finmath lib – Surefire Report

Surefire Report

Summary

Tests	Errors	Failures	Skipped	Success Rate	Time
723	0	0	5	99.308%	1,622.595

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

Package List

[Summary] [Package List] [Test Cases]

Package	Tests	Skipped	Success Rate	Time
	422	4	99.052%	850.5
net.finmath.montecarlo.interestrate	14	0	100%	569.186
net.finmath.climate.models.dice	3	0	100%	0.471
net.finmath.montecarlo.automaticdifferentiation	1	0	100%	0.973
net.finmath.rootfinder	1	0	100%	0.059
net.finmath.singleswaprate.calibration	5	0	100%	19.964
net.finmath.fouriermethod	8	0	100%	9.229
net.finmath.time.businessdaycalendar	5	0	100%	0.11
net.finmath.marketdata.products	3	0	100%	0.051
net.finmath.equities	18	0	100%	1.459
net.finmath.singleswaprate.products	9	0	100%	7.444
net.finmath.singleswaprate.annuitymapping	5	0	100%	0.404
net.finmath.montecarlo.hybridassetinterestrate	5	0	100%	25.505
net.finmath.util.config	1	0	100%	0.078
net.finmath.fouriermethod.calibration	2	0	100%	3.046
net.finmath.time	34	0	100%	1.311
net.finmath.integration	10	0	100%	0.288
net.finmath.stochastic	20	0	100%	0.028
net.finmath.convexityadjustment	1	0	100%	0.617
net.finmath.modelling	1	0	100%	2.53
net.finmath.marketdata.model.curves.locallinearregression	2	0	100%	1.141
net.finmath.montecarlo.assetderivativevaluation.models	4	0	100%	6.631
net.finmath.singleswaprate.model.volatilities	6	0	100%	0.887
net.finmath.optimizer	12	0	100%	0.717
net.finmath.montecarlo.automaticdifferentiation.backward	13	0	100%	0.047
net.finmath.randomnumbers	3	0	100%	0.961
net.finmath.montecarlo.interestrate.products.components	3	0	100%	8.803
net.finmath.marketdata.model.curves	7	0	100%	2.111
net.finmath.time.daycount	3	0	100%	0.071
net.finmath.fouriermethod.products	1	0	100%	0.105
net.finmath.information	2	0	100%	0.026
net.finmath.montecarlo.interestrate.products	11	0	100%	13.806
net.finmath.modelling.descriptor	6	0	100%	58.904
net.finmath.montecarlo.assetderivativevaluation	15	1	93.333%	12.834
net.finmath.montecarlo.interestrate.modelplugins	1	0	100%	0.786
net.finmath.montecarlo.assetderivativevaluation.products	3	0	100%	3.357
net.finmath.marketdata.model.volatilities	6	0	100%	0.427
net.finmath.modelling.productfactory	2	0	100%	2.213
net.finmath.finitedifference	4	0	100%	1.751
net.finmath.montecarlo	11	0	100%	7.227
net.finmath.marketdata.model.cds	1	0	100%	0.224
net.finmath.singleswaprate.data	1	0	100%	0.171
net.finmath.analytic.model.curves.test	1	0	100%	1.001
net.finmath.interpolation	1	0	100%	0.167
net.finmath.functions	36	0	100%	4.974

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

Class	Tests	Skipped	Success Rate	Time
BrownianMotionTest	20	0	100%	88.898
RandomVariableDifferentiableTypePriorityTest	16	0	100%	0.041
RandomVariableDifferentiableArithmeticTest	20	0	100%	0.039
CalibrationTest	12	0	100%	0.39
LIBORMarketModelNormalAADSensitivitiesTest	15	0	100%	48.977
LIBORMarketModelCalibrationTest	3	0	100%	176.36
FIPXMLParserTest	1	0	100%	0.039
RandomVariableDifferentiableTest	52	0	100%	20.916
LIBORMarketModelCalibrationAADTest	2	0	100%	103.478
LIBORMarketModelInterpolationTest	3	0	100%	9.428
FPMLParserTest	1	0	100%	0.058
MonteCarloBlackScholesModelSensitivitiesTest	3	0	100%	1.649
LIBORIndexMultiCurveTest	6	0	100%	16.947
SimpleCappedFlooredFloatingRateBondTest	2	0	100%	4.208
FundingCapacityTest	14	0	100%	35.501
BachelierModelMonteCarloValuationTest	24	4	83.333%	2.851
DeltaHedgedPortfolioWithAADTest	2	0	100%	16.16
BlackScholesMonteCarloValuationTest	24	0	100%	3.64
LIBORIndexTest	60	0	100%	53.73
RandomVariableDifferentiableAADPerformanceTest	18	0	100%	81.959
CapletVolatilitiesParametricCalibrationTest	2	0	100%	85.383
HestonModelCallOptionTest	2	0	100%	0.377
RandomVariableTest	55	0	100%	22.186
HestonModelTest	2	0	100%	3.572
DisplacedLognomalModelTest	3	0	100%	0.603
LIBORMarketModelMultiCurveValuationTest	14	0	100%	34.939
CalibrationTest	6	0	100%	0.302
LIBORMarketModelValuationTest	40	0	100%	37.869

