finmath lib – Surefire Report

Surefire Report

Summary

Tests	Errors	Failures	Skipped	Success Rate	Time
723	0	0	5	99.308%	1,966.739

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

Package List

[Summary] [Package List] [Test Cases]

Package	Tests	Skipped	Success Rate	Time
	422	4	99.052%	873.926
net.finmath.montecarlo.interestrate	14	0	100%	880.629
net.finmath.climate.models.dice	3	0	100%	0.518
net.finmath.montecarlo.automaticdifferentiation	1	0	100%	0.944
net.finmath.rootfinder	1	0	100%	0.065
net.finmath.singleswaprate.calibration	5	0	100%	20.576
net.finmath.fouriermethod	8	0	100%	9.523
net.finmath.time.businessdaycalendar	5	0	100%	0.114
net.finmath.marketdata.products	3	0	100%	0.046
net.finmath.equities	18	0	100%	1.508
net.finmath.singleswaprate.products	9	0	100%	7.574
net.finmath.singleswaprate.annuitymapping	5	0	100%	0.434
net.finmath.montecarlo.hybridassetinterestrate	5	0	100%	27.527
net.finmath.util.config	1	0	100%	0.079
net.finmath.fouriermethod.calibration	2	0	100%	3.149
net.finmath.time	34	0	100%	1.329
net.finmath.integration	10	0	100%	0.304
net.finmath.stochastic	20	0	100%	0.027
net.finmath.convexityadjustment	1	0	100%	0.763
net.finmath.modelling	1	0	100%	2.69
net.finmath.marketdata.model.curves.locallinearregression	2	0	100%	1.172
net.finmath.montecarlo.assetderivativevaluation.models	4	0	100%	6.26
net.finmath.singleswaprate.model.volatilities	6	0	100%	0.942
net.finmath.optimizer	12	0	100%	0.754
net.finmath.montecarlo.automaticdifferentiation.backward	13	0	100%	0.048
net.finmath.randomnumbers	3	0	100%	0.948
net.finmath.montecarlo.interestrate.products.components	3	0	100%	9.2
net.finmath.marketdata.model.curves	7	0	100%	2.417
net.finmath.time.daycount	3	0	100%	0.071
net.finmath.fouriermethod.products	1	0	100%	0.112
net.finmath.information	2	0	100%	0.022
net.finmath.montecarlo.interestrate.products	11	0	100%	14.349
net.finmath.modelling.descriptor	6	0	100%	62.641
net.finmath.montecarlo.assetderivativevaluation	15	1	93.333%	12.563
net.finmath.montecarlo.interestrate.modelplugins	1	0	100%	0.819
net.finmath.montecarlo.assetderivativevaluation.products	3	0	100%	3.317
net.finmath.marketdata.model.volatilities	6	0	100%	0.395
net.finmath.modelling.productfactory	2	0	100%	2.494
net.finmath.finitedifference	4	0	100%	1.703
net.finmath.montecarlo	11	0	100%	7.583
net.finmath.marketdata.model.cds	1	0	100%	0.258
net.finmath.singleswaprate.data	1	0	100%	0.193
net.finmath.analytic.model.curves.test	1	0	100%	0.995
net.finmath.interpolation	1	0	100%	0.174
net.finmath.functions	36	0	100%	5.584

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

Class	Tests	Skipped	Success Rate	Time
BrownianMotionTest	20	0	100%	86.127
RandomVariableDifferentiableTypePriorityTest	16	0	100%	0.041
RandomVariableDifferentiableArithmeticTest	20	0	100%	0.04
CalibrationTest	12	0	100%	0.38
LIBORMarketModelNormalAADSensitivitiesTest	15	0	100%	50.886
LIBORMarketModelCalibrationTest	3	0	100%	183.849
FIPXMLParserTest	1	0	100%	0.038
RandomVariableDifferentiableTest	52	0	100%	18.704
LIBORMarketModelCalibrationAADTest	2	0	100%	108.196
LIBORMarketModelInterpolationTest	3	0	100%	9.773
FPMLParserTest	1	0	100%	0.058
MonteCarloBlackScholesModelSensitivitiesTest	3	0	100%	1.744
LIBORIndexMultiCurveTest	6	0	100%	17.287
SimpleCappedFlooredFloatingRateBondTest	2	0	100%	4.615
FundingCapacityTest	14	0	100%	35.729
BachelierModelMonteCarloValuationTest	24	4	83.333%	2.935
DeltaHedgedPortfolioWithAADTest	2	0	100%	16.166
BlackScholesMonteCarloValuationTest	24	0	100%	3.67
LIBORIndexTest	60	0	100%	56.3
RandomVariableDifferentiableAADPerformanceTest	18	0	100%	85.609
CapletVolatilitiesParametricCalibrationTest	2	0	100%	88.308
HestonModelCallOptionTest	2	0	100%	0.372
RandomVariableTest	55	0	100%	22.654
HestonModelTest	2	0	100%	3.759
DisplacedLognomalModelTest	3	0	100%	0.585
LIBORMarketModelMultiCurveValuationTest	14	0	100%	37.026
CalibrationTest	6	0	100%	0.295
LIBORMarketModelValuationTest	40	0	100%	38.78

