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
	CalibrationTest	12	0	0	0	100%	0.08
	FIPXMLParserTest	1	0	0	0	100%	0.013
	FPMLParserTest	1	0	0	0	100%	0.019
	CapletVolatilitiesParametricCalibrationTest	2	0	0	0	100%	56.095
	LIBORMarketModelMultiCurveValuationTest	14	0	0	0	100%	22.327

net.finmath.marketdata.model.curves

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CalibrationMultiCurveTest	1	0	0	0	100%	0.727
	CurveTest	1	0	0	0	100%	0.032
	NelsonSiegelSvenssonBondCalibrationTest	1	0	0	0	100%	0.059
	DiscountCurveNelsonSiegelSvenssonTest	1	0	0	0	100%	0.008
	DiscountCurveSerializationTest	1	0	0	0	100%	0.031
	NelsonSiegelSvenssonCalibrationTest	1	0	0	0	100%	0.116
	ForwardCurveNelsonSiegelSvenssonTest	1	0	0	0	100%	0.013

net.finmath.tree

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	EuropeanAndAmericanOptionPricingTest	2	0	0	0	100%	0.04
	PathDependentOptionTreeTest	1	0	0	0	100%	0.165

net.finmath.information

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LibraryTest	2	0	0	0	100%	0.007

net.finmath.marketdata.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DepositTest	3	0	0	0	100%	0.024
	SwapTest	2	0	0	0	100%	3.639

net.finmath.modelling.descriptor

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MertonModelDescriptorTest	1	0	0	0	100%	10.419
	InterestRateSwapLegDescriptorTest	2	0	0	0	100%	1.199
	VarianceGammaModelDescriptorTest	1	0	0	0	100%	27.11
	AssetBlackScholesModelDescriptorTest	1	0	0	0	100%	0.774
	HestonModelDescriptorTest	1	0	0	0	100%	0.717

net.finmath.marketdata.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CapletVolatilitiesTest	1	0	0	0	100%	0.039
	CapletVolatilitiesParametricTest	5	0	0	0	100%	0.066

net.finmath.util.config

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ConfigTreeTest	1	0	0	0	100%	0.018

net.finmath.modelling.productfactory

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ModelWithProductFactoryTest	2	0	0	0	100%	1.326

net.finmath.finitedifference.assetderivativevaluation.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	FiniteDifferenceVersusMonteCarloEuropeanOptionTest	3	0	0	0	100%	88.443

net.finmath.montecarlo

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RandomVariableFromDoubleArrayTest	9	0	0	0	100%	0.021

net.finmath.marketdata.model.cds

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CDSTest	1	0	0	0	100%	0.056

net.finmath.integration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	PiecewiseContantDoubleUnaryOperatorTest	5	0	0	0	100%	0.01
	TrapezoidalRealIntegratorTest	1	0	0	0	100%	0.01
	SimpsonRealIntegratorTest	2	0	0	0	100%	0.014
	MonteCarloIntegratorTest	2	0	0	0	100%	0.114

net.finmath.stochastic

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ScalarTest	20	0	0	0	100%	0.011

net.finmath.modelling

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORMarketModelHierarchyTest	1	0	0	0	100%	0.743

net.finmath.marketdata.model.curves.locallinearregression

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CurveEstimationTest	2	0	0	0	100%	0.033

net.finmath.optimizer

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	StochasticLevenbergMarquardtTest	2	0	0	0	100%	0.052
	LevenbergMarquardtTest	6	0	0	0	100%	0.046
	OptimizerFactoryTest	2	0	0	0	100%	0.051
	StochasticPathwiseLevenbergMarquardtTest	2	0	0	0	100%	0.037

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

	testExceptions	0.005
	testIntegralErrorCorrection	0.001
	testValuation	0
	testIntegralOfSquares	0
	testIntegral	0

MertonModelDescriptorTest

test

10.415

FiniteDifferenceVersusMonteCarloEuropeanOptionTest

	testBlackScholesEuropeanOptionsAgainstMonteCarlo	1.077
	testVarianceGammaEuropeanOptionsAgainstMonteCarlo	78.473
	testHestonEuropeanOptionsAgainstMonteCarlo	8.888

RandomVariableFromDoubleArrayTest

	testAdd	0.01
	testDiv	0.001
	testGet	0
	testApply	0.001
	testMult	0.001
	testSize	0
	testAverage	0.001
	testVariance	0
	testGetRealizations	0

