On Wed, 2007-06-06 at 08:49 +1000, Mark joshi wrote:
> here are his comments:
>
> "
> Visual Studio 2003 (at work) and 2005 (at home). Both give test failures
> due to errors exceeding tols, and appears to hang in debug mode part way
> through (in debug mode).
> "
Ok, I reproduced it---I launched VC7 compilation and test suite in debug
mode yesterday before going home, and this morning it was still trying
to price callable swaps.
In reverse order:
- it does seem to hang, but it's because "slow" doesn't even begin to
express how the callable-swap tests are in debug mode. They take maybe
15 minutes in release mode, which translates to several hours in debug
mode.
- previous test fail, but not because of tolerances--the message is a
bit misleading in this case. The tests are repricing a string of
instruments (say, coterminal swaps) in a single simulation. The error
for each instrument is sensible (on average, about one sigma or less)
but the problem is that all errors are on the same side (for the ones I
saw, all negative.) It might be a chance, but I think it's unlikely.
Unfortunately I don't have the time to look into it now. Anyone?
Later,
Luigi
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