Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
708 0 0 5 99.294% 1,080.746

Note: failures are anticipated and checked for with assertions while errors are unanticipated.


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
422 0 0 4 99.052% 852.607
net.finmath.montecarlo.interestrate 12 0 0 0 100% 31.367
net.finmath.climate.models.dice 3 0 0 0 100% 0.512
net.finmath.montecarlo.automaticdifferentiation 1 0 0 0 100% 0.918
net.finmath.rootfinder 1 0 0 0 100% 0.057
net.finmath.singleswaprate.calibration 5 0 0 0 100% 18.067
net.finmath.fouriermethod 8 0 0 0 100% 9.4
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.112
net.finmath.marketdata.products 3 0 0 0 100% 0.05
net.finmath.equities 17 0 0 0 100% 1.359
net.finmath.singleswaprate.products 9 0 0 0 100% 7.198
net.finmath.singleswaprate.annuitymapping 5 0 0 0 100% 0.393
net.finmath.montecarlo.hybridassetinterestrate 5 0 0 0 100% 24.892
net.finmath.fouriermethod.calibration 2 0 0 0 100% 3.027
net.finmath.time 34 0 0 0 100% 1.289
net.finmath.integration 10 0 0 0 100% 0.29
net.finmath.stochastic 20 0 0 0 100% 0.028
net.finmath.convexityadjustment 1 0 0 0 100% 0.581
net.finmath.modelling 1 0 0 0 100% 2.391
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.906
net.finmath.montecarlo.assetderivativevaluation.models 4 0 0 0 100% 5.933
net.finmath.singleswaprate.model.volatilities 6 0 0 0 100% 0.86
net.finmath.optimizer 12 0 0 0 100% 0.656
net.finmath.montecarlo.automaticdifferentiation.backward 13 0 0 0 100% 0.048
net.finmath.randomnumbers 1 0 0 0 100% 0.709
net.finmath.montecarlo.interestrate.products.components 3 0 0 0 100% 9.14
net.finmath.marketdata.model.curves 7 0 0 0 100% 1.677
net.finmath.time.daycount 3 0 0 0 100% 0.068
net.finmath.fouriermethod.products 1 0 0 0 100% 0.102
net.finmath.information 2 0 0 0 100% 0.021
net.finmath.montecarlo.interestrate.products 11 0 0 0 100% 13.646
net.finmath.modelling.descriptor 6 0 0 0 100% 58.814
net.finmath.montecarlo.assetderivativevaluation 15 0 0 1 93.333% 13.077
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 0.829
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 3.207
net.finmath.marketdata.model.volatilities 6 0 0 0 100% 0.4
net.finmath.modelling.productfactory 2 0 0 0 100% 2.401
net.finmath.finitedifference 4 0 0 0 100% 1.746
net.finmath.montecarlo 2 0 0 0 100% 6.981
net.finmath.marketdata.model.cds 1 0 0 0 100% 0.223
net.finmath.singleswaprate.data 1 0 0 0 100% 0.177
net.finmath.analytic.model.curves.test 1 0 0 0 100% 0.932
net.finmath.interpolation 1 0 0 0 100% 0.17
net.finmath.functions 36 0 0 0 100% 3.485

Note: package statistics are not computed recursively, they only sum up all of its testsuites numbers.

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 20 0 0 0 100% 86.115
RandomVariableDifferentiableTypePriorityTest 16 0 0 0 100% 0.041
RandomVariableDifferentiableArithmeticTest 20 0 0 0 100% 0.04
CalibrationTest 12 0 0 0 100% 0.376
LIBORMarketModelNormalAADSensitivitiesTest 15 0 0 0 100% 49.611
LIBORMarketModelCalibrationTest 3 0 0 0 100% 173.088
FIPXMLParserTest 1 0 0 0 100% 0.045
RandomVariableDifferentiableTest 52 0 0 0 100% 18.002
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 104.111
LIBORMarketModelInterpolationTest 3 0 0 0 100% 9.914
FPMLParserTest 1 0 0 0 100% 0.058
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.861
LIBORIndexMultiCurveTest 6 0 0 0 100% 16.58
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 4.239
FundingCapacityTest 14 0 0 0 100% 36.597
BachelierModelMonteCarloValuationTest 24 0 0 4 83.333% 3.762
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 15.692
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 4.676
LIBORIndexTest 60 0 0 0 100% 55.409
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 85.05
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 86.87
HestonModelCallOptionTest 2 0 0 0 100% 0.345
RandomVariableTest 55 0 0 0 100% 21.742
HestonModelTest 2 0 0 0 100% 3.408
DisplacedLognomalModelTest 3 0 0 0 100% 0.761
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 36.611
CalibrationTest 6 0 0 0 100% 0.301
LIBORMarketModelValuationTest 40 0 0 0 100% 37.302