net.finmath.montecarlo.interestrate

Class	Tests	Success Rate	Time
CapValuationTest	1	100%	3.012
LIBORMarketModelWithTenorRefinementCalibrationTest	2	100%	539.454
LIBORMarketModelCalibrationSmileTest	1	100%	17.346
HullWhiteModelTest	9	100%	8.034
HullWhiteModelCalibrationTest	1	100%	1.34

net.finmath.climate.models.dice

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DICEModelTest	3	0	0	0	100%	0.471

net.finmath.montecarlo.automaticdifferentiation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest	1	0	0	0	100%	0.973

net.finmath.rootfinder

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RootFindersTest	1	0	0	0	100%	0.059

net.finmath.singleswaprate.calibration

Class	Tests	Success Rate	Time
SABRCubeParallelCalibrationTest	1	100%	4.318
StaticCubeCalibrationTest	1	100%	2.205
SABRCubeCalibrationTest	1	100%	11.641
SABRShiftedSmileCalibrationTest	2	100%	1.8

net.finmath.fouriermethod

Class	Tests	Success Rate	Time
BlackScholesCallOptionTest	2	100%	0.237
VarianceGammaCallOptionTest	3	100%	5.42
MertonJumpDiffusionCallOptionTest	3	100%	3.572

net.finmath.time.businessdaycalendar

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BusinessdayCalendarTest	5	0	0	0	100%	0.11

net.finmath.marketdata.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DepositTest	3	0	0	0	100%	0.051

net.finmath.equities

Class	Tests	Success Rate	Time
PdeOptionPricerTest	8	100%	1.067
AffineDividendStreamTest	2	100%	0.06
AnalyticOptionValuationTest	3	100%	0.187
SviVolatiltitySurfaceTest	3	100%	0.098
Black76ModelTest	2	100%	0.047

net.finmath.singleswaprate.products

Class	Tests	Success Rate	Time
CashSettledSwaptionTest	3	100%	2.828
ConstantMaturitySwapTest	3	100%	3.7
AnnuityDummyTest	3	100%	0.916

net.finmath.singleswaprate.annuitymapping

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	NormalizingFunctionTest	1	0	0	0	100%	0.217
	AnnuityMappingTest	4	0	0	0	100%	0.187

net.finmath.montecarlo.hybridassetinterestrate

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HybridAssetLIBORModelMonteCarloSimulationFromModelsTest	1	0	0	0	100%	1.641
	CrossCurrencyLIBORMarketModelFromModelsTest	4	0	0	0	100%	23.864

net.finmath.util.config

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ConfigTreeTest	1	0	0	0	100%	0.078

net.finmath.fouriermethod.calibration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HestonDaxCalibrationTest	1	0	0	0	100%	1.923
	VarianceGammaDaxCalibrationTest	1	0	0	0	100%	1.123

net.finmath.time

Class	Tests	Success Rate	Time
DayCountConventionTest	8	100%	0.029
ScheduleGeneratorTest	3	100%	0.066
FloatingpointDateTest	3	100%	1.164
TimeDiscretizationTest	20	100%	0.052

net.finmath.integration

Class	Tests	Success Rate	Time
PiecewiseContantDoubleUnaryOperatorTest	5	100%	0.024
TrapezoidalRealIntegratorTest	1	100%	0.03
SimpsonRealIntegratorTest	2	100%	0.046
MonteCarloIntegratorTest	2	100%	0.188

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%	0.617

net.finmath.modelling

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORMarketModelHierarchyTest	1	0	0	0	100%	2.53

net.finmath.marketdata.model.curves.locallinearregression

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CurveEstimationTest	2	0	0	0	100%	1.141

net.finmath.montecarlo.assetderivativevaluation.models

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MultiAssetBlackScholesModelTest	4	0	0	0	100%	6.631

net.finmath.singleswaprate.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	SABRVolatilityCubeSharedParametersTest	2	0	0	0	100%	0.329
	SABRVolatilityCubeTest	4	0	0	0	100%	0.558

net.finmath.optimizer

Class	Tests	Success Rate	Time
StochasticLevenbergMarquardtTest	2	100%	0.238
LevenbergMarquardtTest	6	100%	0.183
OptimizerFactoryTest	2	100%	0.162
StochasticPathwiseLevenbergMarquardtTest	2	100%	0.134

net.finmath.montecarlo.automaticdifferentiation.backward

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RandomVariableDifferentiableAADTest	13	0	0	0	100%	0.047

net.finmath.randomnumbers

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	AcceptanceRejectionRandomNumberGeneratorTest	1	0	0	0	100%	0.721
	HighEntropyRandomNumberGeneratorTest	2	0	0	0	100%	0.24

net.finmath.montecarlo.interestrate.products.components

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ExposureTest	2	0	0	0	100%	8.749
	FundingCapacityTest	1	0	0	0	100%	0.054

net.finmath.marketdata.model.curves

Class	Tests	Success Rate	Time
CalibrationMultiCurveTest	1	100%	1.451
CurveTest	1	100%	0.092
NelsonSiegelSvenssonBondCalibrationTest	1	100%	0.182
DiscountCurveNelsonSiegelSvenssonTest	1	100%	0.02
DiscountCurveSerializationTest	1	100%	0.073
NelsonSiegelSvenssonCalibrationTest	1	100%	0.266
ForwardCurveNelsonSiegelSvenssonTest	1	100%	0.027

