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%	94.951
	RandomVariableDifferentiableTypePriorityTest	16	0	0	0	100%	0.039
	RandomVariableDifferentiableArithmeticTest	20	0	0	0	100%	0.036
	CalibrationTest	12	0	0	0	100%	0.213
	LIBORMarketModelNormalAADSensitivitiesTest	15	0	0	0	100%	95.965
	LIBORMarketModelCalibrationTest	3	0	0	0	100%	215.795
	FIPXMLParserTest	1	0	0	0	100%	0.043
	RandomVariableDifferentiableTest	52	0	0	0	100%	28.85
	LIBORMarketModelCalibrationAADTest	2	0	0	0	100%	94.99
	LIBORMarketModelInterpolationTest	3	0	0	0	100%	16.449
	FPMLParserTest	1	0	0	0	100%	0.071
	MonteCarloBlackScholesModelSensitivitiesTest	3	0	0	0	100%	1.668
	LIBORIndexMultiCurveTest	6	0	0	0	100%	30.362
	SimpleCappedFlooredFloatingRateBondTest	2	0	0	0	100%	6.008
	BachelierModelMonteCarloValuationTest	24	0	0	4	83.333%	3.328
	DeltaHedgedPortfolioWithAADTest	2	0	0	0	100%	19.604
	BlackScholesMonteCarloValuationTest	24	0	0	0	100%	3.562
	LIBORIndexTest	60	0	0	0	100%	108.497
	RandomVariableDifferentiableAADPerformanceTest	18	0	0	0	100%	97.585
	CapletVolatilitiesParametricCalibrationTest	2	0	0	0	100%	112.795
	HestonModelCallOptionTest	2	0	0	0	100%	0.152
	RandomVariableTest	45	0	0	0	100%	26.61
	HestonModelTest	2	0	0	0	100%	3.138
	DisplacedLognomalModelTest	3	0	0	0	100%	0.537
	LIBORMarketModelMultiCurveValuationTest	14	0	0	0	100%	68.126
	CalibrationTest	6	0	0	0	100%	0.184
	LIBORMarketModelValuationTest	40	0	0	0	100%	62.563

net.finmath.montecarlo.interestrate

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CapValuationTest	1	0	0	0	100%	3.384
	LIBORMarketModelCalibrationSmileTest	1	0	0	0	100%	32.519
	HullWhiteModelTest	9	0	0	0	100%	10.051
	HullWhiteModelCalibrationTest	1	0	0	0	100%	0.801

net.finmath.montecarlo.automaticdifferentiation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest	1	0	0	0	100%	1.025

net.finmath.rootfinder

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RootFindersTest	1	0	0	0	100%	0.04

net.finmath.singleswaprate.calibration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	SABRCubeParallelCalibrationTest	1	0	0	0	100%	4.798
	StaticCubeCalibrationTest	1	0	0	0	100%	2.332
	SABRCubeCalibrationTest	1	0	0	0	100%	12.609
	SABRShiftedSmileCalibrationTest	2	0	0	0	100%	1.784

net.finmath.fouriermethod

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BlackScholesCallOptionTest	2	0	0	0	100%	0.117
	VarianceGammaCallOptionTest	3	0	0	0	100%	5.709
	MertonJumpDiffusionCallOptionTest	3	0	0	0	100%	3.074

net.finmath.time.businessdaycalendar

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BusinessdayCalendarTest	5	0	0	0	100%	0.073

net.finmath.marketdata.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DepositTest	3	0	0	0	100%	0.038

net.finmath.equities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	PdeOptionPricerTest	8	0	0	0	100%	1.097
	AffineDividendStreamTest	2	0	0	0	100%	0.027
	AnalyticOptionValuationTest	2	0	0	0	100%	0.075
	SviVolatiltitySurfaceTest	3	0	0	0	100%	0.072
	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%	2.821
	ConstantMaturitySwapTest	3	0	0	0	100%	4.174
	AnnuityDummyTest	3	0	0	0	100%	0.471

net.finmath.singleswaprate.annuitymapping

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	NormalizingFunctionTest	1	0	0	0	100%	0.152
	AnnuityMappingTest	4	0	0	0	100%	0.154

net.finmath.montecarlo.hybridassetinterestrate

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HybridAssetLIBORModelMonteCarloSimulationFromModelsTest	1	0	0	0	100%	1.84
	CrossCurrencyLIBORMarketModelFromModelsTest	4	0	0	0	100%	55.255