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 2.701
LIBORMarketModelCalibrationSmileTest 1 0 0 0 100% 19.386
HullWhiteModelTest 9 0 0 0 100% 8.009
HullWhiteModelCalibrationTest 1 0 0 0 100% 1.271

net.finmath.climate.models.dice

Class Tests Errors Failures Skipped Success Rate Time
DICEModelTest 3 0 0 0 100% 0.512

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 0.918

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.057

net.finmath.singleswaprate.calibration

Class Tests Errors Failures Skipped Success Rate Time
SABRCubeParallelCalibrationTest 1 0 0 0 100% 4.379
StaticCubeCalibrationTest 1 0 0 0 100% 2.221
SABRCubeCalibrationTest 1 0 0 0 100% 9.718
SABRShiftedSmileCalibrationTest 2 0 0 0 100% 1.749

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.201
VarianceGammaCallOptionTest 3 0 0 0 100% 5.517
MertonJumpDiffusionCallOptionTest 3 0 0 0 100% 3.682

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.112

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.05

net.finmath.equities

Class Tests Errors Failures Skipped Success Rate Time
PdeOptionPricerTest 8 0 0 0 100% 1.067
AffineDividendStreamTest 2 0 0 0 100% 0.054
AnalyticOptionValuationTest 2 0 0 0 100% 0.093
SviVolatiltitySurfaceTest 3 0 0 0 100% 0.097
Black76ModelTest 2 0 0 0 100% 0.048

net.finmath.singleswaprate.products

Class Tests Errors Failures Skipped Success Rate Time
CashSettledSwaptionTest 3 0 0 0 100% 2.737
ConstantMaturitySwapTest 3 0 0 0 100% 3.619
AnnuityDummyTest 3 0 0 0 100% 0.842

net.finmath.singleswaprate.annuitymapping

Class Tests Errors Failures Skipped Success Rate Time
NormalizingFunctionTest 1 0 0 0 100% 0.214
AnnuityMappingTest 4 0 0 0 100% 0.179

net.finmath.montecarlo.hybridassetinterestrate

Class Tests Errors Failures Skipped Success Rate Time
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest 1 0 0 0 100% 1.601
CrossCurrencyLIBORMarketModelFromModelsTest 4 0 0 0 100% 23.291

net.finmath.fouriermethod.calibration

Class Tests Errors Failures Skipped Success Rate Time
HestonDaxCalibrationTest 1 0 0 0 100% 1.772
VarianceGammaDaxCalibrationTest 1 0 0 0 100% 1.255

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.026
ScheduleGeneratorTest 3 0 0 0 100% 0.06
FloatingpointDateTest 3 0 0 0 100% 1.154
TimeDiscretizationTest 20 0 0 0 100% 0.049

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
PiecewiseContantDoubleUnaryOperatorTest 5 0 0 0 100% 0.025
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.028
SimpsonRealIntegratorTest 2 0 0 0 100% 0.046
MonteCarloIntegratorTest 2 0 0 0 100% 0.191

net.finmath.stochastic

Class Tests Errors Failures Skipped Success Rate Time
ScalarTest 20 0 0 0 100% 0.028

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.581

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 2.391

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.906

net.finmath.montecarlo.assetderivativevaluation.models

Class Tests Errors Failures Skipped Success Rate Time
MultiAssetBlackScholesModelTest 4 0 0 0 100% 5.933

net.finmath.singleswaprate.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
SABRVolatilityCubeSharedParametersTest 2 0 0 0 100% 0.325
SABRVolatilityCubeTest 4 0 0 0 100% 0.535

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.224
LevenbergMarquardtTest 6 0 0 0 100% 0.152
OptimizerFactoryTest 2 0 0 0 100% 0.154
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.126

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableAADTest 13 0 0 0 100% 0.048

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 0.709

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 9.087
FundingCapacityTest 1 0 0 0 100% 0.053

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationMultiCurveTest 1 0 0 0 100% 0.999
CurveTest 1 0 0 0 100% 0.095
NelsonSiegelSvenssonBondCalibrationTest 1 0 0 0 100% 0.169
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.02
DiscountCurveSerializationTest 1 0 0 0 100% 0.077
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.287
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.03

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.03
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.038

net.finmath.fouriermethod.products

Class Tests Errors Failures Skipped Success Rate Time
TestCarrMadan 1 0 0 0 100% 0.102