net.finmath.time.daycount

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DayCountConvention_30E_360Test	1	0	0	0	100%	0.033
	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%	0.105

net.finmath.information

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LibraryTest	2	0	0	0	100%	0.026

net.finmath.montecarlo.interestrate.products

Class	Tests	Success Rate	Time
SwaptionAnalyticApproximationTest	2	100%	2.396
SwapLegTest	5	100%	6.071
SwaptionNormalTest	1	100%	1.872
InterestRateProductTest	3	100%	3.467

net.finmath.modelling.descriptor

Class	Tests	Success Rate	Time
MertonModelDescriptorTest	1	100%	15.02
InterestRateSwapLegDescriptorTest	2	100%	3.443
VarianceGammaModelDescriptorTest	1	100%	37.365
AssetBlackScholesModelDescriptorTest	1	100%	1.476
HestonModelDescriptorTest	1	100%	1.6

net.finmath.montecarlo.assetderivativevaluation

Class	Tests	Skipped	Success Rate	Time
InhomogenousBachelierModelMonteCarloValuationTest	6	1	83.333%	1.079
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest	2	0	100%	4.446
VarianceGammaModelTest	1	0	100%	2.817
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest	1	0	100%	0.236
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest	1	0	100%	0.381
MonteCarloBlackScholesModelTest	2	0	100%	0.148
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest	1	0	100%	0.238
MertonModelTest	1	0	100%	3.489

net.finmath.montecarlo.interestrate.modelplugins

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORVolatilityModelFourParameterExponentialFormIntegratedTest	1	0	0	0	100%	0.786

net.finmath.montecarlo.assetderivativevaluation.products

Class	Tests	Success Rate	Time
BlackScholesDeltaHedgedPortfolioTest	1	100%	2.056
ForwardAgreementWithFundingRequirementTest	1	100%	0.502
EuropeanOptionVegaPathwiseTest	1	100%	0.799

net.finmath.marketdata.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CapletVolatilitiesTest	1	0	0	0	100%	0.132
	CapletVolatilitiesParametricTest	5	0	0	0	100%	0.295

net.finmath.modelling.productfactory

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ModelWithProductFactoryTest	2	0	0	0	100%	2.213

net.finmath.finitedifference

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ConstantElasticityOfVarianceThetaTest	2	0	0	0	100%	1.337
	BlackScholesThetaTest	2	0	0	0	100%	0.414

net.finmath.montecarlo

Class	Tests	Success Rate	Time
RandomVariableFromDoubleArrayTest	9	100%	0.067
GammaProcessTest	1	100%	5.476
VarianceGammaTest	1	100%	1.684

net.finmath.marketdata.model.cds

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CDSTest	1	0	0	0	100%	0.224

net.finmath.singleswaprate.data

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DataTablesTest	1	0	0	0	100%	0.171

net.finmath.analytic.model.curves.test

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	TestCurvesFromLIBORModel	1	0	0	0	100%	1.001

net.finmath.interpolation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BiLinearInterpolationTest	1	0	0	0	100%	0.167

net.finmath.functions

Class	Tests	Success Rate	Time
NormalDistributionTest	2	100%	0.15
JarqueBeraTestTest	1	100%	0.05
LinearAlgebraTest	6	100%	0.068
BachelierModelTest	8	100%	0.174
BarrierOptionsTest	8	100%	0.082
AnalyticFormulasTest	11	100%	4.45

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

	testExceptions	0.011
	testIntegralErrorCorrection	0.002
	testValuation	0
	testIntegralOfSquares	0
	testIntegral	0

CapValuationTest

	testCap	3.001

NormalDistributionTest

	testCumulativeDistribution	0.086
	testInverseCumulativeDistribution	0.05

InhomogenousBachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.184
	testEuropeanCallVega	0.466
	testEuropeanCallDelta	0.243
	testEuropeanCall	0.083
	testModelProperties	0.081

MertonModelDescriptorTest

	test	15.009

DayCountConvention_30E_360Test

	test	0.023

JarqueBeraTestTest

	test	0.041

BrownianMotionTest

	testBrownianIncrementSquaredDrift	3.622
	testBrownianIncrementSquaredDrift	3.25
	testBrownianIncrementSquaredDrift	3.302
	testBrownianIncrementSquaredDrift	3.164
	testSerialization	0.071
	testSerialization	0.031
	testSerialization	0.036
	testSerialization	0.032
	testScalarValuedBrownianMotionTerminalDistribution	5.527
	testScalarValuedBrownianMotionTerminalDistribution	5.518
	testScalarValuedBrownianMotionTerminalDistribution	5.266
	testScalarValuedBrownianMotionTerminalDistribution	5.238
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.396
	testScalarValuedBrownianMotionWithJarqueBeraTest	3.373
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.134
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.161
	testDensity	11.106
	testDensity	10.896
	testDensity	10.888
	testDensity	10.887

