Surefire Report
Summary
[Summary] [Package List] [Test Cases]
Tests | Errors | Failures | Skipped | Success Rate | Time |
---|---|---|---|---|---|
708 | 0 | 0 | 5 | 99.294% | 1,080.746 |
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.
net.finmath.montecarlo.interestrate
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CapValuationTest | 1 | 0 | 0 | 0 | 100% | 2.701 |
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LIBORMarketModelCalibrationSmileTest | 1 | 0 | 0 | 0 | 100% | 19.386 |
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HullWhiteModelTest | 9 | 0 | 0 | 0 | 100% | 8.009 |
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HullWhiteModelCalibrationTest | 1 | 0 | 0 | 0 | 100% | 1.271 |
net.finmath.climate.models.dice
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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DICEModelTest | 3 | 0 | 0 | 0 | 100% | 0.512 |
net.finmath.montecarlo.automaticdifferentiation
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.918 |
net.finmath.rootfinder
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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RootFindersTest | 1 | 0 | 0 | 0 | 100% | 0.057 |
net.finmath.singleswaprate.calibration
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
SABRCubeParallelCalibrationTest | 1 | 0 | 0 | 0 | 100% | 4.379 |
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StaticCubeCalibrationTest | 1 | 0 | 0 | 0 | 100% | 2.221 |
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SABRCubeCalibrationTest | 1 | 0 | 0 | 0 | 100% | 9.718 |
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SABRShiftedSmileCalibrationTest | 2 | 0 | 0 | 0 | 100% | 1.749 |
net.finmath.fouriermethod
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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BlackScholesCallOptionTest | 2 | 0 | 0 | 0 | 100% | 0.201 |
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VarianceGammaCallOptionTest | 3 | 0 | 0 | 0 | 100% | 5.517 |
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MertonJumpDiffusionCallOptionTest | 3 | 0 | 0 | 0 | 100% | 3.682 |
net.finmath.time.businessdaycalendar
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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BusinessdayCalendarTest | 5 | 0 | 0 | 0 | 100% | 0.112 |
net.finmath.marketdata.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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DepositTest | 3 | 0 | 0 | 0 | 100% | 0.05 |
net.finmath.equities
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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PdeOptionPricerTest | 8 | 0 | 0 | 0 | 100% | 1.067 |
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AffineDividendStreamTest | 2 | 0 | 0 | 0 | 100% | 0.054 |
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AnalyticOptionValuationTest | 2 | 0 | 0 | 0 | 100% | 0.093 |
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SviVolatiltitySurfaceTest | 3 | 0 | 0 | 0 | 100% | 0.097 |
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Black76ModelTest | 2 | 0 | 0 | 0 | 100% | 0.048 |
net.finmath.singleswaprate.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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CashSettledSwaptionTest | 3 | 0 | 0 | 0 | 100% | 2.737 |
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ConstantMaturitySwapTest | 3 | 0 | 0 | 0 | 100% | 3.619 |
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AnnuityDummyTest | 3 | 0 | 0 | 0 | 100% | 0.842 |
net.finmath.singleswaprate.annuitymapping
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
NormalizingFunctionTest | 1 | 0 | 0 | 0 | 100% | 0.214 |
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AnnuityMappingTest | 4 | 0 | 0 | 0 | 100% | 0.179 |
net.finmath.montecarlo.hybridassetinterestrate
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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HybridAssetLIBORModelMonteCarloSimulationFromModelsTest | 1 | 0 | 0 | 0 | 100% | 1.601 |
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CrossCurrencyLIBORMarketModelFromModelsTest | 4 | 0 | 0 | 0 | 100% | 23.291 |
net.finmath.fouriermethod.calibration
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
HestonDaxCalibrationTest | 1 | 0 | 0 | 0 | 100% | 1.772 |
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VarianceGammaDaxCalibrationTest | 1 | 0 | 0 | 0 | 100% | 1.255 |
net.finmath.time
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
DayCountConventionTest | 8 | 0 | 0 | 0 | 100% | 0.026 |
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ScheduleGeneratorTest | 3 | 0 | 0 | 0 | 100% | 0.06 |
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FloatingpointDateTest | 3 | 0 | 0 | 0 | 100% | 1.154 |
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TimeDiscretizationTest | 20 | 0 | 0 | 0 | 100% | 0.049 |
net.finmath.integration
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
PiecewiseContantDoubleUnaryOperatorTest | 5 | 0 | 0 | 0 | 100% | 0.025 |
