Surefire Report

Summary

[Summary] [Package List] [Test Cases]

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

Package List

[Summary] [Package List] [Test Cases]

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%	103.298
	RandomVariableDifferentiableTypePriorityTest	16	0	0	0	100%	0.045
	RandomVariableDifferentiableArithmeticTest	20	0	0	0	100%	0.039
	CalibrationTest	12	0	0	0	100%	0.244
	LIBORMarketModelNormalAADSensitivitiesTest	15	0	0	0	100%	104.453
	LIBORMarketModelCalibrationTest	3	0	0	0	100%	229.885
	FIPXMLParserTest	1	0	0	0	100%	0.067
	RandomVariableDifferentiableTest	52	0	0	0	100%	33.053
	LIBORMarketModelCalibrationAADTest	2	0	0	0	100%	100.821
	LIBORMarketModelInterpolationTest	3	0	0	0	100%	17.947
	FPMLParserTest	1	0	0	0	100%	0.099
	MonteCarloBlackScholesModelSensitivitiesTest	3	0	0	0	100%	1.95
	LIBORIndexMultiCurveTest	6	0	0	0	100%	31.235
	SimpleCappedFlooredFloatingRateBondTest	2	0	0	0	100%	5.902
	BachelierModelMonteCarloValuationTest	24	0	0	4	83.333%	3.828
	DeltaHedgedPortfolioWithAADTest	2	0	0	0	100%	21.493
	BlackScholesMonteCarloValuationTest	24	0	0	0	100%	3.892
	LIBORIndexTest	60	0	0	0	100%	107.147
	RandomVariableDifferentiableAADPerformanceTest	18	0	0	0	100%	107.494
	CapletVolatilitiesParametricCalibrationTest	2	0	0	0	100%	123.065
	HestonModelCallOptionTest	2	0	0	0	100%	0.179
	RandomVariableTest	45	0	0	0	100%	28.246
	HestonModelTest	2	0	0	0	100%	3.618
	DisplacedLognomalModelTest	3	0	0	0	100%	0.606
	LIBORMarketModelMultiCurveValuationTest	14	0	0	0	100%	62.993
	CalibrationTest	6	0	0	0	100%	0.228
	LIBORMarketModelValuationTest	40	0	0	0	100%	57.585

net.finmath.montecarlo.interestrate

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CapValuationTest	1	0	0	0	100%	3.569
	LIBORMarketModelCalibrationSmileTest	1	0	0	0	100%	34.656
	HullWhiteModelTest	9	0	0	0	100%	10.765
	HullWhiteModelCalibrationTest	1	0	0	0	100%	0.906

net.finmath.montecarlo.automaticdifferentiation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest	1	0	0	0	100%	1.102

net.finmath.rootfinder

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RootFindersTest	1	0	0	0	100%	0.047

net.finmath.singleswaprate.calibration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	SABRCubeParallelCalibrationTest	1	0	0	0	100%	5.375
	StaticCubeCalibrationTest	1	0	0	0	100%	2.701
	SABRCubeCalibrationTest	1	0	0	0	100%	14.233
	SABRShiftedSmileCalibrationTest	2	0	0	0	100%	1.919

net.finmath.fouriermethod

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BlackScholesCallOptionTest	2	0	0	0	100%	0.127
	VarianceGammaCallOptionTest	3	0	0	0	100%	5.83
	MertonJumpDiffusionCallOptionTest	3	0	0	0	100%	3.581

net.finmath.time.businessdaycalendar

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BusinessdayCalendarTest	5	0	0	0	100%	0.078

net.finmath.marketdata.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DepositTest	3	0	0	0	100%	0.053

net.finmath.equities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	PdeOptionPricerTest	8	0	0	0	100%	1.34
	AffineDividendStreamTest	2	0	0	0	100%	0.03
	AnalyticOptionValuationTest	2	0	0	0	100%	0.099
	SviVolatiltitySurfaceTest	3	0	0	0	100%	0.093
	Black76ModelTest	2	0	0	0	100%	0.061

net.finmath.singleswaprate.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CashSettledSwaptionTest	3	0	0	0	100%	3.276
	ConstantMaturitySwapTest	3	0	0	0	100%	4.567
	AnnuityDummyTest	3	0	0	0	100%	0.529

net.finmath.singleswaprate.annuitymapping

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	NormalizingFunctionTest	1	0	0	0	100%	0.182
	AnnuityMappingTest	4	0	0	0	100%	0.181