net.finmath.fouriermethod.calibration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HestonDaxCalibrationTest	1	0	0	0	100%	1.728
	VarianceGammaDaxCalibrationTest	1	0	0	0	100%	1.175

net.finmath.time

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DayCountConventionTest	8	0	0	0	100%	0.033
	ScheduleGeneratorTest	3	0	0	0	100%	0.068
	FloatingpointDateTest	3	0	0	0	100%	1.242
	TimeDiscretizationTest	20	0	0	0	100%	0.041

net.finmath.integration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	PiecewiseContantDoubleUnaryOperatorTest	5	0	0	0	100%	0.016
	TrapezoidalRealIntegratorTest	1	0	0	0	100%	0.02
	SimpsonRealIntegratorTest	2	0	0	0	100%	0.044
	MonteCarloIntegratorTest	2	0	0	0	100%	0.203

net.finmath.stochastic

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ScalarTest	20	0	0	0	100%	0.026

net.finmath.convexityadjustment

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CMSOptionTest	1	0	0	0	100%	0.482

net.finmath.modelling

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORMarketModelHierarchyTest	1	0	0	0	100%	2.491

net.finmath.marketdata.model.curves.locallinearregression

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CurveEstimationTest	2	0	0	0	100%	0.583

net.finmath.montecarlo.assetderivativevaluation.models

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MultiAssetBlackScholesModelTest	4	0	0	0	100%	6.427

net.finmath.singleswaprate.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	SABRVolatilityCubeSharedParametersTest	2	0	0	0	100%	0.204
	SABRVolatilityCubeTest	4	0	0	0	100%	0.331

net.finmath.optimizer

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	StochasticLevenbergMarquardtTest	2	0	0	0	100%	0.137
	LevenbergMarquardtTest	6	0	0	0	100%	0.099
	OptimizerFactoryTest	2	0	0	0	100%	0.107
	StochasticPathwiseLevenbergMarquardtTest	2	0	0	0	100%	0.087

net.finmath.montecarlo.automaticdifferentiation.backward

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RandomVariableDifferentiableAADTest	11	0	0	0	100%	0.035

net.finmath.randomnumbers

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	AcceptanceRejectionRandomNumberGeneratorTest	1	0	0	0	100%	1.317

net.finmath.montecarlo.interestrate.products.components

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ExposureTest	2	0	0	0	100%	13.394
	FundingCapacityTest	1	0	0	0	100%	0.039

net.finmath.marketdata.model.curves

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CalibrationMultiCurveTest	1	0	0	0	100%	0.758
	CurveTest	1	0	0	0	100%	0.073
	NelsonSiegelSvenssonBondCalibrationTest	1	0	0	0	100%	0.109
	DiscountCurveNelsonSiegelSvenssonTest	1	0	0	0	100%	0.015
	DiscountCurveSerializationTest	1	0	0	0	100%	0.048
	NelsonSiegelSvenssonCalibrationTest	1	0	0	0	100%	0.156
	ForwardCurveNelsonSiegelSvenssonTest	1	0	0	0	100%	0.021

net.finmath.time.daycount

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DayCountConvention_30E_360Test	1	0	0	0	100%	0.04
	DayCountConvention_30E_360_ISDATest	2	0	0	0	100%	0.044

net.finmath.fouriermethod.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	TestCarrMadan	1	0	0	0	100%	0.092

net.finmath.information

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LibraryTest	2	0	0	0	100%	0.012

net.finmath.montecarlo.interestrate.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	SwaptionAnalyticApproximationTest	2	0	0	0	100%	2.408
	SwapLegTest	5	0	0	0	100%	7.872
	SwaptionNormalTest	1	0	0	0	100%	2.199
	InterestRateProductTest	3	0	0	0	100%	3.976

net.finmath.modelling.descriptor

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MertonModelDescriptorTest	1	0	0	0	100%	16.579
	InterestRateSwapLegDescriptorTest	2	0	0	0	100%	4.011
	VarianceGammaModelDescriptorTest	1	0	0	0	100%	40.755
	AssetBlackScholesModelDescriptorTest	1	0	0	0	100%	1.543
	HestonModelDescriptorTest	1	0	0	0	100%	1.668