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TrapezoidalRealIntegratorTest | 1 | 0 | 0 | 0 | 100% | 0.028 |
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SimpsonRealIntegratorTest | 2 | 0 | 0 | 0 | 100% | 0.046 |
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MonteCarloIntegratorTest | 2 | 0 | 0 | 0 | 100% | 0.191 |
net.finmath.stochastic
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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ScalarTest | 20 | 0 | 0 | 0 | 100% | 0.028 |
net.finmath.convexityadjustment
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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CMSOptionTest | 1 | 0 | 0 | 0 | 100% | 0.581 |
net.finmath.modelling
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
LIBORMarketModelHierarchyTest | 1 | 0 | 0 | 0 | 100% | 2.391 |
net.finmath.marketdata.model.curves.locallinearregression
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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CurveEstimationTest | 2 | 0 | 0 | 0 | 100% | 0.906 |
net.finmath.montecarlo.assetderivativevaluation.models
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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MultiAssetBlackScholesModelTest | 4 | 0 | 0 | 0 | 100% | 5.933 |
net.finmath.singleswaprate.model.volatilities
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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SABRVolatilityCubeSharedParametersTest | 2 | 0 | 0 | 0 | 100% | 0.325 |
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SABRVolatilityCubeTest | 4 | 0 | 0 | 0 | 100% | 0.535 |
net.finmath.optimizer
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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StochasticLevenbergMarquardtTest | 2 | 0 | 0 | 0 | 100% | 0.224 |
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LevenbergMarquardtTest | 6 | 0 | 0 | 0 | 100% | 0.152 |
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OptimizerFactoryTest | 2 | 0 | 0 | 0 | 100% | 0.154 |
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StochasticPathwiseLevenbergMarquardtTest | 2 | 0 | 0 | 0 | 100% | 0.126 |
net.finmath.montecarlo.automaticdifferentiation.backward
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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RandomVariableDifferentiableAADTest | 13 | 0 | 0 | 0 | 100% | 0.048 |
net.finmath.randomnumbers
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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AcceptanceRejectionRandomNumberGeneratorTest | 1 | 0 | 0 | 0 | 100% | 0.709 |
net.finmath.montecarlo.interestrate.products.components
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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ExposureTest | 2 | 0 | 0 | 0 | 100% | 9.087 |
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FundingCapacityTest | 1 | 0 | 0 | 0 | 100% | 0.053 |
net.finmath.marketdata.model.curves
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CalibrationMultiCurveTest | 1 | 0 | 0 | 0 | 100% | 0.999 |
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CurveTest | 1 | 0 | 0 | 0 | 100% | 0.095 |
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NelsonSiegelSvenssonBondCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.169 |
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DiscountCurveNelsonSiegelSvenssonTest | 1 | 0 | 0 | 0 | 100% | 0.02 |
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DiscountCurveSerializationTest | 1 | 0 | 0 | 0 | 100% | 0.077 |
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NelsonSiegelSvenssonCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.287 |
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ForwardCurveNelsonSiegelSvenssonTest | 1 | 0 | 0 | 0 | 100% | 0.03 |
net.finmath.time.daycount
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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DayCountConvention_30E_360Test | 1 | 0 | 0 | 0 | 100% | 0.03 |
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DayCountConvention_30E_360_ISDATest | 2 | 0 | 0 | 0 | 100% | 0.038 |
net.finmath.fouriermethod.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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TestCarrMadan | 1 | 0 | 0 | 0 | 100% | 0.102 |
net.finmath.information
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
LibraryTest | 2 | 0 | 0 | 0 | 100% | 0.021 |
net.finmath.montecarlo.interestrate.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
SwaptionAnalyticApproximationTest | 2 | 0 | 0 | 0 | 100% | 2.288 |
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SwapLegTest | 5 | 0 | 0 | 0 | 100% | 6.164 |
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SwaptionNormalTest | 1 | 0 | 0 | 0 | 100% | 1.818 |
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InterestRateProductTest | 3 | 0 | 0 | 0 | 100% | 3.376 |
net.finmath.modelling.descriptor
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
MertonModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 15.817 |
