Surefire Report
Summary
[Summary] [Package List] [Test Cases]
Tests | Errors | Failures | Skipped | Success Rate | Time |
---|---|---|---|---|---|
721 | 0 | 0 | 5 | 99.307% | 1,965.325 |
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% | 3.731 |
![]() |
LIBORMarketModelWithTenorRefinementCalibrationTest | 2 | 0 | 0 | 0 | 100% | 432.811 |
![]() |
LIBORMarketModelCalibrationSmileTest | 1 | 0 | 0 | 0 | 100% | 17.586 |
![]() |
HullWhiteModelTest | 9 | 0 | 0 | 0 | 100% | 14.65 |
![]() |
HullWhiteModelCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.562 |
net.finmath.climate.models.dice
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
DICEModelTest | 3 | 0 | 0 | 0 | 100% | 0.063 |
net.finmath.montecarlo.automaticdifferentiation
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.568 |
net.finmath.rootfinder
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
RootFindersTest | 1 | 0 | 0 | 0 | 100% | 0.02 |
net.finmath.singleswaprate.calibration
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
SABRCubeParallelCalibrationTest | 1 | 0 | 0 | 0 | 100% | 7.039 |
![]() |
StaticCubeCalibrationTest | 1 | 0 | 0 | 0 | 100% | 6.44 |
![]() |
SABRCubeCalibrationTest | 1 | 0 | 0 | 0 | 100% | 14.738 |
![]() |
SABRShiftedSmileCalibrationTest | 2 | 0 | 0 | 0 | 100% | 3.6 |
net.finmath.fouriermethod
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
BlackScholesCallOptionTest | 2 | 0 | 0 | 0 | 100% | 0.055 |
![]() |
VarianceGammaCallOptionTest | 3 | 0 | 0 | 0 | 100% | 4.132 |
![]() |
MertonJumpDiffusionCallOptionTest | 3 | 0 | 0 | 0 | 100% | 6.413 |
net.finmath.time.businessdaycalendar
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
BusinessdayCalendarTest | 5 | 0 | 0 | 0 | 100% | 0.032 |
net.finmath.marketdata.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
DepositTest | 3 | 0 | 0 | 0 | 100% | 0.018 |
net.finmath.equities
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
PdeOptionPricerTest | 8 | 0 | 0 | 0 | 100% | 0.582 |
![]() |
AffineDividendStreamTest | 2 | 0 | 0 | 0 | 100% | 0.02 |
![]() |
AnalyticOptionValuationTest | 2 | 0 | 0 | 0 | 100% | 0.035 |
![]() |
SviVolatiltitySurfaceTest | 3 | 0 | 0 | 0 | 100% | 0.039 |
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Black76ModelTest | 2 | 0 | 0 | 0 | 100% | 0.016 |
net.finmath.singleswaprate.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CashSettledSwaptionTest | 3 | 0 | 0 | 0 | 100% | 8.371 |
![]() |
ConstantMaturitySwapTest | 3 | 0 | 0 | 0 | 100% | 16.517 |
![]() |
AnnuityDummyTest | 3 | 0 | 0 | 0 | 100% | 0.299 |
net.finmath.singleswaprate.annuitymapping
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
NormalizingFunctionTest | 1 | 0 | 0 | 0 | 100% | 0.071 |
![]() |
AnnuityMappingTest | 4 | 0 | 0 | 0 | 100% | 0.082 |
net.finmath.montecarlo.hybridassetinterestrate
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest | 1 | 0 | 0 | 0 | 100% | 1.376 |
![]() |
CrossCurrencyLIBORMarketModelFromModelsTest | 4 | 0 | 0 | 0 | 100% | 40.216 |
net.finmath.fouriermethod.calibration
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
HestonDaxCalibrationTest | 1 | 0 | 0 | 0 | 100% | 1.361 |
![]() |
VarianceGammaDaxCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.953 |
net.finmath.time
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
DayCountConventionTest | 8 | 0 | 0 | 0 | 100% | 0.011 |
![]() |
ScheduleGeneratorTest | 3 | 0 | 0 | 0 | 100% | 0.019 |
![]() |
FloatingpointDateTest | 3 | 0 | 0 | 0 | 100% | 0.732 |
![]() |
TimeDiscretizationTest | 20 | 0 | 0 | 0 | 100% | 0.017 |
net.finmath.integration
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