net.finmath.montecarlo.hybridassetinterestrate

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HybridAssetLIBORModelMonteCarloSimulationFromModelsTest	1	0	0	0	100%	1.879
	CrossCurrencyLIBORMarketModelFromModelsTest	4	0	0	0	100%	57.572

net.finmath.fouriermethod.calibration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HestonDaxCalibrationTest	1	0	0	0	100%	1.89
	VarianceGammaDaxCalibrationTest	1	0	0	0	100%	1.274

net.finmath.time

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DayCountConventionTest	8	0	0	0	100%	0.037
	ScheduleGeneratorTest	3	0	0	0	100%	0.082
	FloatingpointDateTest	3	0	0	0	100%	1.279
	TimeDiscretizationTest	20	0	0	0	100%	0.057

net.finmath.integration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	PiecewiseContantDoubleUnaryOperatorTest	5	0	0	0	100%	0.028
	TrapezoidalRealIntegratorTest	1	0	0	0	100%	0.026
	SimpsonRealIntegratorTest	2	0	0	0	100%	0.054
	MonteCarloIntegratorTest	2	0	0	0	100%	0.242

net.finmath.stochastic

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ScalarTest	20	0	0	0	100%	0.03

net.finmath.convexityadjustment

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CMSOptionTest	1	0	0	0	100%	0.423

net.finmath.modelling

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORMarketModelHierarchyTest	1	0	0	0	100%	2.442

net.finmath.marketdata.model.curves.locallinearregression

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CurveEstimationTest	2	0	0	0	100%	0.735

net.finmath.montecarlo.assetderivativevaluation.models

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MultiAssetBlackScholesModelTest	4	0	0	0	100%	7.26

net.finmath.singleswaprate.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	SABRVolatilityCubeSharedParametersTest	2	0	0	0	100%	0.245
	SABRVolatilityCubeTest	4	0	0	0	100%	0.401

net.finmath.optimizer

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	StochasticLevenbergMarquardtTest	2	0	0	0	100%	0.177
	LevenbergMarquardtTest	6	0	0	0	100%	0.118
	OptimizerFactoryTest	2	0	0	0	100%	0.145
	StochasticPathwiseLevenbergMarquardtTest	2	0	0	0	100%	0.113

net.finmath.montecarlo.automaticdifferentiation.backward

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RandomVariableDifferentiableAADTest	13	0	0	0	100%	0.049

net.finmath.randomnumbers

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	AcceptanceRejectionRandomNumberGeneratorTest	1	0	0	0	100%	1.338

net.finmath.montecarlo.interestrate.products.components

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ExposureTest	2	0	0	0	100%	13.525
	FundingCapacityTest	1	0	0	0	100%	0.051

net.finmath.marketdata.model.curves

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CalibrationMultiCurveTest	1	0	0	0	100%	0.799
	CurveTest	1	0	0	0	100%	0.09
	NelsonSiegelSvenssonBondCalibrationTest	1	0	0	0	100%	0.148
	DiscountCurveNelsonSiegelSvenssonTest	1	0	0	0	100%	0.015
	DiscountCurveSerializationTest	1	0	0	0	100%	0.06
	NelsonSiegelSvenssonCalibrationTest	1	0	0	0	100%	0.195
	ForwardCurveNelsonSiegelSvenssonTest	1	0	0	0	100%	0.024

net.finmath.time.daycount

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DayCountConvention_30E_360Test	1	0	0	0	100%	0.051
	DayCountConvention_30E_360_ISDATest	2	0	0	0	100%	0.052

net.finmath.fouriermethod.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	TestCarrMadan	1	0	0	0	100%	0.113

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%	2.48
	SwapLegTest	5	0	0	0	100%	7.86
	SwaptionNormalTest	1	0	0	0	100%	2.02
	InterestRateProductTest	3	0	0	0	100%	3.946

net.finmath.modelling.descriptor

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MertonModelDescriptorTest	1	0	0	0	100%	21.202
	InterestRateSwapLegDescriptorTest	2	0	0	0	100%	3.919
	VarianceGammaModelDescriptorTest	1	0	0	0	100%	42.866
	AssetBlackScholesModelDescriptorTest	1	0	0	0	100%	1.726
	HestonModelDescriptorTest	1	0	0	0	100%	1.658