CalibrationTest

	testCurvesAndCalibration	0.049
	testCurvesAndCalibration	0.011
	testCurvesAndCalibration	0.006
	testCurvesAndCalibration	0.004
	testCurvesAndCalibration	0.005
	testCurvesAndCalibration	0.004
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0
	testForwardCurveFromDiscountCurve	0
	testForwardCurveFromDiscountCurve	0
	testForwardCurveFromDiscountCurve	0
	testForwardCurveFromDiscountCurve	0

CurveEstimationTest

	testRegressionMatrix	0.019
	testLinearInterpolation	0.01

ScalarTest

	testAbs	0.003
	testAdd	0
	testCap	0
	testDiv	0
	testSub	0
	testSubRatio	0
	testFloor	0
	testIsNaN	0.001
	testMult	0
	testSqrt	0
	testArrayOf	0
	testAddRatio	0
	testGetAverage	0.001
	testAddProduct	0
	testDiscount	0
	testAccrue	0
	testChoose	0
	testEquals	0.001
	testInvert	0
	testSquared	0

FIPXMLParserTest

testGetSwapProductDescriptor

0.013

TrapezoidalRealIntegratorTest

test

0.007

FPMLParserTest

testGetSwapProductDescriptor

0.019

DepositTest

	testRateValueConsistency	0.019
	testEvaluationTime	0.001
	testDepositValue	0

InterestRateSwapLegDescriptorTest

	testFloatLeg	0.733
	testFixLeg	0.463

VarianceGammaModelDescriptorTest

test

27.105

StochasticLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.029
	test	0.019

LevenbergMarquardtTest

	testMultiThreaddedOptimizer	0.028
	testBoothFunctionWithAnalyticDerivative	0.005
	testRosenbrockFunctionWithList	0.005
	testBoothFunction	0.002
	testRosenbrockFunction	0.002
	testSmallLinearSystem	0.001

CDSTest

testCDS

0.051

OptimizerFactoryTest

	testRosenbrockFunctionWithCMAES	0.042
	testRosenbrockFunctionWithLevenbergMarquard	0.004

CapletVolatilitiesTest

testConversions

0.036

CalibrationMultiCurveTest

testMultiCurveCalibration

0.723

EuropeanAndAmericanOptionPricingTest

	testNonPathDep_Put	0.03
	testNonPathDep_Call	0.006

CurveTest

testCurveFitting

0.029

StochasticPathwiseLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.029
	test	0.003

ConfigTreeTest

test

0.014

NelsonSiegelSvenssonBondCalibrationTest

testBondNSSCurveCalibration

0.055

CapletVolatilitiesParametricCalibrationTest

	testVolatilityCalibration	20.514
	testVolatilityCalibration	35.581

ModelWithProductFactoryTest

	bsTest	0.68
	hTest	0.642

DiscountCurveNelsonSiegelSvenssonTest

test

0.004

SimpsonRealIntegratorTest

	testCos	0.01
	testCubic	0.001

CapletVolatilitiesParametricTest

	testIntegratedFourParameterExponentialVolatilityParamSet1	0.051
	testDecayVolatility	0
	testIntegratedFourParameterExponentialVolatilityParamSetCZero	0.011
	testFlatVolatilityUsingA	0.001
	testFlatVolatilityUsingD	0

LibraryTest

	testVersionString	0.003
	testBuildString	0

DiscountCurveSerializationTest

test

0.027

AssetBlackScholesModelDescriptorTest

test

0.77

LIBORMarketModelHierarchyTest

testModelHierarchy

0.739

NelsonSiegelSvenssonCalibrationTest

testCalibration

0.113

ForwardCurveNelsonSiegelSvenssonTest

test

0.01

LIBORMarketModelMultiCurveValuationTest

	testBond	1.289
	testBond	1.019
	testSwap	1.055
	testSwap	1.065
	testSwaptionSmile	0.964
	testSwaptionSmile	0.99
	testSwaption	1.2
	testSwaption	1.015
	testDigitalCaplet	1.061
	testDigitalCaplet	0.988
	testCaplet	0.974
	testCaplet	1.013
	testSwaptionCalibration	4.912
	testSwaptionCalibration	4.782

MonteCarloIntegratorTest

	testCos	0.081
	testCubic	0.029

HestonModelDescriptorTest

test

0.713

SwapTest

	testRegularSchedule	0.928
	testMetadataSchedule	2.697

PathDependentOptionTreeTest

testAsianOptionTreeVsMonteCarlo

0.161