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InterestRateSwapLegDescriptorTest | 2 | 0 | 0 | 0 | 100% | 3.407 |
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VarianceGammaModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 36.669 |
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AssetBlackScholesModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 1.32 |
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HestonModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 1.601 |
net.finmath.montecarlo.assetderivativevaluation
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
InhomogenousBachelierModelMonteCarloValuationTest | 6 | 0 | 0 | 1 | 83.333% | 1.382 |
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MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest | 2 | 0 | 0 | 0 | 100% | 4.495 |
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VarianceGammaModelTest | 1 | 0 | 0 | 0 | 100% | 2.674 |
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MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.222 |
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MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.389 |
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MonteCarloBlackScholesModelTest | 2 | 0 | 0 | 0 | 100% | 0.131 |
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MonteCarloBlackScholesModelAsianOptionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.244 |
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MertonModelTest | 1 | 0 | 0 | 0 | 100% | 3.54 |
net.finmath.montecarlo.interestrate.modelplugins
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest | 1 | 0 | 0 | 0 | 100% | 0.829 |
net.finmath.montecarlo.assetderivativevaluation.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
BlackScholesDeltaHedgedPortfolioTest | 1 | 0 | 0 | 0 | 100% | 2.024 |
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ForwardAgreementWithFundingRequirementTest | 1 | 0 | 0 | 0 | 100% | 0.474 |
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EuropeanOptionVegaPathwiseTest | 1 | 0 | 0 | 0 | 100% | 0.709 |
net.finmath.marketdata.model.volatilities
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CapletVolatilitiesTest | 1 | 0 | 0 | 0 | 100% | 0.126 |
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CapletVolatilitiesParametricTest | 5 | 0 | 0 | 0 | 100% | 0.274 |
net.finmath.modelling.productfactory
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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ModelWithProductFactoryTest | 2 | 0 | 0 | 0 | 100% | 2.401 |
net.finmath.finitedifference
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
ConstantElasticityOfVarianceThetaTest | 2 | 0 | 0 | 0 | 100% | 1.327 |
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BlackScholesThetaTest | 2 | 0 | 0 | 0 | 100% | 0.419 |
net.finmath.montecarlo
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
GammaProcessTest | 1 | 0 | 0 | 0 | 100% | 5.384 |
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VarianceGammaTest | 1 | 0 | 0 | 0 | 100% | 1.597 |
net.finmath.marketdata.model.cds
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CDSTest | 1 | 0 | 0 | 0 | 100% | 0.223 |
net.finmath.singleswaprate.data
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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DataTablesTest | 1 | 0 | 0 | 0 | 100% | 0.177 |
net.finmath.analytic.model.curves.test
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
TestCurvesFromLIBORModel | 1 | 0 | 0 | 0 | 100% | 0.932 |
net.finmath.interpolation
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
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BiLinearInterpolationTest | 1 | 0 | 0 | 0 | 100% | 0.17 |
net.finmath.functions
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
NormalDistributionTest | 2 | 0 | 0 | 0 | 100% | 0.148 |
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JarqueBeraTestTest | 1 | 0 | 0 | 0 | 100% | 0.052 |
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LinearAlgebraTest | 6 | 0 | 0 | 0 | 100% | 0.067 |
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BachelierModelTest | 8 | 0 | 0 | 0 | 100% | 0.166 |
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BarrierOptionsTest | 8 | 0 | 0 | 0 | 100% | 0.078 |
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AnalyticFormulasTest | 11 | 0 | 0 | 0 | 100% | 2.974 |
Test Cases
[Summary] [Package List] [Test Cases]
PiecewiseContantDoubleUnaryOperatorTest
![]() |
testExceptions | 0.011 |
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testIntegralErrorCorrection | 0.001 |
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testValuation | 0.001 |
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testIntegralOfSquares | 0 |
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testIntegral | 0 |
CapValuationTest
![]() |
testCap | 2.691 |
NormalDistributionTest
![]() |
testCumulativeDistribution | 0.089 |
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testInverseCumulativeDistribution | 0.048 |
