Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
675 0 0 5 99.259% 1,383.781

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


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
398 0 0 4 98.995% 1,092.121
net.finmath.montecarlo.interestrate 12 0 0 0 100% 46.755
net.finmath.montecarlo.automaticdifferentiation 1 0 0 0 100% 1.025
net.finmath.rootfinder 1 0 0 0 100% 0.04
net.finmath.singleswaprate.calibration 5 0 0 0 100% 21.523
net.finmath.fouriermethod 8 0 0 0 100% 8.9
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.073
net.finmath.marketdata.products 3 0 0 0 100% 0.038
net.finmath.equities 17 0 0 0 100% 1.319
net.finmath.singleswaprate.products 9 0 0 0 100% 7.466
net.finmath.singleswaprate.annuitymapping 5 0 0 0 100% 0.306
net.finmath.montecarlo.hybridassetinterestrate 5 0 0 0 100% 57.095
net.finmath.fouriermethod.calibration 2 0 0 0 100% 2.903
net.finmath.time 34 0 0 0 100% 1.384
net.finmath.integration 10 0 0 0 100% 0.283
net.finmath.stochastic 20 0 0 0 100% 0.026
net.finmath.convexityadjustment 1 0 0 0 100% 0.482
net.finmath.modelling 1 0 0 0 100% 2.491
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.583
net.finmath.montecarlo.assetderivativevaluation.models 4 0 0 0 100% 6.427
net.finmath.singleswaprate.model.volatilities 6 0 0 0 100% 0.535
net.finmath.optimizer 12 0 0 0 100% 0.43
net.finmath.montecarlo.automaticdifferentiation.backward 11 0 0 0 100% 0.035
net.finmath.randomnumbers 1 0 0 0 100% 1.317
net.finmath.montecarlo.interestrate.products.components 3 0 0 0 100% 13.433
net.finmath.marketdata.model.curves 7 0 0 0 100% 1.18
net.finmath.time.daycount 3 0 0 0 100% 0.084
net.finmath.fouriermethod.products 1 0 0 0 100% 0.092
net.finmath.information 2 0 0 0 100% 0.012
net.finmath.montecarlo.interestrate.products 11 0 0 0 100% 16.455
net.finmath.modelling.descriptor 6 0 0 0 100% 64.556
net.finmath.montecarlo.assetderivativevaluation 15 0 0 1 93.333% 13.676
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 0.542
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 3.353
net.finmath.marketdata.model.volatilities 6 0 0 0 100% 0.276
net.finmath.modelling.productfactory 2 0 0 0 100% 2.504
net.finmath.finitedifference 4 0 0 0 100% 1.877
net.finmath.montecarlo 2 0 0 0 100% 7.389
net.finmath.marketdata.model.cds 1 0 0 0 100% 0.151
net.finmath.singleswaprate.data 1 0 0 0 100% 0.152
net.finmath.analytic.model.curves.test 1 0 0 0 100% 0.63
net.finmath.interpolation 1 0 0 0 100% 0.097
net.finmath.functions 32 0 0 0 100% 3.766

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 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 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 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

LIBORMarketModelValuationTest

testFRA 2.835
testFRA 1.692
testFRA 2.104
testFRA 2.278
testBond 1.652
testBond 1.464
testBond 2.225
testBond 1.965
testSwap 1.477
testSwap 1.524
testSwap 1.893
testSwap 2.049
testSwaptionSmile 1.403
testSwaptionSmile 1.383
testSwaptionSmile 1.85
testSwaptionSmile 1.719
testSwaption 1.441
testSwaption 1.424
testSwaption 2.02
testSwaption 1.951
testDigitalCaplet 1.403
testDigitalCaplet 1.458
testDigitalCaplet 1.982
testDigitalCaplet 1.784
testLIBORInArrearsConvexity 1.465
testLIBORInArrearsConvexity 1.414
testLIBORInArrearsConvexity 1.678
testLIBORInArrearsConvexity 1.836
testCaplet 1.485
testCaplet 1.517
testCaplet 1.755
testCaplet 1.805
testCapletSmile 1.434
testCapletSmile 1.398
testCapletSmile 1.622
testCapletSmile 1.78
testSwaptionCalibration 0.241
testSwaptionCalibration 0.053
testSwaptionCalibration 0.056
testSwaptionCalibration 0.048

VarianceGammaTest

testCharacteristicFunction 1.662

Failure Details

[Summary] [Package List] [Test Cases]


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