[Quantlib-dev] "spatial convergence speed of Heston engine" test error

[Ferdinando A. <na...@am...>]

Hi Klaus

the "spatial convergence speed of Heston engine" test fails with my
configuration (details below).
Any hint ?

ciao -- Nando


>Auto run test
7>=======================================================
7>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
7>=======================================================
7>Running 467 test cases...
7>Platform: Win32
7>Compiler: Microsoft Visual C++ version 9.0
7>STL     : Dinkumware standard library version 505
7>Boost   : 1.44.0
7>Testing spatial convergence speed of Heston engine...
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 1
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 2
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 3
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 4
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : Ikonen-Toivanen
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : Kahl-Jaeckel
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : Equity case
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : high correlation
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : low Vol-Of-Vol
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : kappaEqSigRho
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 1
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 2
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 3
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 4
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : Ikonen-Toivanen
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : Kahl-Jaeckel
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : Equity case
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : high correlation
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : low Vol-Of-Vol
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : kappaEqSigRho