Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

[Klaus S. <kl...@sp...>]

Hi Gary, Luigi,

the dependency of the test case on today's date is introduced by the day 
counter Act360. In addition I used only 500 antithetic samplings to keep the 
runtime short... seems that it was too short for a valid error calculation;-) 
Everything is okay using e.g. gcc 4.0.1 and a 4 (or even 100) times larger 
statistics.

The dependency on the gcc compiler version is more subtle. I get the same 
error messages using 500 samples and 4.0.1 whereas gcc 4.2.1 gives no error 
at all. The root of the difference is the routine 

rankReducedSqrt(Matrix& m, ...)

which is needed to calculate the Monte-Carlo paths. The solution is not 
unique, e.g. the sign of the result might differ. Both results for gcc 4.0.1 
and 4.2.1 are numerically correct but differ with respect to the sign. 
Therefore one gets different MC paths and by accident 4.0.1 is failing today 
to fulfill the error bounds when using only 500 paths.

Luigi, I have relaxed the error bounds for some of the tests to avoid 
bothersome error logs. Should we put this into 0.9 (?).



 

On Saturday 01 December 2007 21:58:12 Luigi Ballabio wrote:
> On Dec 1, 2007, at 8:58 PM, Gary Kennedy wrote:
> > I am also seeing some test fails relating HybridHestonHullWhiteProcess.
> > I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2
>
> Gary,
> 	did you run them today (Saturday?)  If so, it might have to do with
> today being a holiday. I'll look into this in the next days.
>
> Thanks,
> 	Luigi
>
>
>
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