[Quantlib-users] 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

[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

Post by 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
(PostBuildEvent target) ->
catbonds.cpp(169): error : in "QuantLib test suite/CatBond
tests/QuantLib__de
difference{0.0111316} be
tween expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%
bjam --toolset=msvc-14.0 address-model=64 --build-type=complete
--stagedir=stage\x64 stage -a
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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[Paul Mayer]

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

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

Post by 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

Post by 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
(PostBuildEvent target) ->
catbonds.cpp(169): error : in "QuantLib test suite/CatBond
tests/QuantLib__de
difference{0.0111316} be
tween expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%
bjam --toolset=msvc-14.0 address-model=64 --build-type=complete
--stagedir=stage\x64 stage -a
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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engaging tech sites, Slashdot.org! http://sdm.link/slashdot______
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[Luigi Ballabio]

Great, thanks for the info.

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

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

Post by 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

Post by 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
(PostBuildEvent target) ->
catbonds.cpp(169): error : in "QuantLib test suite/CatBond
tests/QuantLib__de
difference{0.0111316} be
tween expectedVar{9.75} and actualVar{9.8585329579095582} exceeds 1%
bjam --toolset=msvc-14.0 address-model=64 --build-type=complete
--stagedir=stage\x64 stage -a
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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engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
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