net.finmath.montecarlo.assetderivativevaluation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	InhomogenousBachelierModelMonteCarloValuationTest	6	0	0	1	83.333%	1.316
	MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest	2	0	0	0	100%	6.278
	VarianceGammaModelTest	1	0	0	0	100%	3.014
	MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest	1	0	0	0	100%	0.204
	MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest	1	0	0	0	100%	0.382
	MonteCarloBlackScholesModelTest	2	0	0	0	100%	0.139
	MonteCarloBlackScholesModelAsianOptionSensitivitiesTest	1	0	0	0	100%	0.21
	MertonModelTest	1	0	0	0	100%	3.595

net.finmath.montecarlo.interestrate.modelplugins

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORVolatilityModelFourParameterExponentialFormIntegratedTest	1	0	0	0	100%	0.677

net.finmath.montecarlo.assetderivativevaluation.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BlackScholesDeltaHedgedPortfolioTest	1	0	0	0	100%	2.168
	ForwardAgreementWithFundingRequirementTest	1	0	0	0	100%	0.525
	EuropeanOptionVegaPathwiseTest	1	0	0	0	100%	0.969

net.finmath.marketdata.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CapletVolatilitiesTest	1	0	0	0	100%	0.107
	CapletVolatilitiesParametricTest	5	0	0	0	100%	0.218

net.finmath.modelling.productfactory

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ModelWithProductFactoryTest	2	0	0	0	100%	2.668

net.finmath.finitedifference

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ConstantElasticityOfVarianceThetaTest	2	0	0	0	100%	1.853
	BlackScholesThetaTest	2	0	0	0	100%	0.471

net.finmath.montecarlo

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	GammaProcessTest	1	0	0	0	100%	6.029
	VarianceGammaTest	1	0	0	0	100%	1.817

net.finmath.marketdata.model.cds

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CDSTest	1	0	0	0	100%	0.173

net.finmath.singleswaprate.data

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DataTablesTest	1	0	0	0	100%	0.175

net.finmath.analytic.model.curves.test

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	TestCurvesFromLIBORModel	1	0	0	0	100%	0.695

net.finmath.interpolation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BiLinearInterpolationTest	1	0	0	0	100%	0.118

net.finmath.functions

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	NormalDistributionTest	2	0	0	0	100%	0.13
	JarqueBeraTestTest	1	0	0	0	100%	0.063
	LinearAlgebraTest	3	0	0	0	100%	0.049
	BachelierModelTest	8	0	0	0	100%	0.146
	BarrierOptionsTest	8	0	0	0	100%	0.068
	AnalyticFormulasTest	11	0	0	0	100%	3.485

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

	testExceptions	0.013
	testIntegralErrorCorrection	0.001
	testValuation	0.001
	testIntegralOfSquares	0
	testIntegral	0

CapValuationTest

testCap

3.558

NormalDistributionTest

	testCumulativeDistribution	0.068
	testInverseCumulativeDistribution	0.049

InhomogenousBachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.204
	testEuropeanCallVega	0.528
	testEuropeanCallDelta	0.427
	testEuropeanCall	0.081
	testModelProperties	0.064

MertonModelDescriptorTest

test

21.192

DayCountConvention_30E_360Test

test

0.039

JarqueBeraTestTest

test

0.054

BrownianMotionTest

	testBrownianIncrementSquaredDrift	4.766
	testBrownianIncrementSquaredDrift	3.903
	testBrownianIncrementSquaredDrift	3.966
	testBrownianIncrementSquaredDrift	3.818
	testSerialization	0.049
	testSerialization	0.03
	testSerialization	0.029
	testSerialization	0.041
	testScalarValuedBrownianMotionTerminalDistribution	5.723
	testScalarValuedBrownianMotionTerminalDistribution	5.845
	testScalarValuedBrownianMotionTerminalDistribution	5.293
	testScalarValuedBrownianMotionTerminalDistribution	5.659
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.727
	testScalarValuedBrownianMotionWithJarqueBeraTest	3.493
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.715
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.66
	testDensity	13.434
	testDensity	13.497
	testDensity	12.755
	testDensity	12.895

RandomVariableDifferentiableTypePriorityTest

	testTypePriorityAdd	0.027
	testTypePriorityAdd	0.001
	testTypePriorityAdd	0.006
	testTypePriorityAdd	0
	testTypePriorityCap	0.002
	testTypePriorityCap	0.001
	testTypePriorityCap	0
	testTypePriorityCap	0.001
	testTypePriorityMult	0.002
	testTypePriorityMult	0.001
	testTypePriorityMult	0.001
	testTypePriorityMult	0
	testTypePriorityFloor	0.002
	testTypePriorityFloor	0
	testTypePriorityFloor	0
	testTypePriorityFloor	0.001