InhomogenousBachelierModelMonteCarloValuationTest
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testEuropeanAsianBermudanOption | 0 |
skipped | ||
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testModelRandomVariable | 0.171 |
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testEuropeanCallVega | 0.637 |
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testEuropeanCallDelta | 0.408 |
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testEuropeanCall | 0.07 |
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testModelProperties | 0.071 |
MertonModelDescriptorTest
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test | 15.807 |
DayCountConvention_30E_360Test
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test | 0.023 |
JarqueBeraTestTest
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test | 0.043 |
BrownianMotionTest
RandomVariableDifferentiableTypePriorityTest
RandomVariableDifferentiableArithmeticTest
SwaptionAnalyticApproximationTest
![]() |
testMultiCurveModel | 1.595 |
![]() |
testSingleCurveModel | 0.674 |
CalibrationTest
GammaProcessTest
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testScaling | 5.369 |
LIBORMarketModelNormalAADSensitivitiesTest
CurveEstimationTest
![]() |
testRegressionMatrix | 0.873 |
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testLinearInterpolation | 0.019 |
LIBORMarketModelCalibrationTest
![]() |
testATMSwaptionCalibration | 53.663 |
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testATMSwaptionCalibration | 5.703 |
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testATMSwaptionCalibration | 113.722 |
ScalarTest
PdeOptionPricerTest
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest
![]() |
testSensitivities | 2.159 |
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testProductAADSensitivities | 2.318 |
AffineDividendStreamTest
![]() |
Test_affineDividendConversion | 0.045 |
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Test_sorting | 0.001 |
RandomVariableDifferentiableAADTest
HestonDaxCalibrationTest
![]() |
test | 1.763 |
SwapLegTest
![]() |
testFloatLeg | 2.157 |
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testCMSSpreadLeg | 1.227 |
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testFixLeg | 0.718 |
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testLIBORInArrearsFloatLeg | 0.765 |
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testCMSFloatLeg | 1.267 |
FIPXMLParserTest
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testGetSwapProductDescriptor | 0.045 |
AnalyticOptionValuationTest
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Test_noArbitrage | 0.074 |
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Test_sensis | 0.008 |
RandomVariableDifferentiableTest
LIBORMarketModelCalibrationAADTest
![]() |
testATMSwaptionCalibration | 28.104 |
![]() |
testATMSwaptionCalibration | 76.007 |
DICEModelTest
![]() |
testTimeStep1Y | 0.216 |
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testTimeStep5Y | 0.036 |
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testTimeStep6M | 0.239 |
TrapezoidalRealIntegratorTest
![]() |
test | 0.02 |
LIBORMarketModelInterpolationTest
![]() |
testInterpolatedLastLIBOR | 3.222 |
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testInterpolatedLastLIBOR | 2.837 |
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testInterpolatedLastLIBOR | 3.855 |
ExposureTest
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testExpectedPositiveExposure | 5.488 |
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testAgainstSwaption | 3.584 |
VarianceGammaModelTest
![]() |
test | 2.665 |
RootFindersTest
![]() |
testRootFinders | 0.046 |
CashSettledSwaptionTest
![]() |
a_testSimplifiedLinear | 0.766 |
![]() |
b_testBasicPiterbarg | 0.996 |
![]() |
c_testMultiPiterbarg | 0.853 |
FPMLParserTest
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testGetSwapProductDescriptor | 0.058 |
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest
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testProductAADSensitivities | 0.211 |
BusinessdayCalendarTest
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testNycCalendar | 0.042 |
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testCreateDateFromDateAndOffsetCode | 0.039 |
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testCombinedCalendar | 0.017 |
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testTargetCalendar | 0 |
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testLondonCalendar | 0 |
BlackScholesDeltaHedgedPortfolioTest
![]() |
testHedgePerformance | 2.015 |
DepositTest
![]() |
testRateValueConsistency | 0.038 |
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testEvaluationTime | 0.001 |
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testDepositValue | 0.001 |
InterestRateSwapLegDescriptorTest
![]() |
testFloatLeg | 2.28 |
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testFixLeg | 1.113 |
FundingCapacityTest
![]() |
