test suite error.
Locked
 
|
Hi, I think I’ve found a bug – the test suite is
generating errors on my PC under the debug build (but not under release). I checked-out (in a new directory) the QuantLib trunk. I
compiled it then ran the test suite. I’m getting the following errors
from the test suite:- Testing bond implied value
against asset-swap fair price with null spread... 10>unknown location(0):
fatal error in "AssetSwapTest::testImpliedValue": std::exception:
stdDev (-1.# 10>Testing relationship
between market asset swap and par asset swap... 10>unknown location(0):
fatal error in "AssetSwapTest::testMarketASWSpread": std::exception:
stdDev (-1.# 10>Testing clean and dirty
price with null Z-spread against theoretical prices... 10>unknown location(0):
fatal error in "AssetSwapTest::testZSpread": std::exception: stdDev
(-1.# 10>Testing generic bond
implied value against asset-swap fair price with null spread... 10>unknown location(0):
fatal error in "AssetSwapTest::testGenericBondImplied":
std::exception: stdDev (-1.# 10>Testing market asset
swap against par asset swap with generic bond... 10>unknown location(0):
fatal error in "AssetSwapTest::testMASWWithGenericBond":
std::exception: stdDev (-1.# 10>Testing clean and dirty
price with null Z-spread against theoretical prices... 10>unknown location(0):
fatal error in "AssetSwapTest::testZSpreadWithGenericBond": std::exception:
stdDev (-1.# 10>Testing clean and dirty
prices for specialized bond against equivalent generic bond... 10>unknown location(0):
fatal error in "AssetSwapTest::testSpecializedBondVsGenericBond":
std::exception: stdDev (-1.# 10>Testing asset-swap
prices and spreads for specialized bond against equivalent generic bond... 10>unknown location(0): fatal error in
"AssetSwapTest::testSpecializedBondVsGenericBondUsingAsw":
std::exception: stdDev (-1.# Are these expected? I’ve tracked them down to a code
point in the test file assetswap.cpp, where the code is determining the floor
on a CMS bond rate and the SmileSection class is not initializing the exerciseTime_
member variable. Line 53 of conundrumpricer.cpp gets a smile section for use
from… Line 78 of swaptionconstantvol.cpp creates a
FlatSmileSection using a valid referenceDate. Line 50 of smilesection.cpp defines isFloating_ (false in
this case). Line 59 of conundrumpricer.cpp calls
the variance of the smile section which has an invalid exerciseTime_ member
variable. I don’t see why this would be desired behaviour but I
can’t find any mention (on QuantLib) of the test suite producing
deliberate unhandled errors either. Also, this doesn’t happen (or it isn’t
picked up) under the release build. Can anyone enlighten me? Simon Simon Ibbotson Head of Quantitative Analytics Capital Markets Straumur ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: test suite error.
|
|
On Tue, Mar 11, 2008 at 6:15 PM, Simon Ibbotson
<[hidden email]> wrote: > I think I've found a bug – the test suite is generating errors on my PC > under the debug build (but not under release). > [...] > I've tracked them down to a code point in the test file > assetswap.cpp, where the code is determining the floor on a CMS bond rate > and the SmileSection class is not initializing the exerciseTime_ member > variable. thank you very much for the bug report, it was very clear and straight to the point. I've fixed the bug in Revision 14563. I would appreciate if you could double check that i've solved the issue. I prefer not to think about what was going on in Release mode when exreciseTime_ was not initialized to zero... probably my production code was accessing the SmileSection using the volatility inspector, not the variance one... ciao -- Nando ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
| Free forum by Nabble | Edit this page |