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AW: AW: [Quantlib-dev] Some issues
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From: Jens T. <jen...@st...> - 2003-01-10 16:56:18
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> >Another thing: The PieceWiseFlatForward test (or better: the
> equivalent .NET
> >test) fails on holidays (because it will lookup the fixing
> history for the
> >preceding business day); I guess the same will be true for the
> SWIG tests.
>
> No, the SWIG tests pass just fine.
No Luigi, they do not (I dare to contradict the master...):
I changed my machines date to Sunday, and got the following results (VC6 and
python 2.1, if it matters), which are consistent to QL.NET tests (see log
below).
While running the tests, I was also able to reproduce an error in the
DateTest. Since it only "throws" in DEBUG mode, I suspect that it gets
caught by some DEBUG-only REQUIRE or so. Haven't looked further into it yet
(see also log below).
Another thing for the final release: .dsp and .dsw files must be checked out
with DOS line-endings. Otherwise VS6 and VS.NET can not open them (you won't
notice this from a CVS checkout as it will automatically adjust EOL).
Beside this, the gm release is converted w/o problems and compiles fine with
VC7 except for a few warnings which I fixed in the CVS tree (while writing
these I also got your mail concerning CVS trunks). I think you can add VC7
to the lists of supported platforms.
Jens.
C:\dvlp\QL-0.3.1gm\QuantLib-Python-0.3.1>python_d setup.py test
Adding parser accelerators ...
Done.
running test
running build
running build_py
not copying QuantLib\__init__.py (output up-to-date)
not copying QuantLib\QuantLib.py (output up-to-date)
running build_ext
skipping 'QuantLib._QuantLib' extension (up-to-date)
testing QuantLib 0.3.1-debug
Testing cap/floor value against cached values ... ok
Testing consistency between cap, floor and collar ... ERROR
Testing put/call parity for cap and floor ... ERROR
Testing cap/floor dependency on strike ... ERROR
Testing covariance calculation ... ok
Testing dates ... ERROR
Testing actual/actual day counters ... ok
Testing distributions ... ok
Testing binomial European engines against analytic results ... ok
Testing European option greeks ... ok
Testing European option implied volatility ... ok
Testing old-style American-type pricers ... ok
Testing old-style barrier option pricer ... ok
Testing old-style binary option pricer ... ok
Testing old-style cliquet option pricer ... ok
Testing old-style European option pricer with dividends ... ok
Testing old-style finite-difference European option pricer ... ok
Testing old-style Monte Carlo multi-factor pricers ... ok
Testing old-style Monte Carlo single-factor pricers ... ok
Testing observability of stocks ... ok
Testing composite market element ... ok
Testing derived market elements ... ok
Testing observability of market elements ... ok
Testing observability of market element handles ... ok
Testing differential operators ... ok
Testing piecewise flat forward curve ... ERROR
Testing risk statistics ... ok
Testing segment integral ... ok
Testing simple swap calculation against cached value ... ok
Testing simple swap calculation of fair fixed rate ... ERROR
Testing simple swap calculation of fair floating spread ... ERROR
Testing simple swap dependency on fixed rate ... ERROR
Testing simple swap dependency on floating spread ... ERROR
Testing 1-D solvers ... ok
Testing statistics ... ok
Testing swaption value against cached value ... ok
Testing swaption dependency on spread ... ok
Testing swaption treatment of spread ... ok
Testing swaption dependency on strike ... ok
Testing consistency of forward-spreaded term structure ... ERROR
Testing observability of forward-spreaded term structure ... ok
Testing consistency of implied term structure ... ERROR
Testing observability of implied term structure ... ok
Testing consistency of zero-spreaded term structure ... ERROR
Testing observability of zero-spreaded term structure ... ok
======================================================================
ERROR: Testing consistency between cap, floor and collar
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\capfloor.py", line 114, in testConsistency
if abs((cap.NPV()-floor.NPV()) - collar.NPV()) > 1.0e-10:
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 760, in NPV
def NPV(*args): return apply(_QuantLib.Instrument_NPV,args)
RuntimeError: Euribor6m act/360 history not loaded
======================================================================
ERROR: Testing put/call parity for cap and floor
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\capfloor.py", line 144, in testParity
if abs((cap.NPV()-floor.NPV()) - swap.NPV()) > 1.0e-10:
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 760, in NPV
def NPV(*args): return apply(_QuantLib.Instrument_NPV,args)
RuntimeError: Euribor6m act/360 history not loaded
======================================================================
ERROR: Testing cap/floor dependency on strike
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\capfloor.py", line 70, in testStrikeDependency
values.append(instrument.NPV())
