glad you cannot live with error in the test-suite. Me too!
related subjects... or I might leave the fix as exercise to you ;-)
> On Mon, 2011-10-03 at 09:36 -0600, Matt Fair wrote:
>> It doesn't look like anyone is addressing this failure in the tests.
>
> True. Last week I reported it to the author, but he's busy with his
> real work at the moment so it will be a few days before the test is
> fixed. I'm afraid it happens in the best families...
>
> Later,
> Luigi
>
>
>> The test failure was introduced in revision 18001. It alters the way
>> the price values are computed and therefore doesn't pass the test that
>> existed. If the test is wrong, then fix it so the tests pass,
>> otherwise the asset swap code needs to be fixed.
>> I don't know too much about this code, so I don't know what is right
>> or wrong, just know when the test that existed started to fail.
>>
>> Index: ql/instruments/assetswap.cpp
>> ===================================================================
>> --- ql/instruments/assetswap.cpp (revision 18000)
>> +++ ql/instruments/assetswap.cpp (revision 18001)
>> @@ -243,12 +243,12 @@
>> // backpayment on the floating leg
>> // (accounts for non-par redemption, if any)
>> Real backPayment = notional;
>> - shared_ptr<CashFlow> backPaymentCashFlow (new
>> + shared_ptr<CashFlow> backPaymentCashFlow(new
>> SimpleCashFlow(backPayment, finalDate));
>> legs_[1].push_back(backPaymentCashFlow);
>> } else {
>> // final notional exchange
>> - shared_ptr<CashFlow> finalCashFlow (new
>> + shared_ptr<CashFlow> finalCashFlow(new
>> SimpleCashFlow(notional, finalDate));
>> legs_[1].push_back(finalCashFlow);
>> }
>> @@ -349,12 +349,12 @@
>> "fair clean price not available for seasoned deal");
>> Real notional = bond_->notional(upfrontDate_);
>> if (parSwap_) {
>> - fairCleanPrice_ = bondCleanPrice_ -
>> + fairCleanPrice_ = bondCleanPrice_ - payer_[0] *
>> NPV_*npvDateDiscount_/startDiscounts_[1]/(notional/100.0);
>> } else {
>> Real accruedAmount = bond_->accruedAmount(upfrontDate_);
>> Real dirtyPrice = bondCleanPrice_ + accruedAmount;
>> - Real fairDirtyPrice = - legNPV_[0]/legNPV_[1] * dirtyPrice;
>> + Real fairDirtyPrice = - payer_[0] *
>> legNPV_[0]/legNPV_[1] * dirtyPrice;
>> fairCleanPrice_ = fairDirtyPrice - accruedAmount;
>> }
>>
>> @@ -370,7 +370,7 @@
>> QL_REQUIRE(endDiscounts_[1]!=Null<DiscountFactor>(),
>> "fair non par repayment not available for expired leg");
>> Real notional = bond_->notional(upfrontDate_);
>> - fairNonParRepayment_ = nonParRepayment_ -
>> + fairNonParRepayment_ = nonParRepayment_ + payer_[0] *
>> NPV_*npvDateDiscount_/endDiscounts_[1]/(notional/100.0);
>> return fairNonParRepayment_;
>> }
>>
>>
>> On Sat, Sep 17, 2011 at 3:49 PM, Matt Fair <
[hidden email]> wrote:
>> > I noticed this in the tests:
>> >
>> > Testing consistency between fair price and fair spread...
>> > assetswap.cpp(181): fatal error in
>> > "QuantLib::detail::quantlib_test_case(&AssetSwapTest::testConsistency)":
>> > par asset swap fair clean price doesn't zero the NPV:
>> > clean price: 95.0000
>> > fair clean price: 107.0805
>> > NPV: 24.1511
>> > tolerance: 0.0000
>> >
>> > This is the only test that fails.
>> >
>> > Matt
>>
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