net.finmath.montecarlo.interestrate

Class	Tests	Success Rate	Time
CapValuationTest	1	100%	3.048
LIBORMarketModelWithTenorRefinementCalibrationTest	2	100%	848.969
LIBORMarketModelCalibrationSmileTest	1	100%	19.216
HullWhiteModelTest	9	100%	8.093
HullWhiteModelCalibrationTest	1	100%	1.303

net.finmath.climate.models.dice

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DICEModelTest	3	0	0	0	100%	0.518

net.finmath.montecarlo.automaticdifferentiation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest	1	0	0	0	100%	0.944

net.finmath.rootfinder

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RootFindersTest	1	0	0	0	100%	0.065

net.finmath.singleswaprate.calibration

Class	Tests	Success Rate	Time
SABRCubeParallelCalibrationTest	1	100%	4.472
StaticCubeCalibrationTest	1	100%	2.161
SABRCubeCalibrationTest	1	100%	12.062
SABRShiftedSmileCalibrationTest	2	100%	1.881

net.finmath.fouriermethod

Class	Tests	Success Rate	Time
BlackScholesCallOptionTest	2	100%	0.251
VarianceGammaCallOptionTest	3	100%	5.523
MertonJumpDiffusionCallOptionTest	3	100%	3.749

net.finmath.time.businessdaycalendar

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BusinessdayCalendarTest	5	0	0	0	100%	0.114

net.finmath.marketdata.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DepositTest	3	0	0	0	100%	0.046

net.finmath.equities

Class	Tests	Success Rate	Time
PdeOptionPricerTest	8	100%	1.107
AffineDividendStreamTest	2	100%	0.06
AnalyticOptionValuationTest	3	100%	0.184
SviVolatiltitySurfaceTest	3	100%	0.108
Black76ModelTest	2	100%	0.049

net.finmath.singleswaprate.products

Class	Tests	Success Rate	Time
CashSettledSwaptionTest	3	100%	2.893
ConstantMaturitySwapTest	3	100%	3.717
AnnuityDummyTest	3	100%	0.964

net.finmath.singleswaprate.annuitymapping

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	NormalizingFunctionTest	1	0	0	0	100%	0.243
	AnnuityMappingTest	4	0	0	0	100%	0.191

net.finmath.montecarlo.hybridassetinterestrate

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HybridAssetLIBORModelMonteCarloSimulationFromModelsTest	1	0	0	0	100%	1.639
	CrossCurrencyLIBORMarketModelFromModelsTest	4	0	0	0	100%	25.888

net.finmath.util.config

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ConfigTreeTest	1	0	0	0	100%	0.079

net.finmath.fouriermethod.calibration

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HestonDaxCalibrationTest	1	0	0	0	100%	1.999
	VarianceGammaDaxCalibrationTest	1	0	0	0	100%	1.15

net.finmath.time

Class	Tests	Success Rate	Time
DayCountConventionTest	8	100%	0.031
ScheduleGeneratorTest	3	100%	0.06
FloatingpointDateTest	3	100%	1.188
TimeDiscretizationTest	20	100%	0.05

net.finmath.integration

Class	Tests	Success Rate	Time
PiecewiseContantDoubleUnaryOperatorTest	5	100%	0.024
TrapezoidalRealIntegratorTest	1	100%	0.035
SimpsonRealIntegratorTest	2	100%	0.051
MonteCarloIntegratorTest	2	100%	0.194

net.finmath.stochastic

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ScalarTest	20	0	0	0	100%	0.027

net.finmath.convexityadjustment

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CMSOptionTest	1	0	0	0	100%	0.763

net.finmath.modelling

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORMarketModelHierarchyTest	1	0	0	0	100%	2.69

net.finmath.marketdata.model.curves.locallinearregression

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CurveEstimationTest	2	0	0	0	100%	1.172

net.finmath.montecarlo.assetderivativevaluation.models

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MultiAssetBlackScholesModelTest	4	0	0	0	100%	6.26

net.finmath.singleswaprate.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	SABRVolatilityCubeSharedParametersTest	2	0	0	0	100%	0.376
	SABRVolatilityCubeTest	4	0	0	0	100%	0.566

net.finmath.optimizer

Class	Tests	Success Rate	Time
StochasticLevenbergMarquardtTest	2	100%	0.246
LevenbergMarquardtTest	6	100%	0.19
OptimizerFactoryTest	2	100%	0.181
StochasticPathwiseLevenbergMarquardtTest	2	100%	0.137

net.finmath.montecarlo.automaticdifferentiation.backward

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	RandomVariableDifferentiableAADTest	13	0	0	0	100%	0.048

net.finmath.randomnumbers

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	AcceptanceRejectionRandomNumberGeneratorTest	1	0	0	0	100%	0.72
	HighEntropyRandomNumberGeneratorTest	2	0	0	0	100%	0.228

net.finmath.montecarlo.interestrate.products.components

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ExposureTest	2	0	0	0	100%	9.143
	FundingCapacityTest	1	0	0	0	100%	0.057

net.finmath.marketdata.model.curves

Class	Tests	Success Rate	Time
CalibrationMultiCurveTest	1	100%	1.701
CurveTest	1	100%	0.098
NelsonSiegelSvenssonBondCalibrationTest	1	100%	0.202
DiscountCurveNelsonSiegelSvenssonTest	1	100%	0.023
DiscountCurveSerializationTest	1	100%	0.082
NelsonSiegelSvenssonCalibrationTest	1	100%	0.283
ForwardCurveNelsonSiegelSvenssonTest	1	100%	0.028