RandomVariableDifferentiableTypePriorityTest

	testTypePriorityAdd	0.027
	testTypePriorityAdd	0.001
	testTypePriorityAdd	0.004
	testTypePriorityAdd	0.001
	testTypePriorityCap	0.002
	testTypePriorityCap	0
	testTypePriorityCap	0
	testTypePriorityCap	0.001
	testTypePriorityMult	0.001
	testTypePriorityMult	0
	testTypePriorityMult	0.001
	testTypePriorityMult	0
	testTypePriorityFloor	0.001
	testTypePriorityFloor	0
	testTypePriorityFloor	0
	testTypePriorityFloor	0.002

RandomVariableFromDoubleArrayTest

	testAdd	0.027
	testDiv	0.004
	testGet	0
	testApply	0.004
	testMult	0.003
	testSize	0.002
	testAverage	0
	testVariance	0.001
	testGetRealizations	0

RandomVariableDifferentiableArithmeticTest

	testArithmeticExpLog	0.024
	testArithmeticExpLog	0
	testArithmeticExpLog	0.007
	testArithmeticExpLog	0.001
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtSquared	0
	testArithmeticSqrtSquared	0
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0.001
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0
	testArithmeticDivSelf	0
	testArithmeticDivSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0.001

SwaptionAnalyticApproximationTest

	testMultiCurveModel	1.636
	testSingleCurveModel	0.745

CalibrationTest

	testCurvesAndCalibration	0.22
	testCurvesAndCalibration	0.03
	testCurvesAndCalibration	0.05
	testCurvesAndCalibration	0.021
	testCurvesAndCalibration	0.037
	testCurvesAndCalibration	0.019
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.001

GammaProcessTest

	testScaling	5.461

LIBORMarketModelNormalAADSensitivitiesTest

	testDelta	3.99
	testDelta	3.125
	testDelta	3.576
	testDelta	3.714
	testDelta	4.533
	testVega	3.419
	testVega	3.109
	testVega	3.44
	testVega	3.805
	testVega	5.672
	testGenericDelta	1.976
	testGenericDelta	1.559
	testGenericDelta	1.638
	testGenericDelta	1.825
	testGenericDelta	3.596

CurveEstimationTest

	testRegressionMatrix	1.111
	testLinearInterpolation	0.018

LIBORMarketModelCalibrationTest

	testATMSwaptionCalibration	54.653
	testATMSwaptionCalibration	5.499
	testATMSwaptionCalibration	116.208

ScalarTest

	testAbs	0.007
	testAdd	0
	testCap	0
	testDiv	0
	testSub	0.001
	testSubRatio	0
	testFloor	0
	testIsNaN	0
	testMult	0
	testSqrt	0
	testArrayOf	0
	testAddRatio	0
	testGetAverage	0
	testAddProduct	0
	testDiscount	0
	testAccrue	0.001
	testChoose	0
	testEquals	0
	testInvert	0
	testSquared	0.001

PdeOptionPricerTest

	Test_pricer_american	0.233
	Test_noArbitrage	0.036
	Test_pricer_americanCall	0.03
	Test_pricer_european	0.019
	Test_europeanSensis	0.025
	Test_pricer_americanPut	0.022
	Test_impliedVol	0.175
	Test_pricer_lv	0.507

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

	testSensitivities	2.149
	testProductAADSensitivities	2.278

AffineDividendStreamTest

	Test_affineDividendConversion	0.049
	Test_sorting	0.001

RandomVariableDifferentiableAADTest

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

HestonDaxCalibrationTest

	test	1.911

SwapLegTest

	testFloatLeg	2.339
	testCMSSpreadLeg	1.292
	testFixLeg	0.764
	testLIBORInArrearsFloatLeg	0.772
	testCMSFloatLeg	0.876

FIPXMLParserTest

	testGetSwapProductDescriptor	0.039

AnalyticOptionValuationTest

	Test_complexMarketData	0.153
	Test_noArbitrage	0.003
	Test_sensis	0.017

RandomVariableDifferentiableTest

	testRandomVariableExpectation	0.108
	testRandomVariableExpectation	0.012
	testRandomVariableExpectation	0.014
	testRandomVariableExpectation	0.011
	testRandomVariableSimpleGradient2	0.003
	testRandomVariableSimpleGradient2	0.003
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient	0
	testRandomVariableSimpleGradient	0.001
	testRandomVariableSimpleGradient	0.001
	testRandomVariableSimpleGradient	0.001
	testRandomVariableGradientBiggerSum	0.949
	testRandomVariableGradientBiggerSum	0.369
	testRandomVariableGradientBiggerSum	0.699
	testRandomVariableGradientBiggerSum	0.354
	testRandomVariableGradientBigSumWithConstants	0.189
	testRandomVariableGradientBigSumWithConstants	0.074
	testRandomVariableGradientBigSumWithConstants	0.072
	testRandomVariableGradientBigSumWithConstants	0.08
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableStandardDeviation	0.001
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableGradientBigSum2	0.091
	testRandomVariableGradientBigSum2	0.016
	testRandomVariableGradientBigSum2	0.031
	testRandomVariableGradientBigSum2	0.016
	testRandomVariableArithmeticSquaredPow	0.002
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableGradientBigSum	0.087
	testRandomVariableGradientBigSum	0.033
	testRandomVariableGradientBigSum	0.059
	testRandomVariableGradientBigSum	0.03
	testRandomVariableStochastic	0.002
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	4.404
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	4.455
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	4.272
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	4.462
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001

