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From: Bianchetti M. <mar...@ba...> - 2007-11-06 09:02:02
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On the trunk using vc7 I get the following three errors in test suite: Testing Joint Calibration of an Heston Equity Processincl. Stochastic Interest Rates via a Hull-White Model... ./hybridhestonhullwhiteprocess.cpp(1418): error in "HybridHestonHullWhiteProcessTest::testPseudoJointCalibration": Failed to calibrate Heston Hull-White Model Testing randomized lattice sequences, C up to dimension 30... ./lowdiscrepancysequences.cpp(156): error in "LowDiscrepancyTest::testRandomizedLattices": Lattice generatorC returns a mean of 0.49985 with standard deviation -4.12168 in dimension 7 Testing consistency of piecewise-spline forward-rate curve... unknown location(0): fatal error in "PiecewiseYieldCurveTest::testSplineForwardConsistency": std::exception: 1st iteration: could not bootstrap the 17th instrument, maturity November 8th, 2019 error message: root not bracketed: f[2.22045e-016,3] -> [-3.371568e-003,-6.562049e-002] .\lowdiscrepancysequences.cpp(156): last checkpoint |