net.finmath.time.daycount

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DayCountConvention_30E_360Test	1	0	0	0	100%	0.033
	DayCountConvention_30E_360_ISDATest	2	0	0	0	100%	0.038

net.finmath.fouriermethod.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	TestCarrMadan	1	0	0	0	100%	0.112

net.finmath.information

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LibraryTest	2	0	0	0	100%	0.022

net.finmath.montecarlo.interestrate.products

Class	Tests	Success Rate	Time
SwaptionAnalyticApproximationTest	2	100%	2.569
SwapLegTest	5	100%	6.374
SwaptionNormalTest	1	100%	1.766
InterestRateProductTest	3	100%	3.64

net.finmath.modelling.descriptor

Class	Tests	Success Rate	Time
MertonModelDescriptorTest	1	100%	15.948
InterestRateSwapLegDescriptorTest	2	100%	3.852
VarianceGammaModelDescriptorTest	1	100%	39.457
AssetBlackScholesModelDescriptorTest	1	100%	1.56
HestonModelDescriptorTest	1	100%	1.824

net.finmath.montecarlo.assetderivativevaluation

Class	Tests	Skipped	Success Rate	Time
InhomogenousBachelierModelMonteCarloValuationTest	6	1	83.333%	1.072
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest	2	0	100%	4.048
VarianceGammaModelTest	1	0	100%	2.642
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest	1	0	100%	0.226
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest	1	0	100%	0.373
MonteCarloBlackScholesModelTest	2	0	100%	0.14
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest	1	0	100%	0.225
MertonModelTest	1	0	100%	3.837

net.finmath.montecarlo.interestrate.modelplugins

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	LIBORVolatilityModelFourParameterExponentialFormIntegratedTest	1	0	0	0	100%	0.819

net.finmath.montecarlo.assetderivativevaluation.products

Class	Tests	Success Rate	Time
BlackScholesDeltaHedgedPortfolioTest	1	100%	1.995
ForwardAgreementWithFundingRequirementTest	1	100%	0.493
EuropeanOptionVegaPathwiseTest	1	100%	0.829

net.finmath.marketdata.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CapletVolatilitiesTest	1	0	0	0	100%	0.13
	CapletVolatilitiesParametricTest	5	0	0	0	100%	0.265

net.finmath.modelling.productfactory

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ModelWithProductFactoryTest	2	0	0	0	100%	2.494

net.finmath.finitedifference

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ConstantElasticityOfVarianceThetaTest	2	0	0	0	100%	1.295
	BlackScholesThetaTest	2	0	0	0	100%	0.408

net.finmath.montecarlo

Class	Tests	Success Rate	Time
RandomVariableFromDoubleArrayTest	9	100%	0.07
GammaProcessTest	1	100%	5.878
VarianceGammaTest	1	100%	1.635

net.finmath.marketdata.model.cds

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CDSTest	1	0	0	0	100%	0.258

net.finmath.singleswaprate.data

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DataTablesTest	1	0	0	0	100%	0.193

net.finmath.analytic.model.curves.test

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	TestCurvesFromLIBORModel	1	0	0	0	100%	0.995

net.finmath.interpolation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BiLinearInterpolationTest	1	0	0	0	100%	0.174

net.finmath.functions

Class	Tests	Success Rate	Time
NormalDistributionTest	2	100%	0.156
JarqueBeraTestTest	1	100%	0.051
LinearAlgebraTest	6	100%	0.071
BachelierModelTest	8	100%	0.174
BarrierOptionsTest	8	100%	0.08
AnalyticFormulasTest	11	100%	5.052

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

	testExceptions	0.012
	testIntegralErrorCorrection	0.002
	testValuation	0
	testIntegralOfSquares	0
	testIntegral	0

CapValuationTest

	testCap	3.034

NormalDistributionTest

	testCumulativeDistribution	0.092
	testInverseCumulativeDistribution	0.047

InhomogenousBachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.188
	testEuropeanCallVega	0.483
	testEuropeanCallDelta	0.237
	testEuropeanCall	0.071
	testModelProperties	0.066

MertonModelDescriptorTest

	test	15.937

DayCountConvention_30E_360Test

	test	0.025

JarqueBeraTestTest

	test	0.041

BrownianMotionTest

	testBrownianIncrementSquaredDrift	3.125
	testBrownianIncrementSquaredDrift	3.348
	testBrownianIncrementSquaredDrift	3.15
	testBrownianIncrementSquaredDrift	3.096
	testSerialization	0.071
	testSerialization	0.027
	testSerialization	0.038
	testSerialization	0.032
	testScalarValuedBrownianMotionTerminalDistribution	4.371
	testScalarValuedBrownianMotionTerminalDistribution	5.52
	testScalarValuedBrownianMotionTerminalDistribution	5.284
	testScalarValuedBrownianMotionTerminalDistribution	5.166
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.271
	testScalarValuedBrownianMotionWithJarqueBeraTest	3.39
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.158
	testScalarValuedBrownianMotionWithJarqueBeraTest	1.965
	testDensity	11.009
	testDensity	10.865
	testDensity	10.641
	testDensity	10.6