RandomVariableDifferentiableArithmeticTest

	testArithmeticExpLog	0.017
	testArithmeticExpLog	0
	testArithmeticExpLog	0.014
	testArithmeticExpLog	0.001
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0
	testArithmeticSqrtSquared	0
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0
	testArithmeticDivSelf	0
	testArithmeticSubSelf	0.001
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0

SwaptionAnalyticApproximationTest

	testMultiCurveModel	1.401
	testSingleCurveModel	1.068

CalibrationTest

	testCurvesAndCalibration	0.169
	testCurvesAndCalibration	0.017
	testCurvesAndCalibration	0.012
	testCurvesAndCalibration	0.012
	testCurvesAndCalibration	0.016
	testCurvesAndCalibration	0.01
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0.001

GammaProcessTest

testScaling

6.018

LIBORMarketModelNormalAADSensitivitiesTest

	testDelta	6.053
	testDelta	5.786
	testDelta	7.652
	testDelta	7.927
	testDelta	9.857
	testVega	6.239
	testVega	5.986
	testVega	7.939
	testVega	8.339
	testVega	11.49
	testGenericDelta	3.869
	testGenericDelta	4.041
	testGenericDelta	5.074
	testGenericDelta	5.236
	testGenericDelta	8.965

CurveEstimationTest

	testRegressionMatrix	0.712
	testLinearInterpolation	0.015

LIBORMarketModelCalibrationTest

	testATMSwaptionCalibration	67.821
	testATMSwaptionCalibration	7.335
	testATMSwaptionCalibration	154.729

ScalarTest

	testAbs	0.005
	testAdd	0.001
	testCap	0
	testDiv	0
	testSub	0
	testSubRatio	0
	testFloor	0.001
	testIsNaN	0.001
	testMult	0
	testSqrt	0.001
	testArrayOf	0
	testAddRatio	0
	testGetAverage	0.001
	testAddProduct	0
	testDiscount	0
	testAccrue	0
	testChoose	0.001
	testEquals	0
	testInvert	0
	testSquared	0

PdeOptionPricerTest

	Test_pricer_american	0.27
	Test_noArbitrage	0.059
	Test_pricer_americanCall	0.018
	Test_pricer_european	0.013
	Test_europeanSensis	0.025
	Test_pricer_americanPut	0.042
	Test_impliedVol	0.167
	Test_pricer_lv	0.732

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

	testSensitivities	3.273
	testProductAADSensitivities	2.996

AffineDividendStreamTest

	Test_affineDividendConversion	0.02
	Test_sorting	0.001

RandomVariableDifferentiableAADTest

	testSecondOrderDerivative	0.027
	testOperatorMult1	0
	testOperatorMult2	0
	testVariance	0.004
	testOperatorExp	0.001
	testOperatorLog	0.001
	testExpectation	0.001
	testOperatorAdd1	0
	testOperatorAdd2	0
	testOperatorDiv1	0
	testOperatorDiv2	0
	testOperatorSub1	0.001
	testOperatorSub2	0

HestonDaxCalibrationTest

test

1.879

SwapLegTest

	testFloatLeg	2.171
	testCMSSpreadLeg	1.9
	testFixLeg	1.132
	testLIBORInArrearsFloatLeg	1.262
	testCMSFloatLeg	1.384

FIPXMLParserTest

testGetSwapProductDescriptor

0.067

AnalyticOptionValuationTest

	Test_noArbitrage	0.078
	Test_sensis	0.013

RandomVariableDifferentiableTest

	testRandomVariableExpectation	0.119
	testRandomVariableExpectation	0.011
	testRandomVariableExpectation	0.013
	testRandomVariableExpectation	0.01
	testRandomVariableSimpleGradient2	0.001
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient2	0.001
	testRandomVariableSimpleGradient2	0
	testRandomVariableSimpleGradient	0
	testRandomVariableSimpleGradient	0.001
	testRandomVariableSimpleGradient	0
	testRandomVariableSimpleGradient	0.001
	testRandomVariableGradientBiggerSum	2.585
	testRandomVariableGradientBiggerSum	1.094
	testRandomVariableGradientBiggerSum	2.308
	testRandomVariableGradientBiggerSum	1.085
	testRandomVariableGradientBigSumWithConstants	0.279
	testRandomVariableGradientBigSumWithConstants	0.124
	testRandomVariableGradientBigSumWithConstants	0.165
	testRandomVariableGradientBigSumWithConstants	0.068
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableGradientBigSum2	0.046
	testRandomVariableGradientBigSum2	0.028
	testRandomVariableGradientBigSum2	0.052
	testRandomVariableGradientBigSum2	0.023
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableGradientBigSum	0.12
	testRandomVariableGradientBigSum	0.063
	testRandomVariableGradientBigSum	0.145
	testRandomVariableGradientBigSum	0.054
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	6.322
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	6.223
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	5.835
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	6.274
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0

