http://quantlib.414.s1.nabble.com/How-to-handle-sink-schedules-stepped-coupons-stepped-formulas-callable-floaters-tp7771p7781.html
should use to drive around this issue in the MultiCubicSpline class. (In
> Hi Klause,
>
> The change fix the problem.
> To provide some observations for your pursuit:
>
> The culpit is in multicublicspline.cpp (QL v1.2) line 295
> res = a * y[i] + b * y[i + 1] + a2 * y2[i] + b2 * y2[i + 1];
>
> The variable, i do goes up to 13 where nStates=14
> y[i+1] causes the "vector out of range" problem.
> It happens at the very end of the calculation and I suspect it is the
> boundary situations that cause the out of bound problem.
>
> Hope it helps
>
> Billy
>
>
> -----Original Message-----
> From: Klaus Spanderen [mailto:
[hidden email]]
> Sent: Tuesday, May 29, 2012 5:03 AM
> To:
[hidden email]
> Cc: Billy Ng; Luigi Ballabio
> Subject: Re: [Quantlib-users] Test Suite Crashed in QL v1.2
>
>
> Hi Billy
>
> thanks for highlighting this problem.
>
> I don't fully understand the issue yet but it seems that the out of bound
> access occurs in the MultiCubicSpline class, which is used in the multi
> dimensional finite difference solver FdmNdimSolver. As far as I can see it
> seems to be a rounding problem, Changing line 212 in
> fdsimpleklugeextouvppengine.cpp towards
> x[3] = std::min(results.size()-1-1e-8, (Real) (nStates-results.size()+i));
> fixes the problem, I'll investigate this further on.
>
> regards
> Klaus
>
> On Monday 28 May 2012 12:05:31 Billy Ng wrote:
> > Thanks.
> > I did commented out other tests.
> > Running just vppOption.NPV() takes minutes.
> >
> > Some more info, hope it helps.
> > vppOption.NPV() is the only problem.
> > Other VPP tests run fine.
> >
> > Billy
> >
> > -----Original Message-----
> > From: Luigi Ballabio [mailto:
[hidden email]]
> > Sent: Monday, May 28, 2012 5:53 PM
> > To: Billy Ng
> > Cc:
[hidden email]
> > Subject: Re: [Quantlib-users] Test Suite Crashed in QL v1.2
> >
> >
> > As for running vpp.cpp alone, you can just edit quantlibtestsuite.cpp
> > and comment out all the test->add(...) instructions except for the one
> > that adds the VPP tests.
> >
> > As for the error, I don't think you need to go into the Boost code.
> > The problem is likely to be further up in the stack trace, in the code
> > from QuantLib that calls Boost. I'd examine that instruction and see
> > if it's doing something incorrect, like asking an out-of-bound element
> > or looping outside a valid range. When the debugger stops, you can
> > just go up the stack trace to the calling function until you find
> > QuantLib code.
> >
> > Luigi
> >
> > On Mon, May 28, 2012 at 11:10 AM, Billy Ng <
[hidden email]> wrote:
> > > I compiled the whole thing in Debug Mode.
> > > In running the testsuite, it crashed at vpp.cpp after running for a
> > > while I think the problem is caused by "vector subscript out of range"
> > > under Boost. I do not have access to the boost source code, so it turn
> > > up with some disassembly code. Therefore, I cannot trace where went
> > > wrong as it is after running for a while.
> > >
> > > I have the option to copy out vpp.cpp as a standalone project, but I
> > > think I should at least ask in this mailing list to see if there a
> > > solution for it. It does not make sense if I cannot do testing under a
> > > test-suite as the problem may not repeat if running alone
> > >
> > > Billy
> > >
> > > VPPTest::testVPPPricing()
> > > const Real fdmPrice = vppOption.NPV();
> > >
> > > The system crashed at the following, an assertion error.
> > > line 764 std::vector
> > > #if _HAS_ITERATOR_DEBUGGING
> > > if (size() <= _Pos)
> > > {
> > > _DEBUG_ERROR("vector subscript out of range");
> > > _SCL_SECURE_OUT_OF_RANGE;
> > > }
> > > #endif /* _HAS_ITERATOR_DEBUGGING */
> > >
> > >
> > > -----Original Message-----
> > > From: Luigi Ballabio [mailto:
[hidden email]]
> > > Sent: Monday, May 28, 2012 4:54 PM
> > > To: Billy Ng
> > > Cc:
[hidden email]
> > > Subject: Re: [Quantlib-users] Test Suite Crashed in QL v1.2
> > >
> > > On Sat, May 26, 2012 at 5:50 AM, Billy Ng <
[hidden email]> wrote:
> > >> In trying to debug this problem under Test-Suite Project, how to make
> > >> source code visible to the debugger? Sorry if it is a bit off topic.
> > >
> > > It should be as easy as compiling the whole thing in Debug mode and
> > > starting the debugger. Visual Studio should show you the code
> > > automatically. What is it exactly that you're doing?
> > >
> > > Luigi
> >
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