net.finmath.montecarlo.assetderivativevaluation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	InhomogenousBachelierModelMonteCarloValuationTest	6	0	0	1	83.333%	1.231
	MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest	2	0	0	0	100%	5.716
	VarianceGammaModelTest	1	0	0	0	100%	2.838
	MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest	1	0	0	0	100%	0.168
	MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest	1	0	0	0	100%	0.329
	MonteCarloBlackScholesModelTest	2	0	0	0	100%	0.132
	MonteCarloBlackScholesModelAsianOptionSensitivitiesTest	1	0	0	0	100%	0.177
	MertonModelTest	1	0	0	0	100%	3.085

net.finmath.montecarlo.interestrate.modelplugins

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORVolatilityModelFourParameterExponentialFormIntegratedTest	1	0	0	0	100%	0.542

net.finmath.montecarlo.assetderivativevaluation.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BlackScholesDeltaHedgedPortfolioTest	1	0	0	0	100%	2.045
	ForwardAgreementWithFundingRequirementTest	1	0	0	0	100%	0.452
	EuropeanOptionVegaPathwiseTest	1	0	0	0	100%	0.856

net.finmath.marketdata.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CapletVolatilitiesTest	1	0	0	0	100%	0.084
	CapletVolatilitiesParametricTest	5	0	0	0	100%	0.192

net.finmath.modelling.productfactory

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ModelWithProductFactoryTest	2	0	0	0	100%	2.504

net.finmath.finitedifference

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ConstantElasticityOfVarianceThetaTest	2	0	0	0	100%	1.46
	BlackScholesThetaTest	2	0	0	0	100%	0.417

net.finmath.montecarlo

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	GammaProcessTest	1	0	0	0	100%	5.719
	VarianceGammaTest	1	0	0	0	100%	1.67

net.finmath.marketdata.model.cds

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CDSTest	1	0	0	0	100%	0.151

net.finmath.singleswaprate.data

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DataTablesTest	1	0	0	0	100%	0.152

net.finmath.analytic.model.curves.test

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	TestCurvesFromLIBORModel	1	0	0	0	100%	0.63

net.finmath.interpolation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BiLinearInterpolationTest	1	0	0	0	100%	0.097

net.finmath.functions

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	NormalDistributionTest	2	0	0	0	100%	0.113
	JarqueBeraTestTest	1	0	0	0	100%	0.058
	LinearAlgebraTest	3	0	0	0	100%	0.04
	BachelierModelTest	8	0	0	0	100%	0.121
	BarrierOptionsTest	8	0	0	0	100%	0.063
	AnalyticFormulasTest	10	0	0	0	100%	3.371

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

	testExceptions	0.006
	testIntegralErrorCorrection	0
	testValuation	0.001
	testIntegralOfSquares	0
	testIntegral	0.001

CapValuationTest

testCap

3.375

NormalDistributionTest

	testCumulativeDistribution	0.058
	testInverseCumulativeDistribution	0.046

InhomogenousBachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.155
	testEuropeanCallVega	0.47
	testEuropeanCallDelta	0.434
	testEuropeanCall	0.095
	testModelProperties	0.065

MertonModelDescriptorTest

test

16.571

DayCountConvention_30E_360Test

test

0.031

JarqueBeraTestTest

test

0.051

BrownianMotionTest

	testBrownianIncrementSquaredDrift	3.806
	testBrownianIncrementSquaredDrift	3.075
	testBrownianIncrementSquaredDrift	2.855
	testBrownianIncrementSquaredDrift	2.946
	testSerialization	0.039
	testSerialization	0.03
	testSerialization	0.027
	testSerialization	0.029
	testScalarValuedBrownianMotionTerminalDistribution	5.386
	testScalarValuedBrownianMotionTerminalDistribution	5.083
	testScalarValuedBrownianMotionTerminalDistribution	5.011
	testScalarValuedBrownianMotionTerminalDistribution	5.11
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.554
	testScalarValuedBrownianMotionWithJarqueBeraTest	3.132
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.479
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.429
	testDensity	12.923
	testDensity	12.676
	testDensity	12.731
	testDensity	12.63

RandomVariableDifferentiableTypePriorityTest

	testTypePriorityAdd	0.027
	testTypePriorityAdd	0
	testTypePriorityAdd	0.005
	testTypePriorityAdd	0
	testTypePriorityCap	0.002
	testTypePriorityCap	0.001
	testTypePriorityCap	0
	testTypePriorityCap	0.001
	testTypePriorityMult	0.001
	testTypePriorityMult	0
	testTypePriorityMult	0
	testTypePriorityMult	0
	testTypePriorityFloor	0.001
	testTypePriorityFloor	0
	testTypePriorityFloor	0
	testTypePriorityFloor	0.001