RandomVariableDifferentiableTypePriorityTest

	testTypePriorityAdd	0.027
	testTypePriorityAdd	0
	testTypePriorityAdd	0.004
	testTypePriorityAdd	0.001
	testTypePriorityCap	0.003
	testTypePriorityCap	0.001
	testTypePriorityCap	0
	testTypePriorityCap	0
	testTypePriorityMult	0.001
	testTypePriorityMult	0
	testTypePriorityMult	0
	testTypePriorityMult	0
	testTypePriorityFloor	0.001
	testTypePriorityFloor	0
	testTypePriorityFloor	0
	testTypePriorityFloor	0.003

RandomVariableFromDoubleArrayTest

	testAdd	0.029
	testDiv	0.004
	testGet	0
	testApply	0.004
	testMult	0.003
	testSize	0.002
	testAverage	0
	testVariance	0
	testGetRealizations	0

RandomVariableDifferentiableArithmeticTest

	testArithmeticExpLog	0.025
	testArithmeticExpLog	0
	testArithmeticExpLog	0.006
	testArithmeticExpLog	0.001
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtMultSqrt	0.002
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0.001

SwaptionAnalyticApproximationTest

	testMultiCurveModel	1.638
	testSingleCurveModel	0.914

CalibrationTest

	testCurvesAndCalibration	0.195
	testCurvesAndCalibration	0.024
	testCurvesAndCalibration	0.066
	testCurvesAndCalibration	0.026
	testCurvesAndCalibration	0.031
	testCurvesAndCalibration	0.025
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.004
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0

GammaProcessTest

	testScaling	5.861

LIBORMarketModelNormalAADSensitivitiesTest

	testDelta	4.172
	testDelta	3.374
	testDelta	3.644
	testDelta	3.827
	testDelta	4.546
	testVega	3.217
	testVega	3.227
	testVega	3.648
	testVega	4.15
	testVega	5.686
	testGenericDelta	2.179
	testGenericDelta	1.678
	testGenericDelta	1.912
	testGenericDelta	1.838
	testGenericDelta	3.788

CurveEstimationTest

	testRegressionMatrix	1.143
	testLinearInterpolation	0.016

LIBORMarketModelCalibrationTest

	testATMSwaptionCalibration	56.522
	testATMSwaptionCalibration	5.595
	testATMSwaptionCalibration	121.732

ScalarTest

	testAbs	0.008
	testAdd	0.001
	testCap	0
	testDiv	0.001
	testSub	0
	testSubRatio	0
	testFloor	0
	testIsNaN	0.001
	testMult	0
	testSqrt	0
	testArrayOf	0
	testAddRatio	0
	testGetAverage	0
	testAddProduct	0
	testDiscount	0
	testAccrue	0.001
	testChoose	0
	testEquals	0
	testInvert	0.001
	testSquared	0

PdeOptionPricerTest

	Test_pricer_american	0.25
	Test_noArbitrage	0.032
	Test_pricer_americanCall	0.035
	Test_pricer_european	0.02
	Test_europeanSensis	0.023
	Test_pricer_americanPut	0.022
	Test_impliedVol	0.185
	Test_pricer_lv	0.522

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

	testSensitivities	2.118
	testProductAADSensitivities	1.908

AffineDividendStreamTest

	Test_affineDividendConversion	0.05
	Test_sorting	0

RandomVariableDifferentiableAADTest

	testSecondOrderDerivative	0.029
	testOperatorMult1	0
	testOperatorMult2	0.001
	testVariance	0.003
	testOperatorExp	0
	testOperatorLog	0
	testExpectation	0
	testOperatorAdd1	0.001
	testOperatorAdd2	0
	testOperatorDiv1	0
	testOperatorDiv2	0
	testOperatorSub1	0.001
	testOperatorSub2	0

HestonDaxCalibrationTest

	test	1.989

SwapLegTest

	testFloatLeg	2.609
	testCMSSpreadLeg	1.27
	testFixLeg	0.786
	testLIBORInArrearsFloatLeg	0.769
	testCMSFloatLeg	0.913

FIPXMLParserTest

	testGetSwapProductDescriptor	0.038

AnalyticOptionValuationTest

	Test_complexMarketData	0.154
	Test_noArbitrage	0.004
	Test_sensis	0.015

RandomVariableDifferentiableTest

	testRandomVariableExpectation	0.113
	testRandomVariableExpectation	0.014
	testRandomVariableExpectation	0.013
	testRandomVariableExpectation	0.01
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient2	0.004
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient2	0.001
	testRandomVariableSimpleGradient	0
	testRandomVariableSimpleGradient	0.002
	testRandomVariableSimpleGradient	0.001
	testRandomVariableSimpleGradient	0.002
	testRandomVariableGradientBiggerSum	0.959
	testRandomVariableGradientBiggerSum	0.37
	testRandomVariableGradientBiggerSum	0.741
	testRandomVariableGradientBiggerSum	0.363
	testRandomVariableGradientBigSumWithConstants	0.198
	testRandomVariableGradientBigSumWithConstants	0.074
	testRandomVariableGradientBigSumWithConstants	0.078
	testRandomVariableGradientBigSumWithConstants	0.082
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0.001
	testRandomVariableGradientBigSum2	0.093
	testRandomVariableGradientBigSum2	0.017
	testRandomVariableGradientBigSum2	0.03
	testRandomVariableGradientBigSum2	0.016
	testRandomVariableArithmeticSquaredPow	0.002
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableGradientBigSum	0.086
	testRandomVariableGradientBigSum	0.033
	testRandomVariableGradientBigSum	0.061
	testRandomVariableGradientBigSum	0.033
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0.002
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0.001
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	3.784
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	3.793
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	3.627
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	4.087
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001

