git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "37b2023194"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "161191ac2d"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

Docker/Dockerfile-Test

@@ -5,7 +5,7 @@ RUN apt-get update \
   && DEBIAN_FRONTEND=noninteractive apt-get install -y dos2unix python3 python3-pip libxml2-utils xsltproc \
   && apt-get clean \
   && rm -rf /var/lib/apt/lists/* \
-  && pip3 install matplotlib pandas nose nose_xunitmp datacompy jsondiff
+  && pip3 install matplotlib pandas nose nose_xunitmp datacompy jsondiff lxml
 
 CMD bash
 

QuantExt/test/crossassetmodel.cpp

@@ -2299,7 +2299,7 @@ BOOST_DATA_TEST_CASE(testIrFxInfCrComMartingaleProperty,
     BOOST_TEST_MESSAGE("get Euler state process");
     boost::shared_ptr<StochasticProcess> process2 = d.modelEuler->stateProcess();
 
-    Size n = 50000;                         // number of paths
+    Size n = 5000;                         // number of paths
     Size seed = 18;                         // rng seed
     Time T = 2.0;                          // maturity of payoff
     Time T2 = 20.0;                         // zerobond maturity
@@ -2456,7 +2456,7 @@ BOOST_DATA_TEST_CASE(testIrFxInfCrComMartingaleProperty,
 
     // a bit higher than for plain zero bond , since we look at indexed zero
     // bonds, too
-    Real tol1 = 3.0E-4;  // EXACT
+    Real tol1 = 5.0E-4;  // EXACT
     Real tol2 = 14.0E-4; // EULER
 
     Real ev = d.eurYts->discount(T2);
@@ -2565,7 +2565,7 @@ BOOST_DATA_TEST_CASE(testIrFxInfCrComMoments,
 
     Real T = 2.0;                            // horizon at which we compare the moments
     Size steps = static_cast<Size>(T * 10); // number of simulation steps (Euler and exact)
-    Size paths = 30000;                     // number of paths
+    Size paths = 10000;                     // number of paths
 
     Array e_an = p_exact->expectation(0.0, p_exact->initialValues(), T);
     Matrix v_an = p_exact->covariance(0.0, p_exact->initialValues(), T);
@@ -2646,7 +2646,7 @@ BOOST_DATA_TEST_CASE(testIrFxInfCrComMoments,
     }
     BOOST_TEST_MESSAGE("==================");
 
-    Real errTolLd[] = { 0.5E-4, 0.5E-4, 0.5E-4, 10.0E-4, 10.0E-4, 0.9E-4, 0.8E-4, 0.7E-4, 0.7E-4, 0.7E-4, 0.7E-4, 0.7E-4, 0.7E-4 };
+    Real errTolLd[] = { 0.5E-4, 0.5E-4, 0.5E-4, 10.0E-4, 10.0E-4, 1E-4, 1E-4, 1E-4, 1E-4, 1E-4, 1E-4, 1E-4, 1E-4 };
 
     for (Size i = 0; i < n; ++i) {
         // check expectation against analytical calculation (Euler)
@@ -2667,7 +2667,7 @@ BOOST_DATA_TEST_CASE(testIrFxInfCrComMoments,
                                                                  << e_an[i] - mean(e_eu2[i]) << " tolerance is "
                                                                  << errTolLd[i]);
         }
-    }
+    } 
 
     // as above, this is a bit rough compared to the more differentiated
     // test of the IR-FX model ...
@@ -3872,7 +3872,7 @@ BOOST_AUTO_TEST_CASE(testCorrelationRecovery) {
 
     // for ir-fx this fully specifies the correlation matrix
     // for new asset classes add other possible combinations as well
-    Size currencies[] = { 1, 2, 3, 4, 5, 10, 20, 50, 100 };
+    Size currencies[] = { 1, 2, 3, 4, 5, 10, 20 };
 
     MersenneTwisterUniformRng mt(42);
 
@@ -4181,7 +4181,7 @@ BOOST_AUTO_TEST_CASE(testIrFxInfCrEqCorrelationRecovery) {
 
     // for ir-fx this fully specifies the correlation matrix
     // for new asset classes add other possible combinations as well
-    Size currencies[] = { 1, 2, 3, 4, 5, 10, 20 };
+    Size currencies[] = { 1, 2, 3, 4, 5 };
     Size cpiindexes[] = { 0, 1, 10 };
     Size creditnames[] = { 0, 1, 5 };
     Size eqs[] = { 0, 1, 5 };

QuantExt/test/deltagammavar.cpp

@@ -146,7 +146,7 @@ BOOST_AUTO_TEST_CASE(testDeltaGammaVar) {
     // TODO test Daniel's approx. explicitly (khat < 1E-5)
     // TODO add more test cases (negative gammas, higher dimensions)
 
-    Size n = (Size)1E6;
+    Size n = (Size)400000;
 
     test(1, true, false, 42, 42, n);
     test(1, false, true, 42, 42, n);