QuantLib SVN on OS/X

Ok, tried again with QuantLib SVN, boost-1.37. The unit-test framework detection has been corrected in the svn version, so here is the test result:

leafy@kunlun ~/Projects/QuantLib-Xcode

$ make benchmark

make -C test-suite benchmark

BOOST_TEST_LOG_LEVEL=message ./quantlib-benchmark

Running 85 test cases...

Testing finite-differences American option greeks...

Testing finite-differences shout option greeks...

Testing Monte Carlo discrete arithmetic average-price Asians...

Testing barrier options against Babsiri's values...

Testing two-asset European basket options...

Testing three-asset American basket options against Tavella's values...

Testing antithetic engine using odd sample number...

Testing Bates model calibration using DAX volatility data...

Testing out-of-the-money convertible bonds against vanilla bonds...

Testing Monte Carlo cash-(at-hit)-or-nothing American engine...

Testing finite-difference dividend European option values...

Testing finite-differences dividend European option greeks...

Testing finite-differences dividend American option greeks...

Testing Monte Carlo European engines against analytic results...

Testing European option implied volatility...

Testing finite-difference European engines against analytic results...

Testing European price curves...

Testing FDM with American Option in Heston model ...

Testing Heston model calibration using DAX volatility data...

Testing Monte Carlo Heston engine against cached values...

Testing Sabr interpolation...

Testing jump-diffusion option greeks...

Testing exact repricing of multi-step constant maturity swaps and swaptions in a lognormal constant maturity swap market model...

Testing exact repricing of multi-step coterminal swaps and swaptions in a lognormal coterminal swap rate market model...

Testing quanto-forward option greeks...

Testing Mersenne-twister discrepancy...

Testing risk measures...

Testing Hull-White swap pricing against known values...

--------------------------------------------------------

Benchmark Suite QuantLib 0.9.8

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AmericanOption::FdAmericanGreeks : 230.5 mflops

AmericanOption::FdShoutGreeks : 246.7 mflops

AsianOption::MCArithmeticAveragePrice : 560.3 mflops

BarrierOption::BabsiriValues : 243.0 mflops

BasketOption::EuroTwoValues : 172.3 mflops

BasketOption::TavellaValues : 188.7 mflops

BasketOption::OddSamples : 158.4 mflops

BatesModel::DAXCalibration : 921.2 mflops

ConvertibleBondTest::testBond : 566.3 mflops

DigitalOption::MCCashAtHit : 566.5 mflops

DividendOption::FdEuropeanValues : 318.8 mflops

DividendOption::FdEuropeanGreeks : 278.7 mflops

DividendOption::FdAmericanGreeks : 224.3 mflops

EuropeanOption::FdMcEngines : 262.9 mflops

EuropeanOption::ImpliedVol : 239.8 mflops

EuropeanOption::FdEngines : 323.6 mflops

EuropeanOption::PriceCurve : 325.0 mflops

FdHestonTest::testFdmHestonAmerican : 197.0 mflops

HestonModel::DAXCalibration : 877.6 mflops

HestonModel::McVsCached : 302.2 mflops

InterpolationTest::testSabrInterpolation : 657.6 mflops

JumpDiffusion::Greeks : 111.4 mflops

MarketModelCmsTest::testCmSwapsSwaptions : 234.9 mflops

MarketModelSmmTest::testMultiSmmSwaptions : 280.3 mflops

QuantoOption::ForwardGreeks : 80.7 mflops

RandomNumber::MersenneTwisterDescrepancy : 644.0 mflops

RiskStatistics::Results : 417.1 mflops

ShortRateModel::Swaps : 972.3 mflops

--------------------------------------------------------

QuantLib Benchmark Index : 378.6 mflops

*** No errors detected