LIBORMarketModelCalibrationAADTest

	testATMSwaptionCalibration	27.819
	testATMSwaptionCalibration	75.659

DICEModelTest

	testTimeStep1Y	0.204
	testTimeStep5Y	0.031
	testTimeStep6M	0.214

TrapezoidalRealIntegratorTest

	test	0.02

LIBORMarketModelInterpolationTest

	testInterpolatedLastLIBOR	3.169
	testInterpolatedLastLIBOR	3.716
	testInterpolatedLastLIBOR	2.543

ExposureTest

	testExpectedPositiveExposure	5.336
	testAgainstSwaption	3.398

VarianceGammaModelTest

	test	2.805

RootFindersTest

	testRootFinders	0.046

CashSettledSwaptionTest

	a_testSimplifiedLinear	0.812
	b_testBasicPiterbarg	1.038
	c_testMultiPiterbarg	0.852

FPMLParserTest

	testGetSwapProductDescriptor	0.058

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

	testProductAADSensitivities	0.224

BusinessdayCalendarTest

	testNycCalendar	0.044
	testCreateDateFromDateAndOffsetCode	0.038
	testCombinedCalendar	0.016
	testTargetCalendar	0
	testLondonCalendar	0

BlackScholesDeltaHedgedPortfolioTest

	testHedgePerformance	2.045

DepositTest

	testRateValueConsistency	0.037
	testEvaluationTime	0
	testDepositValue	0.003

InterestRateSwapLegDescriptorTest

	testFloatLeg	2.403
	testFixLeg	1.027

FundingCapacityTest

	test	0.033

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

	test	1.628

VarianceGammaModelDescriptorTest

	test	37.354

NormalizingFunctionTest

	testExpectation	0.074

ConstantMaturitySwapTest

	testSimplifiedLinear	0.846
	testBasicPiterbarg	1.446
	testMultiPiterbarg	1.297

AnnuityDummyTest

	testSimplified	0.464
	testBasic	0.168
	testMulti	0.167

SABRCubeParallelCalibrationTest

	testCalibration	4.301

StaticCubeCalibrationTest

	testStaticCubeCalibration	2.193

StochasticLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.101
	test	0.122

AcceptanceRejectionRandomNumberGeneratorTest

	test	0.709

DayCountConventionTest

	testDayCountConvention_30E_360	0.012
	testDayCountConvention_ACT_360	0.001
	testDayCountConvention_ACT_365	0.001
	testDayCountConventionAdditivity_ACT_ACT_ICMA	0.003
	testDayCountConventionAdditivity_ACT_ACT_ISDA	0
	testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA	0
	testDayCountConvention_ACT_ACT_ISDA	0
	testDayCountConvention_ACT_ACT_YEARFRAC	0.001

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

	testProductAADSensitivities	0.369

MonteCarloBlackScholesModelSensitivitiesTest

	testProductAADSensitivities	0.525
	testProductAADSensitivities	0.448
	testProductAADSensitivities	0.676

LIBORIndexMultiCurveTest

	testFRAMonteCarloVersusAnalytic	3.507
	testFRAMonteCarloVersusAnalytic	2.781
	testFRAMonteCarloVersusAnalytic	3.552
	testFRAMonteCarloVersusAnalytic	1.009
	testFRAMonteCarloVersusAnalytic	1.862
	testFRAMonteCarloVersusAnalytic	4.236

LevenbergMarquardtTest

	testMultiThreaddedOptimizer	0.086
	testBoothFunctionWithAnalyticDerivative	0.024
	testRosenbrockFunctionWithList	0.005
	testBoothFunction	0.005
	testRosenbrockFunction	0.036
	testSmallLinearSystem	0.003

CDSTest

	testCDS	0.214

LinearAlgebraTest

	testSolveLinearEquationLeastSquarePseudoInverse0	0.044
	testSolveLinearEquationLeastSquarePseudoInverse1	0
	testSolveLinearEquationLeastSquarePseudoInverse2	0
	testSolveLinearEquationLeastSquarePseudoInverse3	0
	testMatrixPowerNonSymmetric	0.007
	testMatrixPowerSymmetric	0.003

SimpleCappedFlooredFloatingRateBondTest

	test	2.715
	test	1.493

CrossCurrencyLIBORMarketModelFromModelsTest

	testForeignBond	7.267
	testProperties	3.959
	testForeignCaplet	6.221
	testForeignFRA	6.387

FundingCapacityTest

	testBond	2.964
	testBond	1.489
	testSwap	1.716
	testSwap	1.821
	testSwaptionSmile	1.672
	testSwaptionSmile	1.39
	testSwaption	1.604
	testSwaption	1.452
	testDigitalCaplet	1.374
	testDigitalCaplet	1.525
	testCaplet	1.358
	testCaplet	1.678
	testSwaptionCalibration	8.204
	testSwaptionCalibration	7.254

TestCarrMadan

	test	0.095

OptimizerFactoryTest

	testRosenbrockFunctionWithCMAES	0.14
	testRosenbrockFunctionWithLevenbergMarquard	0.01

AnnuityMappingTest

	a_testMappings	0.003
	b_testSeq	0.014
	c_testFirstDerivative	0.003
	d_testSecondDerivative	0.002

