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Fix windows build and update to QuantLib 1.4 #63

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merged 25 commits into from Sep 11, 2014
Merged

Fix windows build and update to QuantLib 1.4 #63

merged 25 commits into from Sep 11, 2014

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dpinte
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@dpinte dpinte commented Sep 4, 2014

This PR comes with a real solution for the Singleton issue on Windows. It also updates the code to use QuantLib 1.4.

! Builds instructions are not updated yet. This code uses a QuantLib dll that must be built with the symbol.def file attached to this PR and a very small path on ql/settings.hpp (dllexport on the Settings class).

This PR requires testing on Win64 and non-windows platforms

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dpinte commented Sep 4, 2014

Fixes #1

@dpinte dpinte mentioned this pull request Sep 4, 2014
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dpinte commented Sep 5, 2014

Builds and tests ok on OSX and Linux. Failure on Windows for :

======================================================================
FAIL: test_smith (quantlib.test.test_heston_model.HestonModelTestCase)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\dev\pyql\quantlib\test\test_heston_model.py", line 432, in test_smith
    delta=tolerance)
AssertionError: 15.244970794333526 != 15.1796 within 0.05 delta

======================================================================
FAIL: test_simulate_heston_2 (quantlib.test.test_simulate.SimTestCase)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\dev\pyql\quantlib\test\test_simulate.py", line 120, in test_simulate_heston_2
    self.assertAlmostEqual(res[1, -1], 152.50, delta=.1)
AssertionError: 153.26720068021842 != 152.5 within 0.1 delta

----------------------------------------------------------------------
Ran 144 tests in 15.095s

FAILED (failures=2, skipped=1)

Numerical errors can be investigated in a separate PR.

@jvkersch
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jvkersch commented Sep 5, 2014

Awesome! I can build this on Windows 7 during the weekend, if you want.

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dpinte commented Sep 5, 2014

@jvkersch Next test is Win7 64bit. 32bit runs fine. If you can look into that, that's great.

dpinte added a commit that referenced this pull request Sep 11, 2014
Fix windows build and update to QuantLib 1.4
@dpinte dpinte merged commit 67758d2 into master Sep 11, 2014
@dpinte dpinte deleted the build_ql_1.4 branch September 11, 2014 23:40
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2 participants