RandomVariableDifferentiableArithmeticTest

	testArithmeticExpLog	0.02
	testArithmeticExpLog	0
	testArithmeticExpLog	0.011
	testArithmeticExpLog	0
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0
	testArithmeticDivSelf	0
	testArithmeticDivSelf	0
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0.001
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0

SwaptionAnalyticApproximationTest

	testMultiCurveModel	1.331
	testSingleCurveModel	1.067

CalibrationTest

	testCurvesAndCalibration	0.139
	testCurvesAndCalibration	0.017
	testCurvesAndCalibration	0.012
	testCurvesAndCalibration	0.013
	testCurvesAndCalibration	0.012
	testCurvesAndCalibration	0.011
	testForwardCurveFromDiscountCurve	0.004
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0.001

GammaProcessTest

testScaling

5.711

LIBORMarketModelNormalAADSensitivitiesTest

	testDelta	5.766
	testDelta	5.676
	testDelta	6.692
	testDelta	7.137
	testDelta	9.167
	testVega	5.316
	testVega	5.803
	testVega	6.8
	testVega	7.431
	testVega	10.969
	testGenericDelta	3.151
	testGenericDelta	3.746
	testGenericDelta	4.622
	testGenericDelta	5.041
	testGenericDelta	8.648

CurveEstimationTest

	testRegressionMatrix	0.563
	testLinearInterpolation	0.013

LIBORMarketModelCalibrationTest

	testATMSwaptionCalibration	66.25
	testATMSwaptionCalibration	6.703
	testATMSwaptionCalibration	142.842

ScalarTest

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

PdeOptionPricerTest

	Test_pricer_american	0.219
	Test_noArbitrage	0.056
	Test_pricer_americanCall	0.022
	Test_pricer_european	0.013
	Test_europeanSensis	0.02
	Test_pricer_americanPut	0.03
	Test_impliedVol	0.161
	Test_pricer_lv	0.566

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

	testSensitivities	2.865
	testProductAADSensitivities	2.843

AffineDividendStreamTest

	Test_affineDividendConversion	0.018
	Test_sorting	0.001

RandomVariableDifferentiableAADTest

	testSecondOrderDerivative	0.022
	testOperatorMult1	0.001
	testOperatorMult2	0
	testOperatorExp	0
	testOperatorLog	0
	testOperatorAdd1	0
	testOperatorAdd2	0
	testOperatorDiv1	0.001
	testOperatorDiv2	0
	testOperatorSub1	0
	testOperatorSub2	0.001

HestonDaxCalibrationTest

test

1.718

SwapLegTest

	testFloatLeg	2.35
	testCMSSpreadLeg	1.627
	testFixLeg	1.231
	testLIBORInArrearsFloatLeg	1.26
	testCMSFloatLeg	1.396

FIPXMLParserTest

testGetSwapProductDescriptor

0.043

AnalyticOptionValuationTest

	Test_noArbitrage	0.056
	Test_sensis	0.011

RandomVariableDifferentiableTest

	testRandomVariableExpectation	0.105
	testRandomVariableExpectation	0.009
	testRandomVariableExpectation	0.012
	testRandomVariableExpectation	0.008
	testRandomVariableSimpleGradient2	0.001
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient2	0.001
	testRandomVariableSimpleGradient2	0.001
	testRandomVariableSimpleGradient	0
	testRandomVariableSimpleGradient	0
	testRandomVariableSimpleGradient	0
	testRandomVariableSimpleGradient	0
	testRandomVariableGradientBiggerSum	2.199
	testRandomVariableGradientBiggerSum	0.943
	testRandomVariableGradientBiggerSum	1.914
	testRandomVariableGradientBiggerSum	0.812
	testRandomVariableGradientBigSumWithConstants	0.259
	testRandomVariableGradientBigSumWithConstants	0.1
	testRandomVariableGradientBigSumWithConstants	0.145
	testRandomVariableGradientBigSumWithConstants	0.059
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableStandardDeviation	0.001
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableGradientBigSum2	0.042
	testRandomVariableGradientBigSum2	0.025
	testRandomVariableGradientBigSum2	0.037
	testRandomVariableGradientBigSum2	0.019
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableGradientBigSum	0.107
	testRandomVariableGradientBigSum	0.051
	testRandomVariableGradientBigSum	0.104
	testRandomVariableGradientBigSum	0.048
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	5.492
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	5.508
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	5.32
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	5.523
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0