MonteCarloBlackScholesModelTest

	testDirectValuation	0.093
	testProductImplementation	0.042

BachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.177
	testModelRandomVariable	0.074
	testModelRandomVariable	0.05
	testModelRandomVariable	0.052
	testEuropeanCallVega	0.477
	testEuropeanCallVega	0.195
	testEuropeanCallVega	0.247
	testEuropeanCallVega	0.263
	testEuropeanCallDelta	0.214
	testEuropeanCallDelta	0.166
	testEuropeanCallDelta	0.212
	testEuropeanCallDelta	0.236
	testEuropeanCall	0.055
	testEuropeanCall	0.052
	testEuropeanCall	0.057
	testEuropeanCall	0.056
	testModelProperties	0.068
	testModelProperties	0.07
	testModelProperties	0.06
	testModelProperties	0.07

ScheduleGeneratorTest

	testPeriodLength	0.051
	testPeriodStartPeriodEnd	0.001
	testScheduleGeneratorMetaData	0.005

BiLinearInterpolationTest

	test	0.153

CapletVolatilitiesTest

	testConversions	0.122

VarianceGammaDaxCalibrationTest

	test	1.112

CalibrationMultiCurveTest

	testMultiCurveCalibration	1.44

DayCountConvention_30E_360_ISDATest

	testAssumingEndDateIsATerminationDate	0.027
	testAssumingEndDateIsNotATerminationDate	0

CMSOptionTest

	testCMSOption	0.607

DeltaHedgedPortfolioWithAADTest

	testHedgePerformance	8.293
	testHedgePerformance	7.867

BlackScholesCallOptionTest

	test	0.156
	testDigitalOption	0.059

BachelierModelTest

	testInhomogeneousImpliedVolatility	0.112
	testHomogeneousRandomVariableImplementations	0.005
	testDelta	0.013
	testVega	0.002
	testInhomogeneousRandomVariableImplementations	0.001
	testInhomogenousDelta	0.003
	testInhomogenousVega	0.004
	testImpliedVolatility	0.019

SwaptionNormalTest

	testSwaption	1.862

LIBORMarketModelWithTenorRefinementCalibrationTest

	testSwaptionSmileCalibration	260.066
	testATMSwaptionCalibration	279.358

LIBORMarketModelCalibrationSmileTest

	testSwaptionSmileCalibration	17.335

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

	test	0.775

CurveTest

	testCurveFitting	0.081

HighEntropyRandomNumberGeneratorTest

	distributionTest	0.109
	testRNGWithConcurrency	0.114

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

	test	0.963

BlackScholesMonteCarloValuationTest

	testEuropeanAsianBermudanOption	0.592
	testEuropeanAsianBermudanOption	0.301
	testEuropeanAsianBermudanOption	0.322
	testEuropeanAsianBermudanOption	0.302
	testModelRandomVariable	0.025
	testModelRandomVariable	0.022
	testModelRandomVariable	0.018
	testModelRandomVariable	0.018
	testEuropeanCallVega	0.198
	testEuropeanCallVega	0.357
	testEuropeanCallVega	0.172
	testEuropeanCallVega	0.162
	testEuropeanCallDelta	0.224
	testEuropeanCallDelta	0.389
	testEuropeanCallDelta	0.181
	testEuropeanCallDelta	0.18
	testEuropeanCall	0.025
	testEuropeanCall	0.024
	testEuropeanCall	0.027
	testEuropeanCall	0.018
	testModelProperties	0.02
	testModelProperties	0.026
	testModelProperties	0.019
	testModelProperties	0.018

StochasticPathwiseLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.103
	test	0.02

SABRCubeCalibrationTest

	testSABRCubeCalibration	11.629

LIBORIndexTest

	testSinglePeriods	0.444
	testSinglePeriods	0.116
	testSinglePeriods	0.133
	testSinglePeriods	0.169
	testSinglePeriods	0.208
	testSinglePeriods	0.412
	testSinglePeriods	1.032
	testSinglePeriods	1.536
	testSinglePeriods	1.784
	testSinglePeriods	4.308
	testSinglePeriods	0.07
	testSinglePeriods	0.068
	testSinglePeriods	0.098
	testSinglePeriods	0.151
	testSinglePeriods	0.187
	testSinglePeriods	0.366
	testSinglePeriods	0.685
	testSinglePeriods	1.804
	testSinglePeriods	1.978
	testSinglePeriods	3.592
	testMultiPeriodFloater	0.118
	testMultiPeriodFloater	0.176
	testMultiPeriodFloater	0.184
	testMultiPeriodFloater	0.176
	testMultiPeriodFloater	0.267
	testMultiPeriodFloater	0.734
	testMultiPeriodFloater	0.716
	testMultiPeriodFloater	1.329
	testMultiPeriodFloater	1.851
	testMultiPeriodFloater	3.397
	testMultiPeriodFloater	0.045
	testMultiPeriodFloater	0.059
	testMultiPeriodFloater	0.09
	testMultiPeriodFloater	0.144
	testMultiPeriodFloater	0.186
	testMultiPeriodFloater	0.386
	testMultiPeriodFloater	0.694
	testMultiPeriodFloater	1.442
	testMultiPeriodFloater	2.2
	testMultiPeriodFloater	3.549
	testUnalignedPeriods	0.094
	testUnalignedPeriods	0.059
	testUnalignedPeriods	0.118
	testUnalignedPeriods	0.157
	testUnalignedPeriods	0.197
	testUnalignedPeriods	0.376
	testUnalignedPeriods	0.647
	testUnalignedPeriods	1.542
	testUnalignedPeriods	1.786
	testUnalignedPeriods	3.307
	testUnalignedPeriods	0.055
	testUnalignedPeriods	0.058
	testUnalignedPeriods	0.082
	testUnalignedPeriods	0.146
	testUnalignedPeriods	0.182
	testUnalignedPeriods	0.357
	testUnalignedPeriods	0.727
	testUnalignedPeriods	1.433
	testUnalignedPeriods	1.962
	testUnalignedPeriods	3.561