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 760, in NPV
def NPV(*args): return apply(_QuantLib.Instrument_NPV,args)
RuntimeError: Euribor6m act/360 history not loaded
======================================================================
ERROR: Testing dates
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\date.py", line 29, in runTest
dyold = QuantLib.Date(mindate-1).dayOfYear()
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 417, in __init__
self.this = apply(_QuantLib.new_Date,args)
RuntimeError: Date 366outside allowed range [January 1st, 1901-December
31st, 20
99]
======================================================================
ERROR: Testing piecewise flat forward curve
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\piecewiseflatforward.py", line 605, in runTest
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 1209, in fixing
def fixing(*args): return apply(_QuantLib.Index_fixing,args)
RuntimeError: Could not bootstrap curve. segment 7 of 21, last forward =
0.044 ,
last discount = 0.9670720042 , last zero-yield = 0.044 , last guess was
0.956
368992145496 error generated by dummy6m act/360 history not loaded
======================================================================
ERROR: Testing simple swap calculation of fair fixed rate
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\simpleswap.py", line 60, in testFairRate
swap = self.makeSwap(length, swap.fairRate(), spread)
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 3127, in fairRate
def fairRate(*args): return apply(_QuantLib.SimpleSwap_fairRate,args)
RuntimeError: Euribor6m act/360 history not loaded
======================================================================
ERROR: Testing simple swap calculation of fair floating spread
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\simpleswap.py", line 76, in testFairSpread
swap = self.makeSwap(length, rate, swap.fairSpread())
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 3128, in fairSpread
def fairSpread(*args): return
apply(_QuantLib.SimpleSwap_fairSpread,args)
RuntimeError: Euribor6m act/360 history not loaded
======================================================================
ERROR: Testing simple swap dependency on fixed rate
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\simpleswap.py", line 94, in testRateDependency
values.append(swap.NPV())
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 760, in NPV
def NPV(*args): return apply(_QuantLib.Instrument_NPV,args)
RuntimeError: Euribor6m act/360 history not loaded
======================================================================
ERROR: Testing simple swap dependency on floating spread
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\simpleswap.py", line 117, in testSpreadDependency
values.append(swap.NPV())
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 760, in NPV
def NPV(*args): return apply(_QuantLib.Instrument_NPV,args)
RuntimeError: Euribor6m act/360 history not loaded
======================================================================
ERROR: Testing consistency of forward-spreaded term structure
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\termstructures.py", line 100, in testFSpreaded
forward = self.termStructure.instantaneousForward(test_date)
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 547, in
instantaneousFor
ward
def instantaneousForward(*args): return
apply(_QuantLib.TermStructure_instan
taneousForward,args)
RuntimeError: Could not bootstrap curve. segment 6 of 10, last forward =
0.044 ,
last discount = 0.9670720042 , last zero-yield = 0.044 , last guess was
0.956
368992145496 error generated by dummy6m act/360 history not loaded
======================================================================
ERROR: Testing consistency of implied term structure
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\termstructures.py", line 69, in testImplied
base_discount = self.termStructure.discount(new_settlement)
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 544, in discount
def discount(*args): return apply(_QuantLib.TermStructure_discount,args)
RuntimeError: Could not bootstrap curve. segment 6 of 10, last forward =
0.044 ,
last discount = 0.9670720042 , last zero-yield = 0.044 , last guess was
0.956
368992145496 error generated by dummy6m act/360 history not loaded
======================================================================
ERROR: Testing consistency of zero-spreaded term structure
----------------------------------------------------------------------
Traceback (most recent call last):
File "QuantLib/test\termstructures.py", line 133, in testZSpreaded
zero = self.termStructure.zeroYield(test_date)
File "build\lib.win32-2.1\QuantLib\QuantLib.py", line 545, in zeroYield
def zeroYield(*args): return
apply(_QuantLib.TermStructure_zeroYield,args)
RuntimeError: Could not bootstrap curve. segment 6 of 10, last forward =
0.044 ,
last discount = 0.9670720042 , last zero-yield = 0.044 , last guess was
0.956
368992145496 error generated by dummy6m act/360 history not loaded
----------------------------------------------------------------------
Ran 45 tests in 235.909s
FAILED (errors=12)
[81311 refs]
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