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.021

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 2.288
SwapLegTest 5 0 0 0 100% 6.164
SwaptionNormalTest 1 0 0 0 100% 1.818
InterestRateProductTest 3 0 0 0 100% 3.376

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
MertonModelDescriptorTest 1 0 0 0 100% 15.817
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 3.407
VarianceGammaModelDescriptorTest 1 0 0 0 100% 36.669
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.32
HestonModelDescriptorTest 1 0 0 0 100% 1.601

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 1 83.333% 1.382
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 4.495
VarianceGammaModelTest 1 0 0 0 100% 2.674
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.222
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.389
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.131
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.244
MertonModelTest 1 0 0 0 100% 3.54

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 0.829

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 2.024
ForwardAgreementWithFundingRequirementTest 1 0 0 0 100% 0.474
EuropeanOptionVegaPathwiseTest 1 0 0 0 100% 0.709

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.126
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.274

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 2.401

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
ConstantElasticityOfVarianceThetaTest 2 0 0 0 100% 1.327
BlackScholesThetaTest 2 0 0 0 100% 0.419

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
GammaProcessTest 1 0 0 0 100% 5.384
VarianceGammaTest 1 0 0 0 100% 1.597

net.finmath.marketdata.model.cds

Class Tests Errors Failures Skipped Success Rate Time
CDSTest 1 0 0 0 100% 0.223

net.finmath.singleswaprate.data

Class Tests Errors Failures Skipped Success Rate Time
DataTablesTest 1 0 0 0 100% 0.177

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
TestCurvesFromLIBORModel 1 0 0 0 100% 0.932

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.17

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.148
JarqueBeraTestTest 1 0 0 0 100% 0.052
LinearAlgebraTest 6 0 0 0 100% 0.067
BachelierModelTest 8 0 0 0 100% 0.166
BarrierOptionsTest 8 0 0 0 100% 0.078
AnalyticFormulasTest 11 0 0 0 100% 2.974

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

testExceptions 0.011
testIntegralErrorCorrection 0.001
testValuation 0.001
testIntegralOfSquares 0
testIntegral 0

CapValuationTest

testCap 2.691

NormalDistributionTest

testCumulativeDistribution 0.089
testInverseCumulativeDistribution 0.048

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.171
testEuropeanCallVega 0.637
testEuropeanCallDelta 0.408
testEuropeanCall 0.07
testModelProperties 0.071

MertonModelDescriptorTest

test 15.807

DayCountConvention_30E_360Test

test 0.023

JarqueBeraTestTest

test 0.043

BrownianMotionTest

testBrownianIncrementSquaredDrift 3.076
testBrownianIncrementSquaredDrift 3.578
testBrownianIncrementSquaredDrift 3.454
testBrownianIncrementSquaredDrift 3.388
testSerialization 0.069
testSerialization 0.027
testSerialization 0.037
testSerialization 0.029
testScalarValuedBrownianMotionTerminalDistribution 5.467
testScalarValuedBrownianMotionTerminalDistribution 4.481
testScalarValuedBrownianMotionTerminalDistribution 5.246
testScalarValuedBrownianMotionTerminalDistribution 5.128
testScalarValuedBrownianMotionWithJarqueBeraTest 2.448
testScalarValuedBrownianMotionWithJarqueBeraTest 3.175
testScalarValuedBrownianMotionWithJarqueBeraTest 2.173
testScalarValuedBrownianMotionWithJarqueBeraTest 1.974
testDensity 10.815
testDensity 10.607
testDensity 10.492
testDensity 10.451

RandomVariableDifferentiableTypePriorityTest

testTypePriorityAdd 0.028
testTypePriorityAdd 0.001
testTypePriorityAdd 0.005
testTypePriorityAdd 0.001
testTypePriorityCap 0.002
testTypePriorityCap 0
testTypePriorityCap 0
testTypePriorityCap 0
testTypePriorityMult 0
testTypePriorityMult 0
testTypePriorityMult 0.001
testTypePriorityMult 0
testTypePriorityFloor 0
testTypePriorityFloor 0.001
testTypePriorityFloor 0
testTypePriorityFloor 0.002

RandomVariableDifferentiableArithmeticTest

testArithmeticExpLog 0.023
testArithmeticExpLog 0.001
testArithmeticExpLog 0.006
testArithmeticExpLog 0.001
testArithmeticSqrtMultSqrt 0.001
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtMultSqrt 0.001
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0.001
testArithmeticDivSelf 0.001
testArithmeticDivSelf 0.001
testArithmeticDivSelf 0
testArithmeticDivSelf 0
testArithmeticSubSelf 0
testArithmeticSubSelf 0.001
testArithmeticSubSelf 0.001
testArithmeticSubSelf 0