LIBORMarketModelCalibrationAADTest

	testATMSwaptionCalibration	39.224
	testATMSwaptionCalibration	61.597

TrapezoidalRealIntegratorTest

test

0.016

LIBORMarketModelInterpolationTest

	testInterpolatedLastLIBOR	6.603
	testInterpolatedLastLIBOR	5.423
	testInterpolatedLastLIBOR	5.921

ExposureTest

	testExpectedPositiveExposure	7.845
	testAgainstSwaption	5.669

VarianceGammaModelTest

test

3.005

RootFindersTest

testRootFinders

0.037

CashSettledSwaptionTest

	a_testSimplifiedLinear	0.737
	b_testBasicPiterbarg	1.213
	c_testMultiPiterbarg	1.221

FPMLParserTest

testGetSwapProductDescriptor

0.099

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities

0.194

BusinessdayCalendarTest

	testNycCalendar	0.043
	testCreateDateFromDateAndOffsetCode	0.014
	testCombinedCalendar	0.009
	testTargetCalendar	0.001
	testLondonCalendar	0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance

2.157

DepositTest

	testRateValueConsistency	0.032
	testEvaluationTime	0.001
	testDepositValue	0.004

InterestRateSwapLegDescriptorTest

	testFloatLeg	2.243
	testFixLeg	1.665

FundingCapacityTest

test

0.037

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

test

1.868

VarianceGammaModelDescriptorTest

test

42.856

NormalizingFunctionTest

testExpectation

0.067

ConstantMaturitySwapTest

	testSimplifiedLinear	0.733
	testBasicPiterbarg	1.949
	testMultiPiterbarg	1.799

AnnuityDummyTest

	testSimplified	0.247
	testBasic	0.106
	testMulti	0.088

SABRCubeParallelCalibrationTest

testCalibration

5.364

StaticCubeCalibrationTest

testStaticCubeCalibration

2.689

StochasticLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.095
	test	0.07

AcceptanceRejectionRandomNumberGeneratorTest

test

1.329

DayCountConventionTest

	testDayCountConvention_30E_360	0.006
	testDayCountConvention_ACT_360	0.001
	testDayCountConvention_ACT_365	0
	testDayCountConventionAdditivity_ACT_ACT_ICMA	0.008
	testDayCountConventionAdditivity_ACT_ACT_ISDA	0.001
	testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA	0.001
	testDayCountConvention_ACT_ACT_ISDA	0
	testDayCountConvention_ACT_ACT_YEARFRAC	0.003

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities

0.372

MonteCarloBlackScholesModelSensitivitiesTest

	testProductAADSensitivities	0.635
	testProductAADSensitivities	0.501
	testProductAADSensitivities	0.814

LIBORIndexMultiCurveTest

	testFRAMonteCarloVersusAnalytic	3.505
	testFRAMonteCarloVersusAnalytic	4.029
	testFRAMonteCarloVersusAnalytic	9.436
	testFRAMonteCarloVersusAnalytic	2.343
	testFRAMonteCarloVersusAnalytic	3.688
	testFRAMonteCarloVersusAnalytic	8.234

LevenbergMarquardtTest

	testMultiThreaddedOptimizer	0.065
	testBoothFunctionWithAnalyticDerivative	0.022
	testRosenbrockFunctionWithList	0.005
	testBoothFunction	0.004
	testRosenbrockFunction	0.006
	testSmallLinearSystem	0.002

CDSTest

testCDS

0.163

LinearAlgebraTest

	testSolveLinearEquationLeastSquarePseudoInverse2	0.037
	testSolveLinearEquationLeastSquarePseudoInverse3	0
	testSolveLinearEquationLeastSquarePseudoInverse	0

SimpleCappedFlooredFloatingRateBondTest

	test	3.44
	test	2.462

CrossCurrencyLIBORMarketModelFromModelsTest

	testForeignBond	18.493
	testProperties	8.277
	testForeignCaplet	15.296
	testForeignFRA	15.492

TestCarrMadan

test

0.105

OptimizerFactoryTest

	testRosenbrockFunctionWithCMAES	0.119
	testRosenbrockFunctionWithLevenbergMarquard	0.017

AnnuityMappingTest

	a_testMappings	0.004
	b_testSeq	0.02
	c_testFirstDerivative	0.003
	d_testSecondDerivative	0.002

MonteCarloBlackScholesModelTest

	testDirectValuation	0.103
	testProductImplementation	0.027

BachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.181
	testModelRandomVariable	0.086
	testModelRandomVariable	0.045
	testModelRandomVariable	0.059
	testEuropeanCallVega	0.52
	testEuropeanCallVega	0.366
	testEuropeanCallVega	0.329
	testEuropeanCallVega	0.336
	testEuropeanCallDelta	0.4
	testEuropeanCallDelta	0.272
	testEuropeanCallDelta	0.326
	testEuropeanCallDelta	0.346
	testEuropeanCall	0.077
	testEuropeanCall	0.062
	testEuropeanCall	0.062
	testEuropeanCall	0.074
	testModelProperties	0.069
	testModelProperties	0.069
	testModelProperties	0.075
	testModelProperties	0.074

ScheduleGeneratorTest

	testPeriodLength	0.067
	testPeriodStartPeriodEnd	0.001
	testScheduleGeneratorMetaData	0.004

BiLinearInterpolationTest

test

0.099

CapletVolatilitiesTest

testConversions

0.098

VarianceGammaDaxCalibrationTest

test

1.264

CalibrationMultiCurveTest

testMultiCurveCalibration

0.789

DayCountConvention_30E_360_ISDATest

	testAssumingEndDateIsATerminationDate	0.042
	testAssumingEndDateIsNotATerminationDate	0.001

CMSOptionTest

testCMSOption

0.414

DeltaHedgedPortfolioWithAADTest

	testHedgePerformance	11.058
	testHedgePerformance	10.435

BlackScholesCallOptionTest

	test	0.101
	testDigitalOption	0.017

BachelierModelTest

	testInhomogeneousImpliedVolatility	0.087
	testHomogeneousRandomVariableImplementations	0.002
	testDelta	0.022
	testVega	0.003
	testInhomogeneousRandomVariableImplementations	0.001
	testInhomogenousDelta	0.002
	testInhomogenousVega	0.002
	testImpliedVolatility	0.014

SwaptionNormalTest

testSwaption

2.01

LIBORMarketModelCalibrationSmileTest

testSwaptionSmileCalibration

34.646

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test

0.669

CurveTest

testCurveFitting

0.081

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test

1.094

BlackScholesMonteCarloValuationTest

	testEuropeanAsianBermudanOption	0.472
	testEuropeanAsianBermudanOption	0.306
	testEuropeanAsianBermudanOption	0.312
	testEuropeanAsianBermudanOption	0.303
	testModelRandomVariable	0.03
	testModelRandomVariable	0.021
	testModelRandomVariable	0.012
	testModelRandomVariable	0.011
	testEuropeanCallVega	0.235
	testEuropeanCallVega	0.342
	testEuropeanCallVega	0.238
	testEuropeanCallVega	0.2
	testEuropeanCallDelta	0.317
	testEuropeanCallDelta	0.42
	testEuropeanCallDelta	0.238
	testEuropeanCallDelta	0.262
	testEuropeanCall	0.022
	testEuropeanCall	0.028
	testEuropeanCall	0.02
	testEuropeanCall	0.018
	testModelProperties	0.019
	testModelProperties	0.025
	testModelProperties	0.02
	testModelProperties	0.021

StochasticPathwiseLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.088
	test	0.014

SABRCubeCalibrationTest

testSABRCubeCalibration

14.223

LIBORIndexTest

	testSinglePeriods	0.302
	testSinglePeriods	0.132
	testSinglePeriods	0.175
	testSinglePeriods	0.423
	testSinglePeriods	0.291
	testSinglePeriods	0.588
	testSinglePeriods	1.475
	testSinglePeriods	2.83
	testSinglePeriods	3.631
	testSinglePeriods	9.738
	testSinglePeriods	0.116
	testSinglePeriods	0.173
	testSinglePeriods	0.31
	testSinglePeriods	0.23
	testSinglePeriods	0.292
	testSinglePeriods	0.596
	testSinglePeriods	1.328
	testSinglePeriods	2.835
	testSinglePeriods	3.544
	testSinglePeriods	8.343
	testMultiPeriodFloater	0.088
	testMultiPeriodFloater	0.112
	testMultiPeriodFloater	0.219
	testMultiPeriodFloater	0.246
	testMultiPeriodFloater	0.289
	testMultiPeriodFloater	0.698
	testMultiPeriodFloater	1.323
	testMultiPeriodFloater	2.684
	testMultiPeriodFloater	3.603
	testMultiPeriodFloater	8.338
	testMultiPeriodFloater	0.091
	testMultiPeriodFloater	0.167
	testMultiPeriodFloater	0.15
	testMultiPeriodFloater	0.226
	testMultiPeriodFloater	0.283
	testMultiPeriodFloater	0.559
	testMultiPeriodFloater	1.368
	testMultiPeriodFloater	2.707
	testMultiPeriodFloater	3.275
	testMultiPeriodFloater	8.079
	testUnalignedPeriods	0.073
	testUnalignedPeriods	0.099
	testUnalignedPeriods	0.16
	testUnalignedPeriods	0.597
	testUnalignedPeriods	0.265
	testUnalignedPeriods	0.622
	testUnalignedPeriods	1.33
	testUnalignedPeriods	2.823
	testUnalignedPeriods	3.688
	testUnalignedPeriods	8.376
	testUnalignedPeriods	0.097
	testUnalignedPeriods	0.167
	testUnalignedPeriods	0.15
	testUnalignedPeriods	0.214
	testUnalignedPeriods	0.274
	testUnalignedPeriods	0.605
	testUnalignedPeriods	1.325
	testUnalignedPeriods	2.756
	testUnalignedPeriods	3.515
	testUnalignedPeriods	8.154

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities

0.201

HullWhiteModelTest

	testBermudanSwaption	3.153
	testZeroCMSSwap	2.189
	testBond	0.444
	testSwap	3.191
	testSwaption	0.584
	testCaplet	0.457
	testCapletSmile	0.361
	testLIBORInArrearsFloatLeg	0.01
	testPutOnMoneyMarketAccount	0.366

RandomVariableDifferentiableAADPerformanceTest

	test	1.563
	test	1.356
	test	2.133
	test	1.968
	test	1.204
	test	1.119
	test	3.075
	test	1.157
	test	2.343
	test	1.115
	test	1.698
	test	1.131
	test	22.017
	test	5.51
	test	23.509
	test	6.783
	test	23.631
	test	6.182

NelsonSiegelSvenssonBondCalibrationTest

testBondNSSCurveCalibration

0.136

MertonModelTest

test

3.587

CapletVolatilitiesParametricCalibrationTest

	testVolatilityCalibration	45.667
	testVolatilityCalibration	77.398

ModelWithProductFactoryTest

	bsTest	1.271
	hTest	1.388

DiscountCurveNelsonSiegelSvenssonTest

test

0.008

SimpsonRealIntegratorTest

	testCos	0.042
	testCubic	0.003

ForwardAgreementWithFundingRequirementTest

test

0.511

CapletVolatilitiesParametricTest

	testIntegratedFourParameterExponentialVolatilityParamSet1	0.148
	testDecayVolatility	0.001
	testIntegratedFourParameterExponentialVolatilityParamSetCZero	0.056
	testFlatVolatilityUsingA	0
	testFlatVolatilityUsingD	0

DataTablesTest

testTables

0.16

HestonModelCallOptionTest

	test	0.141
	test	0.038

FloatingpointDateTest

	testLocalDateTime	1.263
	test	0.006
	testLocalDateLocalDateTimeConsistency	0.001

SviVolatiltitySurfaceTest

	Test_noArbitrage	0.036
	Test_calibration	0.042
	Test_stickyness	0.003

RandomVariableTest

	testAdd	0.008
	testAdd	0.002
	testAdd	0.016
	testAdd	0.004
	testAdd	0.004
	testCap	0.001
	testCap	0
	testCap	0.001
	testCap	0.001
	testCap	0
	testFloor	0
	testFloor	0
	testFloor	0.001
	testFloor	0
	testFloor	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.004
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0.001
	testGetQuantile	5.937
	testGetQuantile	5.808
	testGetQuantile	5.486
	testGetQuantile	5.383
	testGetQuantile	5.57
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.007
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0.002
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.002
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0

HestonModelTest

	test	2.09
	test	1.528

LibraryTest

	testVersionString	0.01
	testBuildString	0

DisplacedLognomalModelTest

	testProductImplementation	0.35
	testProductImplementation	0.125
	testProductImplementation	0.131

InterestRateProductTest

	testBond	1.436
	testSwap	1.341
	testSwaption	1.16

DiscountCurveSerializationTest

test

0.051

AssetBlackScholesModelDescriptorTest

test

1.716

BarrierOptionsTest

	testDownAndInCall	0.05
	testDownAndOutPut	0.002
	testDownAndInPut	0.001
	testUpAndInPut	0.001
	testUpAndInCall	0
	testUpAndOutPut	0.001
	testUpAndOutCall	0.001
	testDownAndOutCall	0.002

LIBORMarketModelHierarchyTest

testModelHierarchy

2.432

SABRVolatilityCubeSharedParametersTest

	a_cubeATM	0.031
	b_strikeSlices	0.022

VarianceGammaCallOptionTest

	testMartingalePropertyMonteCarlo	2.958
	test	2.86
	testMartingaleProperty	0.001

NelsonSiegelSvenssonCalibrationTest

testCalibration

0.185

ForwardCurveNelsonSiegelSvenssonTest

test

0.016

LIBORMarketModelMultiCurveValuationTest

	testBond	4.549
	testBond	2.77
	testSwap	3.032
	testSwap	3.016
	testSwaptionSmile	2.697
	testSwaptionSmile	2.731
	testSwaption	2.837
	testSwaption	2.866
	testDigitalCaplet	2.782
	testDigitalCaplet	2.871
	testCaplet	2.768
	testCaplet	2.77
	testSwaptionCalibration	14.189
	testSwaptionCalibration	13.115

MertonJumpDiffusionCallOptionTest

	testMartingalePropertyMonteCarlo	1.706
	test	1.864
	testMartingaleProperty	0.001

EuropeanOptionVegaPathwiseTest

test

0.961

CalibrationTest

	testCurvesAndCalibration	0.194
	testCurvesAndCalibration	0.015
	testCurvesAndCalibration	0.011
	testForwardCurveFromDiscountCurve	0.005
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.001

AnalyticFormulasTest

	testSABRSkewApproximation	0.007
	testBlackScholesPutCallParityATM	0.027
	testVolatilityConversionLognormalToNormal	0.004
	testBlackModelCapletImpliedVol	0.001
	testBlackModelDigitalCapletDelta	0.001
	testBachelierOptionImpliedVolatility	0.843
	testBlackScholesNegativeForward	0
	testSABRCurvatureApproximation	0.001
	testBachelierRiskNeutralProbabilities	0.03
	testSABRCalibration	2.53
	testBachelierOptionDelta	0.029

ConstantElasticityOfVarianceThetaTest

	testEuropeanCallOption	1.047
	testEuropeanPutOption	0.797

MonteCarloIntegratorTest

	testCos	0.163
	testCubic	0.069

MultiAssetBlackScholesModelTest

	testModelWithFactorLoadings	3.888
	testModelWithCloneModifiedVolatility	0.207
	testModelCloneWithModifiedSeed	0.127
	testModelWithVolatilityAndCorrelation	3.02

HestonModelDescriptorTest

test

1.649

TimeDiscretizationTest

	constructWithNumberOfStepsSmallerThanTickSize	0.022
	constructWithSetAtDefaultTickSize	0.002
	constructWithBoxedArrayAtSmallTickSize	0
	testUnionWithSubTickDuplicates	0.001
	testIntersectionWithNoDuplicates	0
	constructWithUnboxedArrayAtDefaultTickSize	0.001
	constructWithIntervalShortStubAtFront	0.009
	constructWithIntervalShortStubAtEnd	0.001
	constructWithNumberOfSteps	0.001
	constructWithSetAtSmallTickSize	0
	constructWithArrayListAtBigTickSize	0.001
	constructWithBoxedArrayAtBigTickSize	0
	constructWithSetAtBigTickSize	0
	testIntersectionWithSubTickDuplicates	0.001
	testIntersectionWithDifferentTickSizes	0
	constructWithBoxedArrayAtDefaultTickSize	0.002
	constructWithArrayListAtSmallTickSize	0
	testUnionWithNoDuplicates	0.001
	testUnionWithDifferentTickSizes	0.001
	constructWithArrayListAtDefaultTickSize	0

Black76ModelTest

	Test_black76_impliedVolatility	0.049
	Test_black76_formula	0

SABRVolatilityCubeTest

	a_cubeATM	0.041
	b_strikeSlices	0.027
	c_testAccessPerformance	0.126
	d_testAccessPerformanceOnNodes	0.027

HullWhiteModelCalibrationTest

testATMSwaptionCalibration

0.897

BlackScholesThetaTest

	testEuropeanCallOption	0.317
	testEuropeanPutOption	0.144

SABRShiftedSmileCalibrationTest

	testCalibration	1.784
	testSingleSmile	0.058