LIBORMarketModelCalibrationAADTest

	testATMSwaptionCalibration	37.679
	testATMSwaptionCalibration	57.311

TrapezoidalRealIntegratorTest

test

0.013

LIBORMarketModelInterpolationTest

	testInterpolatedLastLIBOR	6.28
	testInterpolatedLastLIBOR	5.013
	testInterpolatedLastLIBOR	5.156

ExposureTest

	testExpectedPositiveExposure	7.677
	testAgainstSwaption	5.709

VarianceGammaModelTest

test

2.83

RootFindersTest

testRootFinders

0.033

CashSettledSwaptionTest

	a_testSimplifiedLinear	0.614
	b_testBasicPiterbarg	1.081
	c_testMultiPiterbarg	1.05

FPMLParserTest

testGetSwapProductDescriptor

0.071

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities

0.161

BusinessdayCalendarTest

	testNycCalendar	0.044
	testCreateDateFromDateAndOffsetCode	0.015
	testCombinedCalendar	0.006
	testTargetCalendar	0.001
	testLondonCalendar	0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance

2.037

DepositTest

	testRateValueConsistency	0.02
	testEvaluationTime	0.001
	testDepositValue	0.008

InterestRateSwapLegDescriptorTest

	testFloatLeg	2.427
	testFixLeg	1.577

FundingCapacityTest

test

0.028

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

test

1.833

VarianceGammaModelDescriptorTest

test

40.748

NormalizingFunctionTest

testExpectation

0.056

ConstantMaturitySwapTest

	testSimplifiedLinear	0.783
	testBasicPiterbarg	1.715
	testMultiPiterbarg	1.607

AnnuityDummyTest

	testSimplified	0.213
	testBasic	0.095
	testMulti	0.097

SABRCubeParallelCalibrationTest

testCalibration

4.79

StaticCubeCalibrationTest

testStaticCubeCalibration

2.324

StochasticLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.075
	test	0.053

AcceptanceRejectionRandomNumberGeneratorTest

test

1.309

DayCountConventionTest

	testDayCountConvention_30E_360	0.006
	testDayCountConvention_ACT_360	0.002
	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
	testDayCountConvention_ACT_ACT_ISDA	0
	testDayCountConvention_ACT_ACT_YEARFRAC	0.005

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities

0.322

MonteCarloBlackScholesModelSensitivitiesTest

	testProductAADSensitivities	0.545
	testProductAADSensitivities	0.405
	testProductAADSensitivities	0.718

LIBORIndexMultiCurveTest

	testFRAMonteCarloVersusAnalytic	3.363
	testFRAMonteCarloVersusAnalytic	3.827
	testFRAMonteCarloVersusAnalytic	9.24
	testFRAMonteCarloVersusAnalytic	2.149
	testFRAMonteCarloVersusAnalytic	3.485
	testFRAMonteCarloVersusAnalytic	8.298

LevenbergMarquardtTest

	testMultiThreaddedOptimizer	0.057
	testBoothFunctionWithAnalyticDerivative	0.015
	testRosenbrockFunctionWithList	0.007
	testBoothFunction	0.004
	testRosenbrockFunction	0.004
	testSmallLinearSystem	0.002

CDSTest

testCDS

0.142

LinearAlgebraTest

	testSolveLinearEquationLeastSquarePseudoInverse2	0.031
	testSolveLinearEquationLeastSquarePseudoInverse3	0
	testSolveLinearEquationLeastSquarePseudoInverse	0

SimpleCappedFlooredFloatingRateBondTest

	test	3.515
	test	2.493

CrossCurrencyLIBORMarketModelFromModelsTest

	testForeignBond	17.339
	testProperties	8.2
	testForeignCaplet	14.922
	testForeignFRA	14.784

TestCarrMadan

test

0.085

OptimizerFactoryTest

	testRosenbrockFunctionWithCMAES	0.092
	testRosenbrockFunctionWithLevenbergMarquard	0.006

AnnuityMappingTest

	a_testMappings	0.005
	b_testSeq	0.015
	c_testFirstDerivative	0.003
	d_testSecondDerivative	0.001