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.595
testSingleCurveModel 0.674

CalibrationTest

testCurvesAndCalibration 0.185
testCurvesAndCalibration 0.053
testCurvesAndCalibration 0.053
testCurvesAndCalibration 0.035
testCurvesAndCalibration 0.018
testCurvesAndCalibration 0.015
testForwardCurveFromDiscountCurve 0.003
testForwardCurveFromDiscountCurve 0.003
testForwardCurveFromDiscountCurve 0.005
testForwardCurveFromDiscountCurve 0.002
testForwardCurveFromDiscountCurve 0.003
testForwardCurveFromDiscountCurve 0.001

GammaProcessTest

testScaling 5.369

LIBORMarketModelNormalAADSensitivitiesTest

testDelta 4.199
testDelta 2.933
testDelta 3.628
testDelta 3.569
testDelta 4.441
testVega 3.773
testVega 3.465
testVega 3.741
testVega 4.151
testVega 5.211
testGenericDelta 1.788
testGenericDelta 1.508
testGenericDelta 1.822
testGenericDelta 2.108
testGenericDelta 3.274

CurveEstimationTest

testRegressionMatrix 0.873
testLinearInterpolation 0.019

LIBORMarketModelCalibrationTest

testATMSwaptionCalibration 53.663
testATMSwaptionCalibration 5.703
testATMSwaptionCalibration 113.722

ScalarTest

testAbs 0.01
testAdd 0
testCap 0
testDiv 0
testSub 0
testSubRatio 0
testFloor 0.001
testIsNaN 0
testMult 0
testSqrt 0
testArrayOf 0.001
testAddRatio 0
testGetAverage 0
testAddProduct 0
testDiscount 0
testAccrue 0.001
testChoose 0
testEquals 0
testInvert 0.001
testSquared 0

PdeOptionPricerTest

Test_pricer_american 0.23
Test_noArbitrage 0.035
Test_pricer_americanCall 0.032
Test_pricer_european 0.026
Test_europeanSensis 0.016
Test_pricer_americanPut 0.022
Test_impliedVol 0.165
Test_pricer_lv 0.521

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 2.159
testProductAADSensitivities 2.318

AffineDividendStreamTest

Test_affineDividendConversion 0.045
Test_sorting 0.001

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.027
testOperatorMult1 0.001
testOperatorMult2 0
testVariance 0.002
testOperatorExp 0.001
testOperatorLog 0
testExpectation 0
testOperatorAdd1 0.001
testOperatorAdd2 0
testOperatorDiv1 0
testOperatorDiv2 0
testOperatorSub1 0
testOperatorSub2 0.001

HestonDaxCalibrationTest

test 1.763

SwapLegTest

testFloatLeg 2.157
testCMSSpreadLeg 1.227
testFixLeg 0.718
testLIBORInArrearsFloatLeg 0.765
testCMSFloatLeg 1.267

FIPXMLParserTest

testGetSwapProductDescriptor 0.045

AnalyticOptionValuationTest

Test_noArbitrage 0.074
Test_sensis 0.008

RandomVariableDifferentiableTest

testRandomVariableExpectation 0.104
testRandomVariableExpectation 0.012
testRandomVariableExpectation 0.013
testRandomVariableExpectation 0.011
testRandomVariableSimpleGradient2 0.002
testRandomVariableSimpleGradient2 0.003
testRandomVariableSimpleGradient2 0.002
testRandomVariableSimpleGradient2 0.001
testRandomVariableSimpleGradient 0.001
testRandomVariableSimpleGradient 0.001
testRandomVariableSimpleGradient 0.001
testRandomVariableSimpleGradient 0.001
testRandomVariableGradientBiggerSum 1.013
testRandomVariableGradientBiggerSum 0.367
testRandomVariableGradientBiggerSum 0.672
testRandomVariableGradientBiggerSum 0.328
testRandomVariableGradientBigSumWithConstants 0.195
testRandomVariableGradientBigSumWithConstants 0.072
testRandomVariableGradientBigSumWithConstants 0.069
testRandomVariableGradientBigSumWithConstants 0.046
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.002
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableStandardDeviation 0.001
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableGradientBigSum2 0.1
testRandomVariableGradientBigSum2 0.016
testRandomVariableGradientBigSum2 0.03
testRandomVariableGradientBigSum2 0.016
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0
testRandomVariableGradientBigSum 0.13
testRandomVariableGradientBigSum 0.035
testRandomVariableGradientBigSum 0.066
testRandomVariableGradientBigSum 0.033
testRandomVariableStochastic 0.003
testRandomVariableStochastic 0.001
testRandomVariableStochastic 0.001
testRandomVariableStochastic 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 3.667
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 3.747
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 3.54
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 3.69
testRandomVariableDeterministc 0.002
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0.001