test | 0.034 |
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest
![]() |
test | 1.591 |
VarianceGammaModelDescriptorTest
![]() |
test | 36.66 |
NormalizingFunctionTest
![]() |
testExpectation | 0.07 |
ConstantMaturitySwapTest
![]() |
testSimplifiedLinear | 0.852 |
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testBasicPiterbarg | 1.406 |
![]() |
testMultiPiterbarg | 1.254 |
AnnuityDummyTest
![]() |
testSimplified | 0.451 |
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testBasic | 0.145 |
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testMulti | 0.137 |
SABRCubeParallelCalibrationTest
![]() |
testCalibration | 4.367 |
StaticCubeCalibrationTest
![]() |
testStaticCubeCalibration | 2.208 |
StochasticLevenbergMarquardtTest
![]() |
testBoothFunctionWithAnalyticDerivative | 0.099 |
![]() |
test | 0.112 |
AcceptanceRejectionRandomNumberGeneratorTest
![]() |
test | 0.698 |
DayCountConventionTest
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest
![]() |
testProductAADSensitivities | 0.379 |
MonteCarloBlackScholesModelSensitivitiesTest
![]() |
testProductAADSensitivities | 0.548 |
![]() |
testProductAADSensitivities | 0.498 |
![]() |
testProductAADSensitivities | 0.815 |
LIBORIndexMultiCurveTest
LevenbergMarquardtTest
![]() |
testMultiThreaddedOptimizer | 0.07 |
![]() |
testBoothFunctionWithAnalyticDerivative | 0.014 |
![]() |
testRosenbrockFunctionWithList | 0.004 |
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testBoothFunction | 0.006 |
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testRosenbrockFunction | 0.027 |
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testSmallLinearSystem | 0.008 |
CDSTest
![]() |
testCDS | 0.213 |
LinearAlgebraTest
SimpleCappedFlooredFloatingRateBondTest
![]() |
test | 2.581 |
![]() |
test | 1.658 |
CrossCurrencyLIBORMarketModelFromModelsTest
![]() |
testForeignBond | 7.017 |
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testProperties | 3.813 |
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testForeignCaplet | 6.196 |
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testForeignFRA | 6.234 |
FundingCapacityTest
TestCarrMadan
![]() |
test | 0.092 |
OptimizerFactoryTest
![]() |
testRosenbrockFunctionWithCMAES | 0.132 |
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testRosenbrockFunctionWithLevenbergMarquard | 0.01 |
AnnuityMappingTest
![]() |
a_testMappings | 0.004 |
![]() |
b_testSeq | 0.012 |
![]() |
c_testFirstDerivative | 0.002 |
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d_testSecondDerivative | 0.005 |
MonteCarloBlackScholesModelTest
![]() |
testDirectValuation | 0.094 |
![]() |
testProductImplementation | 0.028 |
BachelierModelMonteCarloValuationTest
![]() |
testEuropeanAsianBermudanOption | 0 |
skipped | ||
![]() |
testEuropeanAsianBermudanOption | 0 |
skipped | ||
![]() |
testEuropeanAsianBermudanOption | 0 |
skipped | ||
![]() |
testEuropeanAsianBermudanOption | 0 |
skipped | ||
![]() |
testModelRandomVariable | 0.194 |
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testModelRandomVariable | 0.08 |
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testModelRandomVariable | 0.056 |
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testModelRandomVariable | 0.047 |
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testEuropeanCallVega | 0.655 |
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testEuropeanCallVega | 0.294 |
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testEuropeanCallVega | 0.351 |
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testEuropeanCallVega | 0.339 |
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testEuropeanCallDelta | 0.316 |
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testEuropeanCallDelta | 0.259 |
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testEuropeanCallDelta | 0.332 |
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testEuropeanCallDelta | 0.339 |
![]() |
testEuropeanCall | 0.056 |
![]() |
testEuropeanCall | 0.053 |
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testEuropeanCall | 0.057 |
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testEuropeanCall | 0.062 |
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testModelProperties | 0.068 |
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testModelProperties | 0.069 |
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testModelProperties | 0.065 |
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testModelProperties | 0.07 |
ScheduleGeneratorTest
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testPeriodLength | 0.042 |
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testPeriodStartPeriodEnd | 0 |
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testScheduleGeneratorMetaData | 0.005 |
BiLinearInterpolationTest
![]() |
test | 0.157 |
CapletVolatilitiesTest
![]() |
testConversions | 0.115 |
VarianceGammaDaxCalibrationTest
![]() |
test | 1.243 |
CalibrationMultiCurveTest
![]() |
testMultiCurveCalibration | 0.989 |
DayCountConvention_30E_360_ISDATest