MonteCarloBlackScholesModelTest

	testDirectValuation	0.098
	testProductImplementation	0.027

BachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.15
	testModelRandomVariable	0.076
	testModelRandomVariable	0.043
	testModelRandomVariable	0.04
	testEuropeanCallVega	0.459
	testEuropeanCallVega	0.33
	testEuropeanCallVega	0.301
	testEuropeanCallVega	0.306
	testEuropeanCallDelta	0.359
	testEuropeanCallDelta	0.195
	testEuropeanCallDelta	0.294
	testEuropeanCallDelta	0.299
	testEuropeanCall	0.066
	testEuropeanCall	0.048
	testEuropeanCall	0.06
	testEuropeanCall	0.058
	testModelProperties	0.062
	testModelProperties	0.062
	testModelProperties	0.06
	testModelProperties	0.06

ScheduleGeneratorTest

	testPeriodLength	0.055
	testPeriodStartPeriodEnd	0.001
	testScheduleGeneratorMetaData	0.004

BiLinearInterpolationTest

test

0.088

CapletVolatilitiesTest

testConversions

0.076

VarianceGammaDaxCalibrationTest

test

1.166

CalibrationMultiCurveTest

testMultiCurveCalibration

0.749

DayCountConvention_30E_360_ISDATest

	testAssumingEndDateIsATerminationDate	0.035
	testAssumingEndDateIsNotATerminationDate	0

CMSOptionTest

testCMSOption

0.472

DeltaHedgedPortfolioWithAADTest

	testHedgePerformance	10.364
	testHedgePerformance	9.24

BlackScholesCallOptionTest

	test	0.096
	testDigitalOption	0.012

BachelierModelTest

	testInhomogeneousImpliedVolatility	0.075
	testHomogeneousRandomVariableImplementations	0.002
	testDelta	0.016
	testVega	0.002
	testInhomogeneousRandomVariableImplementations	0.001
	testInhomogenousDelta	0.002
	testInhomogenousVega	0.002
	testImpliedVolatility	0.011

SwaptionNormalTest

testSwaption

2.191

LIBORMarketModelCalibrationSmileTest

testSwaptionSmileCalibration

32.511

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test

0.535

CurveTest

testCurveFitting

0.065

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test

1.016

BlackScholesMonteCarloValuationTest

	testEuropeanAsianBermudanOption	0.441
	testEuropeanAsianBermudanOption	0.271
	testEuropeanAsianBermudanOption	0.276
	testEuropeanAsianBermudanOption	0.279
	testModelRandomVariable	0.022
	testModelRandomVariable	0.017
	testModelRandomVariable	0.013
	testModelRandomVariable	0.011
	testEuropeanCallVega	0.226
	testEuropeanCallVega	0.33
	testEuropeanCallVega	0.214
	testEuropeanCallVega	0.171
	testEuropeanCallDelta	0.292
	testEuropeanCallDelta	0.426
	testEuropeanCallDelta	0.217
	testEuropeanCallDelta	0.2
	testEuropeanCall	0.019
	testEuropeanCall	0.02
	testEuropeanCall	0.018
	testEuropeanCall	0.022
	testModelProperties	0.017
	testModelProperties	0.027
	testModelProperties	0.016
	testModelProperties	0.017

StochasticPathwiseLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.072
	test	0.006

SABRCubeCalibrationTest

testSABRCubeCalibration

12.601

LIBORIndexTest

	testSinglePeriods	0.29
	testSinglePeriods	0.118
	testSinglePeriods	0.184
	testSinglePeriods	0.289
	testSinglePeriods	0.312
	testSinglePeriods	0.645
	testSinglePeriods	1.327
	testSinglePeriods	3.063
	testSinglePeriods	3.802
	testSinglePeriods	9.792
	testSinglePeriods	0.117
	testSinglePeriods	0.189
	testSinglePeriods	0.204
	testSinglePeriods	0.234
	testSinglePeriods	0.317
	testSinglePeriods	0.595
	testSinglePeriods	1.246
	testSinglePeriods	2.75
	testSinglePeriods	3.427
	testSinglePeriods	8.342
	testMultiPeriodFloater	0.085
	testMultiPeriodFloater	0.088
	testMultiPeriodFloater	0.156
	testMultiPeriodFloater	0.543
	testMultiPeriodFloater	0.617
	testMultiPeriodFloater	0.649
	testMultiPeriodFloater	1.446
	testMultiPeriodFloater	3.007
	testMultiPeriodFloater	3.741
	testMultiPeriodFloater	8.699
	testMultiPeriodFloater	0.101
	testMultiPeriodFloater	0.187
	testMultiPeriodFloater	0.141
	testMultiPeriodFloater	0.21
	testMultiPeriodFloater	0.326
	testMultiPeriodFloater	0.569
	testMultiPeriodFloater	1.206
	testMultiPeriodFloater	2.753
	testMultiPeriodFloater	3.424
	testMultiPeriodFloater	8.066
	testUnalignedPeriods	0.065
	testUnalignedPeriods	0.09
	testUnalignedPeriods	0.296
	testUnalignedPeriods	0.244
	testUnalignedPeriods	0.29
	testUnalignedPeriods	0.689
	testUnalignedPeriods	1.337
	testUnalignedPeriods	2.98
	testUnalignedPeriods	3.609
	testUnalignedPeriods	8.712
	testUnalignedPeriods	0.097
	testUnalignedPeriods	0.191
	testUnalignedPeriods	0.128
	testUnalignedPeriods	0.219
	testUnalignedPeriods	0.271
	testUnalignedPeriods	0.564
	testUnalignedPeriods	1.295
	testUnalignedPeriods	2.746
	testUnalignedPeriods	3.444
	testUnalignedPeriods	7.973

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities

0.169

HullWhiteModelTest

	testBermudanSwaption	2.795
	testZeroCMSSwap	1.963
	testBond	0.411
	testSwap	3.043
	testSwaption	0.578
	testCaplet	0.451
	testCapletSmile	0.433
	testLIBORInArrearsFloatLeg	0.008
	testPutOnMoneyMarketAccount	0.359

RandomVariableDifferentiableAADPerformanceTest

	test	1.482
	test	1.31
	test	2.042
	test	1.881
	test	1.176
	test	1.118
	test	2.802
	test	1.14
	test	2.203
	test	1.116
	test	1.656
	test	1.132
	test	19.574
	test	5.019
	test	20.773
	test	6.241
	test	21.278
	test	5.642

NelsonSiegelSvenssonBondCalibrationTest

testBondNSSCurveCalibration

0.102

MertonModelTest

test

3.077

CapletVolatilitiesParametricCalibrationTest

	testVolatilityCalibration	40.609
	testVolatilityCalibration	72.186

ModelWithProductFactoryTest

	bsTest	1.201
	hTest	1.293

DiscountCurveNelsonSiegelSvenssonTest

test

0.007

SimpsonRealIntegratorTest

	testCos	0.034
	testCubic	0.003

ForwardAgreementWithFundingRequirementTest

test

0.441

CapletVolatilitiesParametricTest

	testIntegratedFourParameterExponentialVolatilityParamSet1	0.11
	testDecayVolatility	0
	testIntegratedFourParameterExponentialVolatilityParamSetCZero	0.064
	testFlatVolatilityUsingA	0
	testFlatVolatilityUsingD	0

DataTablesTest

testTables

0.139

HestonModelCallOptionTest

	test	0.119
	test	0.033

FloatingpointDateTest

	testLocalDateTime	1.228
	test	0.004
	testLocalDateLocalDateTimeConsistency	0.002

SviVolatiltitySurfaceTest

	Test_noArbitrage	0.03
	Test_calibration	0.031
	Test_stickyness	0.002

RandomVariableTest

	testAdd	0.008
	testAdd	0.001
	testAdd	0.019
	testAdd	0.004
	testAdd	0.003
	testCap	0
	testCap	0
	testCap	0.001
	testCap	0.001
	testCap	0
	testFloor	0.001
	testFloor	0
	testFloor	0.001
	testFloor	0
	testFloor	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.003
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testGetQuantile	5.586
	testGetQuantile	5.24
	testGetQuantile	5.231
	testGetQuantile	5.247
	testGetQuantile	5.248
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.008
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0.002
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0.001

HestonModelTest

	test	1.83
	test	1.308

LibraryTest

	testVersionString	0.004
	testBuildString	0

DisplacedLognomalModelTest

	testProductImplementation	0.301
	testProductImplementation	0.107
	testProductImplementation	0.129

InterestRateProductTest

	testBond	1.444
	testSwap	1.292
	testSwaption	1.231

DiscountCurveSerializationTest

test

0.041

AssetBlackScholesModelDescriptorTest

test

1.536

BarrierOptionsTest

	testDownAndInCall	0.047
	testDownAndOutPut	0.001
	testDownAndInPut	0.001
	testUpAndInPut	0.001
	testUpAndInCall	0.001
	testUpAndOutPut	0.001
	testUpAndOutCall	0.001
	testDownAndOutCall	0.001

LIBORMarketModelHierarchyTest

testModelHierarchy

2.482

SABRVolatilityCubeSharedParametersTest

	a_cubeATM	0.027
	b_strikeSlices	0.018

VarianceGammaCallOptionTest

	testMartingalePropertyMonteCarlo	2.867
	test	2.833
	testMartingaleProperty	0

NelsonSiegelSvenssonCalibrationTest

testCalibration

0.148

ForwardCurveNelsonSiegelSvenssonTest

test

0.014

LIBORMarketModelMultiCurveValuationTest

	testBond	4.462
	testBond	3.196
	testSwap	3.009
	testSwap	3.316
	testSwaptionSmile	2.902
	testSwaptionSmile	3.005
	testSwaption	2.934
	testSwaption	3.196
	testDigitalCaplet	3.06
	testDigitalCaplet	3.071
	testCaplet	3.071
	testCaplet	2.979
	testSwaptionCalibration	15.471
	testSwaptionCalibration	14.454

MertonJumpDiffusionCallOptionTest

	testMartingalePropertyMonteCarlo	1.6
	test	1.464
	testMartingaleProperty	0

EuropeanOptionVegaPathwiseTest

test

0.847

CalibrationTest

	testCurvesAndCalibration	0.152
	testCurvesAndCalibration	0.014
	testCurvesAndCalibration	0.012
	testForwardCurveFromDiscountCurve	0.004
	testForwardCurveFromDiscountCurve	0.001
	testForwardCurveFromDiscountCurve	0.001

AnalyticFormulasTest

	testSABRSkewApproximation	0.007
	testBlackScholesPutCallParityATM	0.03
	testVolatilityConversionLognormalToNormal	0.004
	testBlackModelDigitalCapletDelta	0
	testBachelierOptionImpliedVolatility	0.82
	testBlackScholesNegativeForward	0
	testSABRCurvatureApproximation	0
	testBachelierRiskNeutralProbabilities	0.022
	testSABRCalibration	2.454
	testBachelierOptionDelta	0.025

ConstantElasticityOfVarianceThetaTest

	testEuropeanCallOption	0.826
	testEuropeanPutOption	0.625

MonteCarloIntegratorTest

	testCos	0.136
	testCubic	0.059

MultiAssetBlackScholesModelTest

	testModelWithFactorLoadings	3.426
	testModelWithCloneModifiedVolatility	0.185
	testModelCloneWithModifiedSeed	0.1
	testModelWithVolatilityAndCorrelation	2.703

HestonModelDescriptorTest

test

1.66

TimeDiscretizationTest

	constructWithNumberOfStepsSmallerThanTickSize	0.014
	constructWithSetAtDefaultTickSize	0.002
	constructWithBoxedArrayAtSmallTickSize	0.001
	testUnionWithSubTickDuplicates	0.001
	testIntersectionWithNoDuplicates	0
	constructWithUnboxedArrayAtDefaultTickSize	0
	constructWithIntervalShortStubAtFront	0.001
	constructWithIntervalShortStubAtEnd	0.001
	constructWithNumberOfSteps	0
	constructWithSetAtSmallTickSize	0
	constructWithArrayListAtBigTickSize	0
	constructWithBoxedArrayAtBigTickSize	0.001
	constructWithSetAtBigTickSize	0
	testIntersectionWithSubTickDuplicates	0
	testIntersectionWithDifferentTickSizes	0
	constructWithBoxedArrayAtDefaultTickSize	0.001
	constructWithArrayListAtSmallTickSize	0.001
	testUnionWithNoDuplicates	0
	testUnionWithDifferentTickSizes	0.001
	constructWithArrayListAtDefaultTickSize	0

Black76ModelTest

	Test_black76_impliedVolatility	0.039
	Test_black76_formula	0

SABRVolatilityCubeTest

	a_cubeATM	0.035
	b_strikeSlices	0.022
	c_testAccessPerformance	0.104
	d_testAccessPerformanceOnNodes	0.021

HullWhiteModelCalibrationTest

testATMSwaptionCalibration

0.793

BlackScholesThetaTest

	testEuropeanCallOption	0.265
	testEuropeanPutOption	0.145

SABRShiftedSmileCalibrationTest

	testCalibration	1.672
	testSingleSmile	0.049

TestCurvesFromLIBORModel

testStochasticCurves

0.622