Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

[Gary K. <gar...@gm...>]

I am also seeing some test fails relating HybridHestonHullWhiteProcess.
I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2

Gary

gary@linux:~/ccwork/QuantLib-0.9.0/test-suite> gcc --version
gcc (GCC) 4.0.2 20050901 (prerelease) (SUSE Linux)



Testing European option pricing for a BSM process with one factor Hull-White
Model...
Testing Comparing European option pricing for a BSM process with one factor
Hull-White Model...
Testing Monte-Carlo Zero Bond Pricing...
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          13.8667
   calculated: 0.304786
   error:      0.0158731
   expected:   0.357429
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          13.9528
   calculated: 0.30925
   error:      0.0164681
   expected:   0.359895
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          14.0361
   calculated: 0.313884
   error:      0.0168382
   expected:   0.366483
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          14.1222
   calculated: 0.323935
   error:      0.0170272
   expected:   0.376798
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          14.2056
   calculated: 0.336136
   error:      0.0173186
   expected:   0.39062
Testing Monte-Carlo Vanilla Option Pricing...
Testing Monte-Carlo Heston Option Pricing...
Testing analytic Heston Hull White Option Pricing...
Testing the pricing of a callable equity product...
Testing Joint Calibration of an Heston Equity Processincl. Stochastic
Interest Rates via a Hull-White Model...
hybridhestonhullwhiteprocess.cpp(1414): error in
"HybridHestonHullWhiteProcessTest::testPseudoJointCalibration": Failed to
calibrate Heston Hull-White Model
Quality index: 5.83705
Testing observability of instruments...
Testing segment integration...


On 29/11/2007, Luigi Ballabio <lui...@gm...> wrote:
>
> On Thu, 2007-11-29 at 08:27 -0800, mattknox_ca wrote:
> > I was able to run the test suite finally, but there were some test
> failures.
>
> Hmm. Those saying "this version of gcc does not support the Boost uBlas
> library" are expected. We'll have to look at the Heston one.
>
> Thanks,
>         Luigi
>
>
> --
>
> So little done, so much to do.
> -- Cecil Rhodes
>
>
>
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