LIBORMarketModelCalibrationAADTest

	testATMSwaptionCalibration	29.221
	testATMSwaptionCalibration	78.975

DICEModelTest

	testTimeStep1Y	0.207
	testTimeStep5Y	0.033
	testTimeStep6M	0.257

TrapezoidalRealIntegratorTest

	test	0.022

LIBORMarketModelInterpolationTest

	testInterpolatedLastLIBOR	3.154
	testInterpolatedLastLIBOR	4.049
	testInterpolatedLastLIBOR	2.57

ExposureTest

	testExpectedPositiveExposure	5.61
	testAgainstSwaption	3.504

VarianceGammaModelTest

	test	2.633

RootFindersTest

	testRootFinders	0.048

CashSettledSwaptionTest

	a_testSimplifiedLinear	0.81
	b_testBasicPiterbarg	1.055
	c_testMultiPiterbarg	0.893

FPMLParserTest

	testGetSwapProductDescriptor	0.058

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

	testProductAADSensitivities	0.214

BusinessdayCalendarTest

	testNycCalendar	0.043
	testCreateDateFromDateAndOffsetCode	0.039
	testCombinedCalendar	0.016
	testTargetCalendar	0.001
	testLondonCalendar	0

BlackScholesDeltaHedgedPortfolioTest

	testHedgePerformance	1.985

DepositTest

	testRateValueConsistency	0.035
	testEvaluationTime	0
	testDepositValue	0.001

InterestRateSwapLegDescriptorTest

	testFloatLeg	2.92
	testFixLeg	0.916

FundingCapacityTest

	test	0.039

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

	test	1.627

VarianceGammaModelDescriptorTest

	test	39.446

NormalizingFunctionTest

	testExpectation	0.073

ConstantMaturitySwapTest

	testSimplifiedLinear	0.89
	testBasicPiterbarg	1.43
	testMultiPiterbarg	1.277

AnnuityDummyTest

	testSimplified	0.493
	testBasic	0.173
	testMulti	0.177

SABRCubeParallelCalibrationTest

	testCalibration	4.457

StaticCubeCalibrationTest

	testStaticCubeCalibration	2.148

StochasticLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.115
	test	0.115

AcceptanceRejectionRandomNumberGeneratorTest

	test	0.711

DayCountConventionTest

	testDayCountConvention_30E_360	0.011
	testDayCountConvention_ACT_360	0.002
	testDayCountConvention_ACT_365	0
	testDayCountConventionAdditivity_ACT_ACT_ICMA	0.003
	testDayCountConventionAdditivity_ACT_ACT_ISDA	0
	testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA	0.001
	testDayCountConvention_ACT_ACT_ISDA	0
	testDayCountConvention_ACT_ACT_YEARFRAC	0.001

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

	testProductAADSensitivities	0.36

MonteCarloBlackScholesModelSensitivitiesTest

	testProductAADSensitivities	0.573
	testProductAADSensitivities	0.465
	testProductAADSensitivities	0.706

LIBORIndexMultiCurveTest

	testFRAMonteCarloVersusAnalytic	4.332
	testFRAMonteCarloVersusAnalytic	2.451
	testFRAMonteCarloVersusAnalytic	3.595
	testFRAMonteCarloVersusAnalytic	1.269
	testFRAMonteCarloVersusAnalytic	1.856
	testFRAMonteCarloVersusAnalytic	3.784

LevenbergMarquardtTest

	testMultiThreaddedOptimizer	0.086
	testBoothFunctionWithAnalyticDerivative	0.02
	testRosenbrockFunctionWithList	0.01
	testBoothFunction	0.006
	testRosenbrockFunction	0.038
	testSmallLinearSystem	0.004

CDSTest

	testCDS	0.248

LinearAlgebraTest

	testSolveLinearEquationLeastSquarePseudoInverse0	0.049
	testSolveLinearEquationLeastSquarePseudoInverse1	0
	testSolveLinearEquationLeastSquarePseudoInverse2	0
	testSolveLinearEquationLeastSquarePseudoInverse3	0.001
	testMatrixPowerNonSymmetric	0.007
	testMatrixPowerSymmetric	0.003

SimpleCappedFlooredFloatingRateBondTest

	test	2.817
	test	1.798

CrossCurrencyLIBORMarketModelFromModelsTest

	testForeignBond	7.634
	testProperties	4.703
	testForeignCaplet	6.503
	testForeignFRA	7.013

FundingCapacityTest

	testBond	2.827
	testBond	1.457
	testSwap	1.972
	testSwap	1.836
	testSwaptionSmile	1.68
	testSwaptionSmile	1.422
	testSwaption	1.678
	testSwaption	1.45
	testDigitalCaplet	1.444
	testDigitalCaplet	1.476
	testCaplet	1.361
	testCaplet	1.421
	testSwaptionCalibration	8.234
	testSwaptionCalibration	7.471

