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Test Error: catbonds (difference expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%)

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Test Error: catbonds (difference expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%)

Paul Mayer
Dear QuantLib users,

I am currently trying to build QuantLib 1.9.2 with Boost 1.64.0 using MS Visual C++ Build Tools 2015 (vc140, Windows 10 SDK, x64). The last time I compiled QuantLib was version 1.9.0 with Boost 1.60.0 and MS Visual Studio 2015 (in conjunction with, I believe, the Windows 8.1 SDK) which worked just fine. On the new setup, however, the build fails the test suite:

(PostBuildEvent target) ->
  catbonds.cpp(169): error : in "QuantLib test suite/CatBond tests/QuantLib__de
tail__quantlib_test_case(&CatBondTest__testBetaRisk)": difference{0.0111316} be
tween expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%

Here's some information on the settings I used to build Boost and QuantLib:

Boost (after setting vcvarsall x64):
bjam --toolset=msvc-14.0 address-model=64 --build-type=complete --stagedir=stage\x64 stage -a

for QuantLib, I am using the following script:


SET QL_DIR=D:\quantlib\QuantLib-1.9.2
SET BOOST_DIR=D:\quantlib\boost_1_64_0

SET LIB=%BOOST_DIR%\stage\x64\lib;%LIB%
SET INCLUDE=%BOOST_DIR%;%INCLUDE%
SET UseEnv=true
 
msbuild /p:AdditionalLibPaths="%BOOST_DIR%\stage\x64\lib" /p:Configuration=Release /p:Platform=x64 QuantLib_vc14.sln

I also tried with the MS Build Tools 2017 RC (Windows 10 SDK, vc141) which, after some adaptations to the project files also resulted in the same test error.

Is there anyone who encountered the same issue? Any tips or hints on how to solve it/what to look into specifically?

Thanks & best regards,
Paul

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Re: Test Error: catbonds (difference expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%)

Luigi Ballabio
That's a problem with Boost 1.64.  Apparently, something changed in Boost.Random which in turn caused a change of seed and a difference in the test results.  This will be fixed in QuantLib 1.10, out shortly.  In the meantime, if you need a clean build you can use Boost 1.63 instead.

Luigi


On Fri, May 5, 2017 at 9:50 AM Paul Mayer <[hidden email]> wrote:
Dear QuantLib users,

I am currently trying to build QuantLib 1.9.2 with Boost 1.64.0 using MS Visual C++ Build Tools 2015 (vc140, Windows 10 SDK, x64). The last time I compiled QuantLib was version 1.9.0 with Boost 1.60.0 and MS Visual Studio 2015 (in conjunction with, I believe, the Windows 8.1 SDK) which worked just fine. On the new setup, however, the build fails the test suite:

(PostBuildEvent target) ->
  catbonds.cpp(169): error : in "QuantLib test suite/CatBond tests/QuantLib__de
tail__quantlib_test_case(&CatBondTest__testBetaRisk)": difference{0.0111316} be
tween expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%

Here's some information on the settings I used to build Boost and QuantLib:

Boost (after setting vcvarsall x64):
bjam --toolset=msvc-14.0 address-model=64 --build-type=complete --stagedir=stage\x64 stage -a

for QuantLib, I am using the following script:


SET QL_DIR=D:\quantlib\QuantLib-1.9.2
SET BOOST_DIR=D:\quantlib\boost_1_64_0

SET LIB=%BOOST_DIR%\stage\x64\lib;%LIB%
SET INCLUDE=%BOOST_DIR%;%INCLUDE%
SET UseEnv=true
 
msbuild /p:AdditionalLibPaths="%BOOST_DIR%\stage\x64\lib" /p:Configuration=Release /p:Platform=x64 QuantLib_vc14.sln

I also tried with the MS Build Tools 2017 RC (Windows 10 SDK, vc141) which, after some adaptations to the project files also resulted in the same test error.

Is there anyone who encountered the same issue? Any tips or hints on how to solve it/what to look into specifically?

Thanks & best regards,
Paul
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Re: Test Error: catbonds (difference expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%)

Paul Mayer
Built 1.10 today with the 2017 Build Tools and Boost 1.64.0. All tests passed fine! Thanks again.

2017-05-08 20:04 GMT+02:00 Paul Mayer <[hidden email]>:
Dear Luigi,

Thanks, that's reassuring! Will build with Boost 1.63 meanwhile then.

Paul

2017-05-08 16:24 GMT+02:00 Luigi Ballabio <[hidden email]>:
That's a problem with Boost 1.64.  Apparently, something changed in Boost.Random which in turn caused a change of seed and a difference in the test results.  This will be fixed in QuantLib 1.10, out shortly.  In the meantime, if you need a clean build you can use Boost 1.63 instead.