![]() |
testAssumingEndDateIsATerminationDate | 0.027 |
![]() |
testAssumingEndDateIsNotATerminationDate | 0.001 |
CMSOptionTest
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testCMSOption | 0.572 |
DeltaHedgedPortfolioWithAADTest
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testHedgePerformance | 8.212 |
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testHedgePerformance | 7.48 |
BlackScholesCallOptionTest
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test | 0.162 |
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testDigitalOption | 0.029 |
BachelierModelTest
SwaptionNormalTest
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testSwaption | 1.808 |
LIBORMarketModelCalibrationSmileTest
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testSwaptionSmileCalibration | 19.377 |
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest
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test | 0.815 |
CurveTest
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testCurveFitting | 0.086 |
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest
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test | 0.907 |
BlackScholesMonteCarloValuationTest
StochasticPathwiseLevenbergMarquardtTest
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testBoothFunctionWithAnalyticDerivative | 0.099 |
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test | 0.018 |
SABRCubeCalibrationTest
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testSABRCubeCalibration | 9.707 |
LIBORIndexTest
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest
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testProductAADSensitivities | 0.233 |
HullWhiteModelTest
RandomVariableDifferentiableAADPerformanceTest
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test | 1.483 |
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test | 1.283 |
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test | 1.775 |
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test | 1.69 |
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test | 1.245 |
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test | 1.148 |
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test | 2.204 |
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test | 1.156 |
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test | 1.705 |
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test | 1.132 |
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test | 1.453 |
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test | 1.155 |
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test | 19.937 |
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test | 4.438 |
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test | 20.441 |
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test | 4.205 |
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test | 15 |
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test | 3.6 |
NelsonSiegelSvenssonBondCalibrationTest
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testBondNSSCurveCalibration | 0.159 |
MertonModelTest
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test | 3.532 |
CapletVolatilitiesParametricCalibrationTest
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testVolatilityCalibration | 33.374 |
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testVolatilityCalibration | 53.496 |
ModelWithProductFactoryTest
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bsTest | 1.098 |
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hTest | 1.279 |
DiscountCurveNelsonSiegelSvenssonTest
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test | 0.012 |
SimpsonRealIntegratorTest
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testCos | 0.034 |
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testCubic | 0.002 |
ForwardAgreementWithFundingRequirementTest
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test | 0.46 |
CapletVolatilitiesParametricTest
DataTablesTest
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testTables | 0.162 |
HestonModelCallOptionTest
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test | 0.273 |
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test | 0.072 |
FloatingpointDateTest
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testLocalDateTime | 1.133 |
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test | 0.006 |
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testLocalDateLocalDateTimeConsistency | 0.003 |
SviVolatiltitySurfaceTest
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Test_noArbitrage | 0.053 |
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Test_calibration | 0.028 |
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Test_stickyness | 0.004 |
RandomVariableTest
HestonModelTest
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test | 1.916 |
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test | 1.492 |
LibraryTest
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testVersionString | 0.011 |
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testBuildString | 0 |
DisplacedLognomalModelTest
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testProductImplementation | 0.329 |
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testProductImplementation | 0.22 |
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testProductImplementation | 0.212 |
InterestRateProductTest
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testBond | 1.419 |
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testSwap | 0.788 |
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testSwaption | 1.155 |
DiscountCurveSerializationTest
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test | 0.066 |
AssetBlackScholesModelDescriptorTest
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test | 1.309 |
BarrierOptionsTest
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testDownAndInCall | 0.058 |
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testDownAndOutPut | 0.001 |
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testDownAndInPut | 0 |
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testUpAndInPut | 0.001 |
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testUpAndInCall | 0.001 |
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testUpAndOutPut | 0.002 |
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testUpAndOutCall | 0.001 |
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testDownAndOutCall | 0.001 |
LIBORMarketModelHierarchyTest
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testModelHierarchy | 2.377 |
SABRVolatilityCubeSharedParametersTest
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a_cubeATM | 0.035 |
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b_strikeSlices | 0.028 |
VarianceGammaCallOptionTest
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testMartingalePropertyMonteCarlo | 2.637 |
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test | 2.869 |
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testMartingaleProperty | 0.001 |
NelsonSiegelSvenssonCalibrationTest
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testCalibration | 0.278 |
ForwardCurveNelsonSiegelSvenssonTest
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test | 0.02 |
LIBORMarketModelMultiCurveValuationTest
MertonJumpDiffusionCallOptionTest
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testMartingalePropertyMonteCarlo | 1.744 |
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test | 1.925 |
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testMartingaleProperty | 0.002 |
EuropeanOptionVegaPathwiseTest
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test | 0.7 |
CalibrationTest
AnalyticFormulasTest
ConstantElasticityOfVarianceThetaTest
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testEuropeanCallOption | 0.732 |
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testEuropeanPutOption | 0.58 |
MonteCarloIntegratorTest
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testCos | 0.133 |
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testCubic | 0.048 |
MultiAssetBlackScholesModelTest
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testModelWithFactorLoadings | 2.627 |
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testModelWithCloneModifiedVolatility | 0.195 |
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testModelCloneWithModifiedSeed | 0.105 |
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testModelWithVolatilityAndCorrelation | 2.974 |
HestonModelDescriptorTest
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test | 1.593 |
TimeDiscretizationTest
Black76ModelTest
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Test_black76_impliedVolatility | 0.036 |
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Test_black76_formula | 0.001 |
SABRVolatilityCubeTest
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a_cubeATM | 0.049 |
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b_strikeSlices | 0.042 |
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c_testAccessPerformance | 0.164 |
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d_testAccessPerformanceOnNodes | 0.022 |
HullWhiteModelCalibrationTest
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testATMSwaptionCalibration | 1.259 |
BlackScholesThetaTest
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testEuropeanCallOption | 0.274 |
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testEuropeanPutOption | 0.12 |
SABRShiftedSmileCalibrationTest
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testCalibration | 1.59 |
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testSingleSmile | 0.064 |
TestCurvesFromLIBORModel
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testStochasticCurves | 0.92 |
LIBORMarketModelValuationTest
VarianceGammaTest
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testCharacteristicFunction | 1.583 |
Failure Details
[Summary] [Package List] [Test Cases]