TestCarrMadan

	test	0.102

OptimizerFactoryTest

	testRosenbrockFunctionWithCMAES	0.156
	testRosenbrockFunctionWithLevenbergMarquard	0.015

AnnuityMappingTest

	a_testMappings	0.004
	b_testSeq	0.015
	c_testFirstDerivative	0.003
	d_testSecondDerivative	0.004

MonteCarloBlackScholesModelTest

	testDirectValuation	0.098
	testProductImplementation	0.033

BachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.176
	testModelRandomVariable	0.085
	testModelRandomVariable	0.045
	testModelRandomVariable	0.051
	testEuropeanCallVega	0.496
	testEuropeanCallVega	0.197
	testEuropeanCallVega	0.242
	testEuropeanCallVega	0.267
	testEuropeanCallDelta	0.217
	testEuropeanCallDelta	0.18
	testEuropeanCallDelta	0.234
	testEuropeanCallDelta	0.247
	testEuropeanCall	0.069
	testEuropeanCall	0.053
	testEuropeanCall	0.058
	testEuropeanCall	0.055
	testModelProperties	0.072
	testModelProperties	0.066
	testModelProperties	0.056
	testModelProperties	0.069

ScheduleGeneratorTest

	testPeriodLength	0.047
	testPeriodStartPeriodEnd	0.001
	testScheduleGeneratorMetaData	0.005

BiLinearInterpolationTest

	test	0.161

CapletVolatilitiesTest

	testConversions	0.12

VarianceGammaDaxCalibrationTest

	test	1.138

CalibrationMultiCurveTest

	testMultiCurveCalibration	1.691

DayCountConvention_30E_360_ISDATest

	testAssumingEndDateIsATerminationDate	0.029
	testAssumingEndDateIsNotATerminationDate	0.001

CMSOptionTest

	testCMSOption	0.752

DeltaHedgedPortfolioWithAADTest

	testHedgePerformance	8.514
	testHedgePerformance	7.652

BlackScholesCallOptionTest

	test	0.171
	testDigitalOption	0.054

BachelierModelTest

	testInhomogeneousImpliedVolatility	0.112
	testHomogeneousRandomVariableImplementations	0.006
	testDelta	0.013
	testVega	0.002
	testInhomogeneousRandomVariableImplementations	0
	testInhomogenousDelta	0.003
	testInhomogenousVega	0.005
	testImpliedVolatility	0.015

SwaptionNormalTest

	testSwaption	1.756

LIBORMarketModelWithTenorRefinementCalibrationTest

	testSwaptionSmileCalibration	416.42
	testATMSwaptionCalibration	432.518

LIBORMarketModelCalibrationSmileTest

	testSwaptionSmileCalibration	19.207

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

	test	0.809

CurveTest

	testCurveFitting	0.088

HighEntropyRandomNumberGeneratorTest

	distributionTest	0.099
	testRNGWithConcurrency	0.114

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

	test	0.933

BlackScholesMonteCarloValuationTest

	testEuropeanAsianBermudanOption	0.614
	testEuropeanAsianBermudanOption	0.3
	testEuropeanAsianBermudanOption	0.352
	testEuropeanAsianBermudanOption	0.329
	testModelRandomVariable	0.028
	testModelRandomVariable	0.022
	testModelRandomVariable	0.018
	testModelRandomVariable	0.019
	testEuropeanCallVega	0.178
	testEuropeanCallVega	0.343
	testEuropeanCallVega	0.164
	testEuropeanCallVega	0.156
	testEuropeanCallDelta	0.226
	testEuropeanCallDelta	0.396
	testEuropeanCallDelta	0.178
	testEuropeanCallDelta	0.176
	testEuropeanCall	0.023
	testEuropeanCall	0.024
	testEuropeanCall	0.026
	testEuropeanCall	0.018
	testModelProperties	0.02
	testModelProperties	0.023
	testModelProperties	0.02
	testModelProperties	0.017

StochasticPathwiseLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.107
	test	0.02

SABRCubeCalibrationTest

	testSABRCubeCalibration	12.046

LIBORIndexTest

	testSinglePeriods	0.485
	testSinglePeriods	0.167
	testSinglePeriods	0.206
	testSinglePeriods	0.169
	testSinglePeriods	0.292
	testSinglePeriods	0.419
	testSinglePeriods	1.059
	testSinglePeriods	1.808
	testSinglePeriods	1.799
	testSinglePeriods	3.921
	testSinglePeriods	0.085
	testSinglePeriods	0.057
	testSinglePeriods	0.121
	testSinglePeriods	0.184
	testSinglePeriods	0.191
	testSinglePeriods	0.366
	testSinglePeriods	0.662
	testSinglePeriods	1.384
	testSinglePeriods	2.204
	testSinglePeriods	4.276
	testMultiPeriodFloater	0.115
	testMultiPeriodFloater	0.175
	testMultiPeriodFloater	0.167
	testMultiPeriodFloater	0.178
	testMultiPeriodFloater	0.207
	testMultiPeriodFloater	0.815
	testMultiPeriodFloater	0.735
	testMultiPeriodFloater	1.358
	testMultiPeriodFloater	2.148
	testMultiPeriodFloater	3.825
	testMultiPeriodFloater	0.047
	testMultiPeriodFloater	0.061
	testMultiPeriodFloater	0.113
	testMultiPeriodFloater	0.142
	testMultiPeriodFloater	0.187
	testMultiPeriodFloater	0.356
	testMultiPeriodFloater	0.663
	testMultiPeriodFloater	1.456
	testMultiPeriodFloater	2.336
	testMultiPeriodFloater	3.563
	testUnalignedPeriods	0.108
	testUnalignedPeriods	0.059
	testUnalignedPeriods	0.138
	testUnalignedPeriods	0.166
	testUnalignedPeriods	0.203
	testUnalignedPeriods	0.466
	testUnalignedPeriods	0.708
	testUnalignedPeriods	1.63
	testUnalignedPeriods	2.334
	testUnalignedPeriods	3.616
	testUnalignedPeriods	0.039
	testUnalignedPeriods	0.06
	testUnalignedPeriods	0.086
	testUnalignedPeriods	0.154
	testUnalignedPeriods	0.199
	testUnalignedPeriods	0.351
	testUnalignedPeriods	0.674
	testUnalignedPeriods	1.395
	testUnalignedPeriods	1.961
	testUnalignedPeriods	3.451