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration 28.104
testATMSwaptionCalibration 76.007

DICEModelTest

testTimeStep1Y 0.216
testTimeStep5Y 0.036
testTimeStep6M 0.239

TrapezoidalRealIntegratorTest

test 0.02

LIBORMarketModelInterpolationTest

testInterpolatedLastLIBOR 3.222
testInterpolatedLastLIBOR 2.837
testInterpolatedLastLIBOR 3.855

ExposureTest

testExpectedPositiveExposure 5.488
testAgainstSwaption 3.584

VarianceGammaModelTest

test 2.665

RootFindersTest

testRootFinders 0.046

CashSettledSwaptionTest

a_testSimplifiedLinear 0.766
b_testBasicPiterbarg 0.996
c_testMultiPiterbarg 0.853

FPMLParserTest

testGetSwapProductDescriptor 0.058

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.211

BusinessdayCalendarTest

testNycCalendar 0.042
testCreateDateFromDateAndOffsetCode 0.039
testCombinedCalendar 0.017
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 2.015

DepositTest

testRateValueConsistency 0.038
testEvaluationTime 0.001
testDepositValue 0.001

InterestRateSwapLegDescriptorTest

testFloatLeg 2.28
testFixLeg 1.113

FundingCapacityTest

test 0.034

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

test 1.591

VarianceGammaModelDescriptorTest

test 36.66

NormalizingFunctionTest

testExpectation 0.07

ConstantMaturitySwapTest

testSimplifiedLinear 0.852
testBasicPiterbarg 1.406
testMultiPiterbarg 1.254

AnnuityDummyTest

testSimplified 0.451
testBasic 0.145
testMulti 0.137

SABRCubeParallelCalibrationTest

testCalibration 4.367

StaticCubeCalibrationTest

testStaticCubeCalibration 2.208

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.099
test 0.112

AcceptanceRejectionRandomNumberGeneratorTest

test 0.698

DayCountConventionTest

testDayCountConvention_30E_360 0.009
testDayCountConvention_ACT_360 0.001
testDayCountConvention_ACT_365 0
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.003
testDayCountConventionAdditivity_ACT_ACT_ISDA 0.001
testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_YEARFRAC 0.001

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.379

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities 0.548
testProductAADSensitivities 0.498
testProductAADSensitivities 0.815

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic 3.056
testFRAMonteCarloVersusAnalytic 2.014
testFRAMonteCarloVersusAnalytic 4.067
testFRAMonteCarloVersusAnalytic 1.027
testFRAMonteCarloVersusAnalytic 2.189
testFRAMonteCarloVersusAnalytic 4.227

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.07
testBoothFunctionWithAnalyticDerivative 0.014
testRosenbrockFunctionWithList 0.004
testBoothFunction 0.006
testRosenbrockFunction 0.027
testSmallLinearSystem 0.008

CDSTest

testCDS 0.213

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse0 0.046
testSolveLinearEquationLeastSquarePseudoInverse1 0
testSolveLinearEquationLeastSquarePseudoInverse2 0
testSolveLinearEquationLeastSquarePseudoInverse3 0.001
testMatrixPowerNonSymmetric 0.007
testMatrixPowerSymmetric 0.003

SimpleCappedFlooredFloatingRateBondTest

test 2.581
test 1.658

CrossCurrencyLIBORMarketModelFromModelsTest

testForeignBond 7.017
testProperties 3.813
testForeignCaplet 6.196
testForeignFRA 6.234

FundingCapacityTest

testBond 2.732
testBond 1.442
testSwap 1.744
testSwap 1.826
testSwaptionSmile 1.5
testSwaptionSmile 1.472
testSwaption 1.584
testSwaption 1.382
testDigitalCaplet 1.411
testDigitalCaplet 1.407
testCaplet 1.34
testCaplet 1.625
testSwaptionCalibration 9.08
testSwaptionCalibration 8.052

TestCarrMadan

test 0.092

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.132
testRosenbrockFunctionWithLevenbergMarquard 0.01

