012 9:04 PM
To: Billy Ng
Cc:
[hidden email]
Subject: Re: QuantLib 1.2 Test Suite - Swaption Test Valiadtion Fails
As expected, it was a problem with date adjustments. I just committed a fix.
Thanks for the heads-up.
Luigi
On Mon, Mar 26, 2012 at 4:16 PM, Luigi Ballabio
<
[hidden email]> wrote:
> On Sat, Mar 24, 2012 at 4:13 PM, Billy Ng <
[hidden email]> wrote:
>> 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.
>> As I just started going through the system, what does it mean and the cause of the problem?
>
> Date adjustments going awry on an end of month, I guess. We'll have
> to investigate.
>
> Later,
> Luigi
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