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

	testProductAADSensitivities	0.228

HullWhiteModelTest

	testBermudanSwaption	3.016
	testZeroCMSSwap	1.449
	testBond	0.311
	testSwap	2.079
	testSwaption	0.386
	testCaplet	0.306
	testCapletSmile	0.234
	testLIBORInArrearsFloatLeg	0.009
	testPutOnMoneyMarketAccount	0.217

ConfigTreeTest

	test	0.06

RandomVariableDifferentiableAADPerformanceTest

	test	1.424
	test	1.29
	test	1.788
	test	1.691
	test	1.265
	test	1.134
	test	2.192
	test	1.164
	test	1.695
	test	1.133
	test	1.45
	test	1.143
	test	19.177
	test	4.547
	test	18.97
	test	4.338
	test	14.114
	test	3.444

NelsonSiegelSvenssonBondCalibrationTest

	testBondNSSCurveCalibration	0.17

MertonModelTest

	test	3.478

CapletVolatilitiesParametricCalibrationTest

	testVolatilityCalibration	34.075
	testVolatilityCalibration	51.308

ModelWithProductFactoryTest

	bsTest	1.096
	hTest	1.091

DiscountCurveNelsonSiegelSvenssonTest

	test	0.011

SimpsonRealIntegratorTest

	testCos	0.035
	testCubic	0.002

ForwardAgreementWithFundingRequirementTest

	test	0.487

CapletVolatilitiesParametricTest

	testIntegratedFourParameterExponentialVolatilityParamSet1	0.226
	testDecayVolatility	0.005
	testIntegratedFourParameterExponentialVolatilityParamSetCZero	0.036
	testFlatVolatilityUsingA	0
	testFlatVolatilityUsingD	0.001

DataTablesTest

	testTables	0.158

HestonModelCallOptionTest

	test	0.287
	test	0.09

FloatingpointDateTest

	testLocalDateTime	1.142
	test	0.006
	testLocalDateLocalDateTimeConsistency	0.003

SviVolatiltitySurfaceTest

	Test_noArbitrage	0.054
	Test_calibration	0.03
	Test_stickyness	0.003

RandomVariableTest

	testAdd	0.011
	testAdd	0.001
	testAdd	0.03
	testAdd	0.002
	testAdd	0.005
	testCap	0.001
	testCap	0
	testCap	0.001
	testCap	0.008
	testCap	0
	testApply	0.002
	testApply	0
	testApply	0.003
	testApply	0.001
	testApply	0
	testFloor	0
	testFloor	0
	testFloor	0.001
	testFloor	0
	testFloor	0
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testGetQuantile	4.648
	testGetQuantile	4.5
	testGetQuantile	4.343
	testGetQuantile	4.279
	testGetQuantile	4.313
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.003
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.002
	testApply2	0.012
	testApply2	0
	testApply2	0.005
	testApply2	0.001
	testApply2	0
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0.001
	testRandomVariableDeterministc	0.003
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0

HestonModelTest

	test	1.944
	test	1.628

LibraryTest

	testVersionString	0.017
	testBuildString	0.001

DisplacedLognomalModelTest

	testProductImplementation	0.3
	testProductImplementation	0.143
	testProductImplementation	0.16

InterestRateProductTest

	testBond	1.499
	testSwap	0.766
	testSwaption	1.184

DiscountCurveSerializationTest

	test	0.062

AssetBlackScholesModelDescriptorTest

	test	1.467

BarrierOptionsTest

	testDownAndInCall	0.059
	testDownAndOutPut	0.002
	testDownAndInPut	0.002
	testUpAndInPut	0.001
	testUpAndInCall	0.001
	testUpAndOutPut	0.002
	testUpAndOutCall	0.001
	testDownAndOutCall	0.001

LIBORMarketModelHierarchyTest

	testModelHierarchy	2.52

SABRVolatilityCubeSharedParametersTest

	a_cubeATM	0.033
	b_strikeSlices	0.029

VarianceGammaCallOptionTest

	testMartingalePropertyMonteCarlo	2.757
	test	2.652
	testMartingaleProperty	0.001

NelsonSiegelSvenssonCalibrationTest

	testCalibration	0.258

ForwardCurveNelsonSiegelSvenssonTest

	test	0.02

LIBORMarketModelMultiCurveValuationTest

	testBond	2.827
	testBond	1.571
	testSwap	1.85
	testSwap	1.491
	testSwaptionSmile	1.556
	testSwaptionSmile	1.368
	testSwaption	1.619
	testSwaption	1.542
	testDigitalCaplet	1.382
	testDigitalCaplet	1.375
	testCaplet	1.415
	testCaplet	1.399
	testSwaptionCalibration	7.818
	testSwaptionCalibration	7.726