AnnuityMappingTest

a_testMappings 0.004
b_testSeq 0.012
c_testFirstDerivative 0.002
d_testSecondDerivative 0.005

MonteCarloBlackScholesModelTest

testDirectValuation 0.094
testProductImplementation 0.028

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.194
testModelRandomVariable 0.08
testModelRandomVariable 0.056
testModelRandomVariable 0.047
testEuropeanCallVega 0.655
testEuropeanCallVega 0.294
testEuropeanCallVega 0.351
testEuropeanCallVega 0.339
testEuropeanCallDelta 0.316
testEuropeanCallDelta 0.259
testEuropeanCallDelta 0.332
testEuropeanCallDelta 0.339
testEuropeanCall 0.056
testEuropeanCall 0.053
testEuropeanCall 0.057
testEuropeanCall 0.062
testModelProperties 0.068
testModelProperties 0.069
testModelProperties 0.065
testModelProperties 0.07

ScheduleGeneratorTest

testPeriodLength 0.042
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0.005

BiLinearInterpolationTest

test 0.157

CapletVolatilitiesTest

testConversions 0.115

VarianceGammaDaxCalibrationTest

test 1.243

CalibrationMultiCurveTest

testMultiCurveCalibration 0.989

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.027
testAssumingEndDateIsNotATerminationDate 0.001

CMSOptionTest

testCMSOption 0.572

DeltaHedgedPortfolioWithAADTest

testHedgePerformance 8.212
testHedgePerformance 7.48

BlackScholesCallOptionTest

test 0.162
testDigitalOption 0.029

BachelierModelTest

testInhomogeneousImpliedVolatility 0.11
testHomogeneousRandomVariableImplementations 0.005
testDelta 0.01
testVega 0.001
testInhomogeneousRandomVariableImplementations 0
testInhomogenousDelta 0.003
testInhomogenousVega 0.007
testImpliedVolatility 0.013

SwaptionNormalTest

testSwaption 1.808

LIBORMarketModelCalibrationSmileTest

testSwaptionSmileCalibration 19.377

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 0.815

CurveTest

testCurveFitting 0.086

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 0.907

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 0.536
testEuropeanAsianBermudanOption 0.265
testEuropeanAsianBermudanOption 0.258
testEuropeanAsianBermudanOption 0.263
testModelRandomVariable 0.032
testModelRandomVariable 0.022
testModelRandomVariable 0.022
testModelRandomVariable 0.029
testEuropeanCallVega 0.289
testEuropeanCallVega 0.53
testEuropeanCallVega 0.269
testEuropeanCallVega 0.327
testEuropeanCallDelta 0.439
testEuropeanCallDelta 0.549
testEuropeanCallDelta 0.312
testEuropeanCallDelta 0.307
testEuropeanCall 0.03
testEuropeanCall 0.026
testEuropeanCall 0.028
testEuropeanCall 0.029
testModelProperties 0.023
testModelProperties 0.039
testModelProperties 0.031
testModelProperties 0.021

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.099
test 0.018

SABRCubeCalibrationTest

testSABRCubeCalibration 9.707

LIBORIndexTest

testSinglePeriods 0.484
testSinglePeriods 0.171
testSinglePeriods 0.128
testSinglePeriods 0.184
testSinglePeriods 0.196
testSinglePeriods 0.391
testSinglePeriods 0.724
testSinglePeriods 1.732
testSinglePeriods 1.787
testSinglePeriods 3.784
testSinglePeriods 0.081
testSinglePeriods 0.072
testSinglePeriods 0.095
testSinglePeriods 0.155
testSinglePeriods 0.214
testSinglePeriods 0.386
testSinglePeriods 0.685
testSinglePeriods 1.796
testSinglePeriods 1.891
testSinglePeriods 4.328
testMultiPeriodFloater 0.122
testMultiPeriodFloater 0.084
testMultiPeriodFloater 0.142
testMultiPeriodFloater 0.363
testMultiPeriodFloater 0.204
testMultiPeriodFloater 0.41
testMultiPeriodFloater 0.661
testMultiPeriodFloater 1.346
testMultiPeriodFloater 1.897
testMultiPeriodFloater 3.675
testMultiPeriodFloater 0.045
testMultiPeriodFloater 0.064
testMultiPeriodFloater 0.097
testMultiPeriodFloater 0.148
testMultiPeriodFloater 0.177
testMultiPeriodFloater 0.358
testMultiPeriodFloater 0.705
testMultiPeriodFloater 1.485
testMultiPeriodFloater 2.126
testMultiPeriodFloater 3.495
testUnalignedPeriods 0.104
testUnalignedPeriods 0.071
testUnalignedPeriods 0.132
testUnalignedPeriods 0.189
testUnalignedPeriods 0.193
testUnalignedPeriods 0.72
testUnalignedPeriods 0.717
testUnalignedPeriods 1.355
testUnalignedPeriods 2.006
testUnalignedPeriods 3.419
testUnalignedPeriods 0.053
testUnalignedPeriods 0.051
testUnalignedPeriods 0.094
testUnalignedPeriods 0.14
testUnalignedPeriods 0.192
testUnalignedPeriods 0.363
testUnalignedPeriods 0.726
testUnalignedPeriods 1.419
testUnalignedPeriods 2.108
testUnalignedPeriods 4.469

