Re: [Quantlib-dev] CDO test failure

[Chris L. <Chr...@so...>]

Hi Nando,

Nice to see the credit stuff is getting in there at last.
You may wish to add the line

results_.expectedTrancheLoss.resize(dates.size(), 0.0);

in syntheticcdoengines.cpp, line 184.

Rgds,
Chris

-----Original Message-----
From: Ferdinando Ametrano [mailto:na...@am...] 
Sent: 16 October 2008 11:20
To: QuantLib developers
Cc: Roland Lichters
Subject: [Quantlib-dev] CDO test failure


Hi all

the CDO unit test fails with VC8 and VC9. Any idea why and how to fix
it? Please find below the relevant report.

ciao -- Nando

==================

------ Build started: Project: testsuite, Configuration: Release Win32
------ Auto run test ==================================
Testing QuantLib-vc90-mt-0_9_7.lib ==================================
Running 385 test cases...
Platform: Win32
Compiler: Microsoft Visual C++ version 9.0
STL     : Dinkumware standard library version 503
Boost   : 1.35.0
Testing Barone-Adesi and Whaley approximation for American options...
[...] Testing CDO premiums against Hull-White values... correlation
attach - detach expected : found1 found2 ...
--------------------------------------------------------
unknown location(0): fatal error in "CdoTest::testHW": Invalid parameter
detected by C runtime library
.\cdo.cpp(69): last checkpoint
Testing Cliquet option values...
[...]
Testing caplet LMM Monte-Carlo caplet pricing...

Tests completed in 31 m 18 s
Test suite "Master Test Suite" failed with:
  440 assertions out of 441 passed
  1 assertion out of 441 failed
  384 test cases out of 385 passed
  1 test case out of 385 failed
  1 test case out of 385 aborted
Build log was saved at
"file://c:\Projects\trunk\QuantLib\test-suite\build\vc90\Release\BuildLo
g.htm"
testsuite - 1 error(s), 0 warning(s)

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