Luigi


On Fri, May 5, 2017 at 9:50 AM Paul Mayer <[hidden email]> wrote:
Dear QuantLib users,

I am currently trying to build QuantLib 1.9.2 with Boost 1.64.0 using MS Visual C++ Build Tools 2015 (vc140, Windows 10 SDK, x64). The last time I compiled QuantLib was version 1.9.0 with Boost 1.60.0 and MS Visual Studio 2015 (in conjunction with, I believe, the Windows 8.1 SDK) which worked just fine. On the new setup, however, the build fails the test suite:

(PostBuildEvent target) ->
  catbonds.cpp(169): error : in "QuantLib test suite/CatBond tests/QuantLib__de
tail__quantlib_test_case(&CatBondTest__testBetaRisk)": difference{0.0111316} be
tween expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%

Here's some information on the settings I used to build Boost and QuantLib:

Boost (after setting vcvarsall x64):
bjam --toolset=msvc-14.0 address-model=64 --build-type=complete --stagedir=stage\x64 stage -a

for QuantLib, I am using the following script:


SET QL_DIR=D:\quantlib\QuantLib-1.9.2
SET BOOST_DIR=D:\quantlib\boost_1_64_0

SET LIB=%BOOST_DIR%\stage\x64\lib;%LIB%
SET INCLUDE=%BOOST_DIR%;%INCLUDE%
SET UseEnv=true
 
msbuild /p:AdditionalLibPaths="%BOOST_DIR%\stage\x64\lib" /p:Configuration=Release /p:Platform=x64 QuantLib_vc14.sln

I also tried with the MS Build Tools 2017 RC (Windows 10 SDK, vc141) which, after some adaptations to the project files also resulted in the same test error.

Is there anyone who encountered the same issue? Any tips or hints on how to solve it/what to look into specifically?

Thanks & best regards,
Paul
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Re: Test Error: catbonds (difference expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%)

Luigi Ballabio

Great, thanks for the info.


On Tue, May 16, 2017, 19:55 Paul Mayer <[hidden email]> wrote:
Built 1.10 today with the 2017 Build Tools and Boost 1.64.0. All tests passed fine! Thanks again.

2017-05-08 20:04 GMT+02:00 Paul Mayer <[hidden email]>:
Dear Luigi,

Thanks, that's reassuring! Will build with Boost 1.63 meanwhile then.

Paul

2017-05-08 16:24 GMT+02:00 Luigi Ballabio <[hidden email]>:
That's a problem with Boost 1.64.  Apparently, something changed in Boost.Random which in turn caused a change of seed and a difference in the test results.  This will be fixed in QuantLib 1.10, out shortly.  In the meantime, if you need a clean build you can use Boost 1.63 instead.

Luigi


On Fri, May 5, 2017 at 9:50 AM Paul Mayer <[hidden email]> wrote:
Dear QuantLib users,

I am currently trying to build QuantLib 1.9.2 with Boost 1.64.0 using MS Visual C++ Build Tools 2015 (vc140, Windows 10 SDK, x64). The last time I compiled QuantLib was version 1.9.0 with Boost 1.60.0 and MS Visual Studio 2015 (in conjunction with, I believe, the Windows 8.1 SDK) which worked just fine. On the new setup, however, the build fails the test suite:

(PostBuildEvent target) ->
  catbonds.cpp(169): error : in "QuantLib test suite/CatBond tests/QuantLib__de
tail__quantlib_test_case(&CatBondTest__testBetaRisk)": difference{0.0111316} be
tween expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%

Here's some information on the settings I used to build Boost and QuantLib:

Boost (after setting vcvarsall x64):
bjam --toolset=msvc-14.0 address-model=64 --build-type=complete --stagedir=stage\x64 stage -a

for QuantLib, I am using the following script:


SET QL_DIR=D:\quantlib\QuantLib-1.9.2
SET BOOST_DIR=D:\quantlib\boost_1_64_0

SET LIB=%BOOST_DIR%\stage\x64\lib;%LIB%
SET INCLUDE=%BOOST_DIR%;%INCLUDE%
SET UseEnv=true
 
msbuild /p:AdditionalLibPaths="%BOOST_DIR%\stage\x64\lib" /p:Configuration=Release /p:Platform=x64 QuantLib_vc14.sln

I also tried with the MS Build Tools 2017 RC (Windows 10 SDK, vc141) which, after some adaptations to the project files also resulted in the same test error.

Is there anyone who encountered the same issue? Any tips or hints on how to solve it/what to look into specifically?

Thanks & best regards,
Paul
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Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot_______________________________________________
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