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.233

HullWhiteModelTest

testBermudanSwaption 2.968
testZeroCMSSwap 1.394
testBond 0.318
testSwap 2.101
testSwaption 0.377
testCaplet 0.3
testCapletSmile 0.281
testLIBORInArrearsFloatLeg 0.015
testPutOnMoneyMarketAccount 0.233

RandomVariableDifferentiableAADPerformanceTest

test 1.483
test 1.283
test 1.775
test 1.69
test 1.245
test 1.148
test 2.204
test 1.156
test 1.705
test 1.132
test 1.453
test 1.155
test 19.937
test 4.438
test 20.441
test 4.205
test 15
test 3.6

NelsonSiegelSvenssonBondCalibrationTest

testBondNSSCurveCalibration 0.159

MertonModelTest

test 3.532

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration 33.374
testVolatilityCalibration 53.496

ModelWithProductFactoryTest

bsTest 1.098
hTest 1.279

DiscountCurveNelsonSiegelSvenssonTest

test 0.012

SimpsonRealIntegratorTest

testCos 0.034
testCubic 0.002

ForwardAgreementWithFundingRequirementTest

test 0.46

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.219
testDecayVolatility 0.003
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.033
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0.001

DataTablesTest

testTables 0.162

HestonModelCallOptionTest

test 0.273
test 0.072

FloatingpointDateTest

testLocalDateTime 1.133
test 0.006
testLocalDateLocalDateTimeConsistency 0.003

SviVolatiltitySurfaceTest

Test_noArbitrage 0.053
Test_calibration 0.028
Test_stickyness 0.004

RandomVariableTest

testAdd 0.013
testAdd 0.001
testAdd 0.027
testAdd 0.002
testAdd 0.005
testCap 0.001
testCap 0
testCap 0.002
testCap 0.008
testCap 0
testApply 0.002
testApply 0
testApply 0.002
testApply 0
testApply 0
testFloor 0
testFloor 0
testFloor 0.001
testFloor 0
testFloor 0
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableStandardDeviation 0.001
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testGetQuantile 4.556
testGetQuantile 4.461
testGetQuantile 4.227
testGetQuantile 4.2
testGetQuantile 4.196
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0.005
testRandomVariableArithmeticSquaredPow 0.002
testRandomVariableArithmeticSquaredPow 0.002
testApply2 0.012
testApply2 0
testApply2 0.005
testApply2 0
testApply2 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0.001
testRandomVariableStochastic 0.001
testRandomVariableStochastic 0
testRandomVariableDeterministc 0.003
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0

HestonModelTest

test 1.916
test 1.492

LibraryTest

testVersionString 0.011
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 0.329
testProductImplementation 0.22
testProductImplementation 0.212

InterestRateProductTest

testBond 1.419
testSwap 0.788
testSwaption 1.155

DiscountCurveSerializationTest

test 0.066

AssetBlackScholesModelDescriptorTest

test 1.309

BarrierOptionsTest

testDownAndInCall 0.058
testDownAndOutPut 0.001
testDownAndInPut 0
testUpAndInPut 0.001
testUpAndInCall 0.001
testUpAndOutPut 0.002
testUpAndOutCall 0.001
testDownAndOutCall 0.001

LIBORMarketModelHierarchyTest

testModelHierarchy 2.377

SABRVolatilityCubeSharedParametersTest

a_cubeATM 0.035
b_strikeSlices 0.028

VarianceGammaCallOptionTest

testMartingalePropertyMonteCarlo 2.637
test 2.869
testMartingaleProperty 0.001

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.278

ForwardCurveNelsonSiegelSvenssonTest

test 0.02

LIBORMarketModelMultiCurveValuationTest

testBond 2.987
testBond 1.666
testSwap 1.636
testSwap 1.498
testSwaptionSmile 1.725
testSwaptionSmile 1.416
testSwaption 1.446
testSwaption 1.778
testDigitalCaplet 1.374
testDigitalCaplet 1.352
testCaplet 1.59
testCaplet 1.385
testSwaptionCalibration 8.64
testSwaptionCalibration 8.118