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

	testProductAADSensitivities	0.214

HullWhiteModelTest

	testBermudanSwaption	3.025
	testZeroCMSSwap	1.463
	testBond	0.312
	testSwap	2.076
	testSwaption	0.37
	testCaplet	0.317
	testCapletSmile	0.243
	testLIBORInArrearsFloatLeg	0.01
	testPutOnMoneyMarketAccount	0.249

ConfigTreeTest

	test	0.062

RandomVariableDifferentiableAADPerformanceTest

	test	1.41
	test	1.297
	test	1.775
	test	1.69
	test	1.239
	test	1.123
	test	2.223
	test	1.152
	test	1.723
	test	1.137
	test	1.422
	test	1.133
	test	20.692
	test	4.362
	test	20.286
	test	4.651
	test	14.74
	test	3.554

NelsonSiegelSvenssonBondCalibrationTest

	testBondNSSCurveCalibration	0.189

MertonModelTest

	test	3.828

CapletVolatilitiesParametricCalibrationTest

	testVolatilityCalibration	35.068
	testVolatilityCalibration	53.24

ModelWithProductFactoryTest

	bsTest	1.295
	hTest	1.172

DiscountCurveNelsonSiegelSvenssonTest

	test	0.012

SimpsonRealIntegratorTest

	testCos	0.037
	testCubic	0.002

ForwardAgreementWithFundingRequirementTest

	test	0.478

CapletVolatilitiesParametricTest

	testIntegratedFourParameterExponentialVolatilityParamSet1	0.211
	testDecayVolatility	0.002
	testIntegratedFourParameterExponentialVolatilityParamSetCZero	0.032
	testFlatVolatilityUsingA	0.001
	testFlatVolatilityUsingD	0

DataTablesTest

	testTables	0.176

HestonModelCallOptionTest

	test	0.294
	test	0.078

FloatingpointDateTest

	testLocalDateTime	1.168
	test	0.007
	testLocalDateLocalDateTimeConsistency	0.004

SviVolatiltitySurfaceTest

	Test_noArbitrage	0.062
	Test_calibration	0.03
	Test_stickyness	0.004

RandomVariableTest

	testAdd	0.008
	testAdd	0.001
	testAdd	0.026
	testAdd	0.002
	testAdd	0.005
	testCap	0
	testCap	0
	testCap	0.004
	testCap	0.008
	testCap	0
	testApply	0.001
	testApply	0
	testApply	0.002
	testApply	0
	testApply	0.001
	testFloor	0
	testFloor	0
	testFloor	0.001
	testFloor	0
	testFloor	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0.001
	testRandomVariableStandardDeviation	0.001
	testRandomVariableStandardDeviation	0
	testGetQuantile	4.741
	testGetQuantile	4.516
	testGetQuantile	4.434
	testGetQuantile	4.455
	testGetQuantile	4.406
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.005
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.002
	testApply2	0.012
	testApply2	0.001
	testApply2	0.005
	testApply2	0
	testApply2	0
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0.003
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0
	testRandomVariableDeterministc	0.003
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0

HestonModelTest

	test	1.992
	test	1.767

LibraryTest

	testVersionString	0.012
	testBuildString	0

DisplacedLognomalModelTest

	testProductImplementation	0.291
	testProductImplementation	0.132
	testProductImplementation	0.162

InterestRateProductTest

	testBond	1.617
	testSwap	0.792
	testSwaption	1.215

DiscountCurveSerializationTest

	test	0.068

AssetBlackScholesModelDescriptorTest

	test	1.549

BarrierOptionsTest

	testDownAndInCall	0.055
	testDownAndOutPut	0.001
	testDownAndInPut	0.002
	testUpAndInPut	0.001
	testUpAndInCall	0.001
	testUpAndOutPut	0.001
	testUpAndOutCall	0.001
	testDownAndOutCall	0.003

LIBORMarketModelHierarchyTest

	testModelHierarchy	2.677

SABRVolatilityCubeSharedParametersTest

	a_cubeATM	0.027
	b_strikeSlices	0.031

VarianceGammaCallOptionTest

	testMartingalePropertyMonteCarlo	2.732
	test	2.778
	testMartingaleProperty	0

NelsonSiegelSvenssonCalibrationTest

	testCalibration	0.272

ForwardCurveNelsonSiegelSvenssonTest

	test	0.019

LIBORMarketModelMultiCurveValuationTest

	testBond	3.087
	testBond	1.473
	testSwap	1.877
	testSwap	1.781
	testSwaptionSmile	1.69
	testSwaptionSmile	1.439
	testSwaption	1.713
	testSwaption	1.564
	testDigitalCaplet	1.45
	testDigitalCaplet	1.422
	testCaplet	1.443
	testCaplet	1.464
	testSwaptionCalibration	8.782
	testSwaptionCalibration	7.841

MertonJumpDiffusionCallOptionTest

	testMartingalePropertyMonteCarlo	1.752
	test	1.984
	testMartingaleProperty	0.001

EuropeanOptionVegaPathwiseTest

	test	0.818

CalibrationTest

	testCurvesAndCalibration	0.232
	testCurvesAndCalibration	0.029
	testCurvesAndCalibration	0.022
	testForwardCurveFromDiscountCurve	0.008
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.002

AnalyticFormulasTest

	testSABRSkewApproximation	0.031
	testBlackScholesPutCallParityATM	0.014
	testVolatilityConversionLognormalToNormal	0.003
	testBlackModelCapletImpliedVol	0.001
	testBlackModelDigitalCapletDelta	0
	testBachelierOptionImpliedVolatility	0.606
	testBlackScholesNegativeForward	0.002
	testSABRCurvatureApproximation	0.001
	testBachelierRiskNeutralProbabilities	0.043
	testSABRCalibration	4.291
	testBachelierOptionDelta	0.026

ConstantElasticityOfVarianceThetaTest

	testEuropeanCallOption	0.712
	testEuropeanPutOption	0.572

MonteCarloIntegratorTest

	testCos	0.134
	testCubic	0.048

MultiAssetBlackScholesModelTest

	testModelWithFactorLoadings	3.258
	testModelWithCloneModifiedVolatility	0.195
	testModelCloneWithModifiedSeed	0.103
	testModelWithVolatilityAndCorrelation	2.661

HestonModelDescriptorTest

	test	1.814

TimeDiscretizationTest

	constructWithNumberOfStepsSmallerThanTickSize	0.017
	constructWithSetAtDefaultTickSize	0.002
	constructWithBoxedArrayAtSmallTickSize	0
	testUnionWithSubTickDuplicates	0.002
	testIntersectionWithNoDuplicates	0.001
	constructWithUnboxedArrayAtDefaultTickSize	0
	constructWithIntervalShortStubAtFront	0.001
	constructWithIntervalShortStubAtEnd	0.001
	constructWithNumberOfSteps	0.001
	constructWithSetAtSmallTickSize	0
	constructWithArrayListAtBigTickSize	0
	constructWithBoxedArrayAtBigTickSize	0.001
	constructWithSetAtBigTickSize	0
	testIntersectionWithSubTickDuplicates	0
	testIntersectionWithDifferentTickSizes	0.001
	constructWithBoxedArrayAtDefaultTickSize	0.003
	constructWithArrayListAtSmallTickSize	0.001
	testUnionWithNoDuplicates	0
	testUnionWithDifferentTickSizes	0.003
	constructWithArrayListAtDefaultTickSize	0

Black76ModelTest

	Test_black76_impliedVolatility	0.035
	Test_black76_formula	0

SABRVolatilityCubeTest

	a_cubeATM	0.054
	b_strikeSlices	0.044
	c_testAccessPerformance	0.174
	d_testAccessPerformanceOnNodes	0.021

HullWhiteModelCalibrationTest

	testATMSwaptionCalibration	1.291

BlackScholesThetaTest

	testEuropeanCallOption	0.262
	testEuropeanPutOption	0.118

SABRShiftedSmileCalibrationTest

	testCalibration	1.704
	testSingleSmile	0.063

TestCurvesFromLIBORModel

	testStochasticCurves	0.986

LIBORMarketModelValuationTest

	testFRA	2.243
	testFRA	1.021
	testFRA	1.905
	testFRA	1.195
	testBond	1.087
	testBond	0.881
	testBond	1.451
	testBond	1.279
	testSwap	1.257
	testSwap	0.858
	testSwap	1.101
	testSwap	0.935
	testSwaptionSmile	0.984
	testSwaptionSmile	0.789
	testSwaptionSmile	1.367
	testSwaptionSmile	0.933
	testSwaption	0.831
	testSwaption	0.802
	testSwaption	1.087
	testSwaption	1.05
	testDigitalCaplet	0.834
	testDigitalCaplet	0.789
	testDigitalCaplet	0.953
	testDigitalCaplet	0.884
	testLIBORInArrearsConvexity	0.833
	testLIBORInArrearsConvexity	0.804
	testLIBORInArrearsConvexity	1.078
	testLIBORInArrearsConvexity	1.059
	testCaplet	0.853
	testCaplet	0.801
	testCaplet	1.434
	testCaplet	1.243
	testCapletSmile	0.796
	testCapletSmile	0.981
	testCapletSmile	0.956
	testCapletSmile	0.944
	testSwaptionCalibration	0.257
	testSwaptionCalibration	0.112
	testSwaptionCalibration	0.06
	testSwaptionCalibration	0.053

VarianceGammaTest

	testCharacteristicFunction	1.623

Failure Details

[Summary] [Package List] [Test Cases]

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