MertonJumpDiffusionCallOptionTest

	testMartingalePropertyMonteCarlo	1.666
	test	1.892
	testMartingaleProperty	0

EuropeanOptionVegaPathwiseTest

	test	0.789

CalibrationTest

	testCurvesAndCalibration	0.243
	testCurvesAndCalibration	0.025
	testCurvesAndCalibration	0.021
	testForwardCurveFromDiscountCurve	0.008
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.002

AnalyticFormulasTest

	testSABRSkewApproximation	0.032
	testBlackScholesPutCallParityATM	0.011
	testVolatilityConversionLognormalToNormal	0.003
	testBlackModelCapletImpliedVol	0.001
	testBlackModelDigitalCapletDelta	0.001
	testBachelierOptionImpliedVolatility	0.585
	testBlackScholesNegativeForward	0.001
	testSABRCurvatureApproximation	0.001
	testBachelierRiskNeutralProbabilities	0.039
	testSABRCalibration	3.717
	testBachelierOptionDelta	0.026

ConstantElasticityOfVarianceThetaTest

	testEuropeanCallOption	0.754
	testEuropeanPutOption	0.571

MonteCarloIntegratorTest

	testCos	0.13
	testCubic	0.047

MultiAssetBlackScholesModelTest

	testModelWithFactorLoadings	3.184
	testModelWithCloneModifiedVolatility	0.191
	testModelCloneWithModifiedSeed	0.104
	testModelWithVolatilityAndCorrelation	3.114

HestonModelDescriptorTest

	test	1.59

TimeDiscretizationTest

	constructWithNumberOfStepsSmallerThanTickSize	0.02
	constructWithSetAtDefaultTickSize	0.001
	constructWithBoxedArrayAtSmallTickSize	0.001
	testUnionWithSubTickDuplicates	0.002
	testIntersectionWithNoDuplicates	0.001
	constructWithUnboxedArrayAtDefaultTickSize	0
	constructWithIntervalShortStubAtFront	0.001
	constructWithIntervalShortStubAtEnd	0.001
	constructWithNumberOfSteps	0.001
	constructWithSetAtSmallTickSize	0
	constructWithArrayListAtBigTickSize	0
	constructWithBoxedArrayAtBigTickSize	0.001
	constructWithSetAtBigTickSize	0
	testIntersectionWithSubTickDuplicates	0.001
	testIntersectionWithDifferentTickSizes	0.001
	constructWithBoxedArrayAtDefaultTickSize	0.004
	constructWithArrayListAtSmallTickSize	0.001
	testUnionWithNoDuplicates	0.001
	testUnionWithDifferentTickSizes	0.001
	constructWithArrayListAtDefaultTickSize	0.001

Black76ModelTest

	Test_black76_impliedVolatility	0.033
	Test_black76_formula	0.001

SABRVolatilityCubeTest

	a_cubeATM	0.052
	b_strikeSlices	0.037
	c_testAccessPerformance	0.169
	d_testAccessPerformanceOnNodes	0.027

HullWhiteModelCalibrationTest

	testATMSwaptionCalibration	1.33

BlackScholesThetaTest

	testEuropeanCallOption	0.272
	testEuropeanPutOption	0.115

SABRShiftedSmileCalibrationTest

	testCalibration	1.655
	testSingleSmile	0.049

TestCurvesFromLIBORModel

	testStochasticCurves	0.988

LIBORMarketModelValuationTest

	testFRA	2.095
	testFRA	1.157
	testFRA	1.677
	testFRA	1.275
	testBond	1
	testBond	0.867
	testBond	1.101
	testBond	1.025
	testSwap	1.122
	testSwap	0.831
	testSwap	1.38
	testSwap	1.488
	testSwaptionSmile	0.834
	testSwaptionSmile	0.793
	testSwaptionSmile	0.947
	testSwaptionSmile	1.035
	testSwaption	0.816
	testSwaption	0.865
	testSwaption	1.016
	testSwaption	0.922
	testDigitalCaplet	0.806
	testDigitalCaplet	0.79
	testDigitalCaplet	1.089
	testDigitalCaplet	1.239
	testLIBORInArrearsConvexity	0.815
	testLIBORInArrearsConvexity	0.807
	testLIBORInArrearsConvexity	1.265
	testLIBORInArrearsConvexity	1.233
	testCaplet	0.843
	testCaplet	0.805
	testCaplet	0.894
	testCaplet	0.962
	testCapletSmile	1.023
	testCapletSmile	0.806
	testCapletSmile	0.884
	testCapletSmile	0.926
	testSwaptionCalibration	0.237
	testSwaptionCalibration	0.079
	testSwaptionCalibration	0.068
	testSwaptionCalibration	0.052

VarianceGammaTest

	testCharacteristicFunction	1.673

Failure Details

[Summary] [Package List] [Test Cases]

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