MertonJumpDiffusionCallOptionTest

testMartingalePropertyMonteCarlo 1.744
test 1.925
testMartingaleProperty 0.002

EuropeanOptionVegaPathwiseTest

test 0.7

CalibrationTest

testCurvesAndCalibration 0.243
testCurvesAndCalibration 0.024
testCurvesAndCalibration 0.024
testForwardCurveFromDiscountCurve 0.006
testForwardCurveFromDiscountCurve 0.002
testForwardCurveFromDiscountCurve 0.002

AnalyticFormulasTest

testSABRSkewApproximation 0.027
testBlackScholesPutCallParityATM 0.011
testVolatilityConversionLognormalToNormal 0.004
testBlackModelCapletImpliedVol 0.002
testBlackModelDigitalCapletDelta 0
testBachelierOptionImpliedVolatility 0.574
testBlackScholesNegativeForward 0.001
testSABRCurvatureApproximation 0.001
testBachelierRiskNeutralProbabilities 0.034
testSABRCalibration 2.262
testBachelierOptionDelta 0.024

ConstantElasticityOfVarianceThetaTest

testEuropeanCallOption 0.732
testEuropeanPutOption 0.58

MonteCarloIntegratorTest

testCos 0.133
testCubic 0.048

MultiAssetBlackScholesModelTest

testModelWithFactorLoadings 2.627
testModelWithCloneModifiedVolatility 0.195
testModelCloneWithModifiedSeed 0.105
testModelWithVolatilityAndCorrelation 2.974

HestonModelDescriptorTest

test 1.593

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.016
constructWithSetAtDefaultTickSize 0.001
constructWithBoxedArrayAtSmallTickSize 0.001
testUnionWithSubTickDuplicates 0.001
testIntersectionWithNoDuplicates 0.001
constructWithUnboxedArrayAtDefaultTickSize 0
constructWithIntervalShortStubAtFront 0.002
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0.001
constructWithBoxedArrayAtBigTickSize 0
constructWithSetAtBigTickSize 0.001
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0.001
constructWithBoxedArrayAtDefaultTickSize 0.005
constructWithArrayListAtSmallTickSize 0
testUnionWithNoDuplicates 0.001
testUnionWithDifferentTickSizes 0.002
constructWithArrayListAtDefaultTickSize 0

Black76ModelTest

Test_black76_impliedVolatility 0.036
Test_black76_formula 0.001

SABRVolatilityCubeTest

a_cubeATM 0.049
b_strikeSlices 0.042
c_testAccessPerformance 0.164
d_testAccessPerformanceOnNodes 0.022

HullWhiteModelCalibrationTest

testATMSwaptionCalibration 1.259

BlackScholesThetaTest

testEuropeanCallOption 0.274
testEuropeanPutOption 0.12

SABRShiftedSmileCalibrationTest

testCalibration 1.59
testSingleSmile 0.064

TestCurvesFromLIBORModel

testStochasticCurves 0.92

LIBORMarketModelValuationTest

testFRA 2.428
testFRA 0.96
testFRA 1.235
testFRA 1.161
testBond 0.953
testBond 0.867
testBond 1.205
testBond 1.079
testSwap 1.081
testSwap 0.834
testSwap 1.02
testSwap 1.292
testSwaptionSmile 0.838
testSwaptionSmile 0.795
testSwaptionSmile 1.098
testSwaptionSmile 0.943
testSwaption 0.816
testSwaption 0.782
testSwaption 1.081
testSwaption 0.955
testDigitalCaplet 0.785
testDigitalCaplet 0.772
testDigitalCaplet 1.011
testDigitalCaplet 1.231
testLIBORInArrearsConvexity 0.794
testLIBORInArrearsConvexity 0.78
testLIBORInArrearsConvexity 1.147
testLIBORInArrearsConvexity 0.916
testCaplet 0.799
testCaplet 0.794
testCaplet 1.272
testCaplet 0.96
testCapletSmile 0.768
testCapletSmile 0.763
testCapletSmile 1.255
testCapletSmile 1.361
testSwaptionCalibration 0.241
testSwaptionCalibration 0.076
testSwaptionCalibration 0.085
testSwaptionCalibration 0.069

VarianceGammaTest

testCharacteristicFunction 1.583

Failure Details

[Summary] [Package List] [Test Cases]


testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped