Re: [Quantlib-dev] Bug#525603: libquantlib0-dev: quantlib-test-suite error

[Dirk E. <ed...@de...>]

Hi,

Arnaud noticed that quantlib-test-suite dies on the error below, seemingly
from the code in test-suite/swaptionvolatilitymatrix.cpp that does:

                    Date exerciseDate = swaption.exercise()->dates().front();
                    if (exerciseDate!=vol->optionDates()[i])
                        BOOST_FAIL(
                             "optionDateFromTenor mismatch for " <<
                             description << ":"
                             "\n      option tenor: " << atm.tenors.options[i] <<
                             "\nactual option date: " << exerciseDate <<
                             "\n  exp. option date: " << vol->optionDates()[i]);


This happened to him on amd64, I see the same on i386.  Is that considered an
actual bug, or merely an imperfect implementation in the date logic in
swaption exercise handling ?

Thanks, Dirk

On 25 April 2009 at 22:53, Arnaud Battistella wrote:
| Hi,
| This is probably a rather unimportant bug; however, quantlib-test-suite reports 1 failure. I do not know if 
| this problem is old or not as it is the first time I run this command (I only use quantlib from R). Let me 
| know if you need additional information.
| Thanks again for your amazing work with R, quantlib, gsl etc...
| Very best!
| A.
| 
| Output:
| 
| Running 390 test cases...
| swaptionvolatilitymatrix.cpp(214): fatal error in 
| "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence": optionDateFromTenor mismatch for floating 
| reference date, floating market data:
|       option tenor: 1M
| actual option date: May 25th, 2009
|   exp. option date: May 27th, 2009
| 
| Tests completed in 18 m 35 s
| 
| 
| *** 1 failure detected in test suite "Master Test Suite"
| 
| -- System Information:
| Debian Release: squeeze/sid
|   APT prefers testing
|   APT policy: (990, 'testing'), (300, 'unstable')
| Architecture: amd64 (x86_64)
| 
| Kernel: Linux 2.6.26-2-amd64 (SMP w/4 CPU cores)
| Locale: LANG=en_US.UTF-8, LC_CTYPE=en_US.UTF-8 (charmap=UTF-8)
| Shell: /bin/sh linked to /bin/bash
| 
| Versions of packages libquantlib0-dev depends on:
| ii  libboost-test-dev           1.34.1-15+b1 components for writing and executi
| ii  libboost-test1.34.1         1.34.1-15+b1 components for writing and executi
| ii  libc6                       2.9-4        GNU C Library: Shared libraries
| ii  libc6-dev                   2.9-4        GNU C Library: Development Librari
| ii  libgcc1                     1:4.3.3-3    GCC support library
| ii  libquantlib-0.9.7           0.9.7-1      Quantitative Finance Library -- de
| ii  libstdc++6                  4.3.3-3      The GNU Standard C++ Library v3
| 
| libquantlib0-dev recommends no packages.
| 
| libquantlib0-dev suggests no packages.
| 
| -- no debconf information
| 
| 

-- 
Three out of two people have difficulties with fractions.