PiecewiseContantDoubleUnaryOperatorTest | 5 | 0 | 0 | 0 | 100% | 0.007 |
![]() |
TrapezoidalRealIntegratorTest | 1 | 0 | 0 | 0 | 100% | 0.009 |
![]() |
SimpsonRealIntegratorTest | 2 | 0 | 0 | 0 | 100% | 0.012 |
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MonteCarloIntegratorTest | 2 | 0 | 0 | 0 | 100% | 0.111 |
net.finmath.stochastic
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
ScalarTest | 20 | 0 | 0 | 0 | 100% | 0.01 |
net.finmath.convexityadjustment
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CMSOptionTest | 1 | 0 | 0 | 0 | 100% | 0.301 |
net.finmath.modelling
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
LIBORMarketModelHierarchyTest | 1 | 0 | 0 | 0 | 100% | 1.507 |
net.finmath.marketdata.model.curves.locallinearregression
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CurveEstimationTest | 2 | 0 | 0 | 0 | 100% | 0.027 |
net.finmath.montecarlo.assetderivativevaluation.models
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
MultiAssetBlackScholesModelTest | 4 | 0 | 0 | 0 | 100% | 12.434 |
net.finmath.singleswaprate.model.volatilities
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
SABRVolatilityCubeSharedParametersTest | 2 | 0 | 0 | 0 | 100% | 0.098 |
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SABRVolatilityCubeTest | 4 | 0 | 0 | 0 | 100% | 0.145 |
net.finmath.optimizer
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
StochasticLevenbergMarquardtTest | 2 | 0 | 0 | 0 | 100% | 0.061 |
![]() |
LevenbergMarquardtTest | 6 | 0 | 0 | 0 | 100% | 0.047 |
![]() |
OptimizerFactoryTest | 2 | 0 | 0 | 0 | 100% | 0.053 |
![]() |
StochasticPathwiseLevenbergMarquardtTest | 2 | 0 | 0 | 0 | 100% | 0.043 |
net.finmath.montecarlo.automaticdifferentiation.backward
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
RandomVariableDifferentiableAADTest | 13 | 0 | 0 | 0 | 100% | 0.015 |
net.finmath.randomnumbers
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
AcceptanceRejectionRandomNumberGeneratorTest | 1 | 0 | 0 | 0 | 100% | 0.627 |
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HighEntropyRandomNumberGeneratorTest | 2 | 0 | 0 | 0 | 100% | 0.064 |
net.finmath.montecarlo.interestrate.products.components
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
ExposureTest | 2 | 0 | 0 | 0 | 100% | 17.531 |
![]() |
FundingCapacityTest | 1 | 0 | 0 | 0 | 100% | 0.015 |
net.finmath.marketdata.model.curves
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CalibrationMultiCurveTest | 1 | 0 | 0 | 0 | 100% | 0.664 |
![]() |
CurveTest | 1 | 0 | 0 | 0 | 100% | 0.035 |
![]() |
NelsonSiegelSvenssonBondCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.056 |
![]() |
DiscountCurveNelsonSiegelSvenssonTest | 1 | 0 | 0 | 0 | 100% | 0.007 |
![]() |
DiscountCurveSerializationTest | 1 | 0 | 0 | 0 | 100% | 0.029 |
![]() |
NelsonSiegelSvenssonCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.237 |
![]() |
ForwardCurveNelsonSiegelSvenssonTest | 1 | 0 | 0 | 0 | 100% | 0.01 |
net.finmath.time.daycount
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
DayCountConvention_30E_360Test | 1 | 0 | 0 | 0 | 100% | 0.01 |
![]() |
DayCountConvention_30E_360_ISDATest | 2 | 0 | 0 | 0 | 100% | 0.013 |
net.finmath.fouriermethod.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
TestCarrMadan | 1 | 0 | 0 | 0 | 100% | 0.032 |
net.finmath.information
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
LibraryTest | 2 | 0 | 0 | 0 | 100% | 0.006 |
net.finmath.montecarlo.interestrate.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
SwaptionAnalyticApproximationTest | 2 | 0 | 0 | 0 | 100% | 1.44 |
![]() |
SwapLegTest | 5 | 0 | 0 | 0 | 100% | 5.886 |
![]() |
SwaptionNormalTest | 1 | 0 | 0 | 0 | 100% | 0.717 |
![]() |
InterestRateProductTest | 3 | 0 | 0 | 0 | 100% | 3.268 |
net.finmath.modelling.descriptor
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
MertonModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 28.825 |
![]() |
InterestRateSwapLegDescriptorTest | 2 | 0 | 0 | 0 | 100% | 2.342 |
![]() |
VarianceGammaModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 28.077 |
![]() |
AssetBlackScholesModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 1.969 |
![]() |
HestonModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 2 |
net.finmath.montecarlo.assetderivativevaluation
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
InhomogenousBachelierModelMonteCarloValuationTest | 6 | 0 | 0 | 1 | 83.333% | 0.64 |
![]() |
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest | 2 | 0 | 0 | 0 | 100% | 17.943 |
![]() |
VarianceGammaModelTest | 1 | 0 | 0 | 0 | 100% | 2.071 |
![]() |
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.189 |
![]() |
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.392 |
![]() |
MonteCarloBlackScholesModelTest | 2 | 0 | 0 | 0 | 100% | 0.092 |
![]() |
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.186 |
![]() |
MertonModelTest | 1 | 0 | 0 | 0 | 100% | 6.096 |
net.finmath.montecarlo.interestrate.modelplugins
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest | 1 | 0 | 0 | 0 | 100% | 1.023 |
net.finmath.montecarlo.assetderivativevaluation.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
BlackScholesDeltaHedgedPortfolioTest | 1 | 0 | 0 | 0 | 100% | 2.127 |
![]() |
ForwardAgreementWithFundingRequirementTest | 1 | 0 | 0 | 0 | 100% | 0.203 |
![]() |
EuropeanOptionVegaPathwiseTest | 1 | 0 | 0 | 0 | 100% | 1.611 |
net.finmath.marketdata.model.volatilities
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CapletVolatilitiesTest | 1 | 0 | 0 | 0 | 100% | 0.042 |
![]() |
CapletVolatilitiesParametricTest | 5 | 0 | 0 | 0 | 100% | 0.068 |
net.finmath.modelling.productfactory
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
ModelWithProductFactoryTest | 2 | 0 | 0 | 0 | 100% | 3.748 |
net.finmath.finitedifference
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
ConstantElasticityOfVarianceThetaTest | 2 | 0 | 0 | 0 | 100% | 0.88 |
![]() |
BlackScholesThetaTest | 2 | 0 | 0 | 0 | 100% | 0.217 |
net.finmath.montecarlo
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
RandomVariableFromDoubleArrayTest | 9 | 0 | 0 | 0 | 100% | 0.02 |
![]() |
GammaProcessTest | 1 | 0 | 0 | 0 | 100% | 3.911 |
![]() |
VarianceGammaTest | 1 | 0 | 0 | 0 | 100% | 1.084 |
net.finmath.marketdata.model.cds
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
CDSTest | 1 | 0 | 0 | 0 | 100% | 0.06 |
net.finmath.singleswaprate.data
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
DataTablesTest | 1 | 0 | 0 | 0 | 100% | 0.046 |
net.finmath.analytic.model.curves.test
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
TestCurvesFromLIBORModel | 1 | 0 | 0 | 0 | 100% | 0.432 |
net.finmath.interpolation
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
BiLinearInterpolationTest | 1 | 0 | 0 | 0 | 100% | 0.034 |
net.finmath.functions
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
![]() |
NormalDistributionTest | 2 | 0 | 0 | 0 | 100% | 0.032 |
![]() |
JarqueBeraTestTest | 1 | 0 | 0 | 0 | 100% | 0.025 |
![]() |
LinearAlgebraTest | 6 | 0 | 0 | 0 | 100% | 0.026 |
![]() |
BachelierModelTest | 8 | 0 | 0 | 0 | 100% | 0.054 |
![]() |
BarrierOptionsTest | 8 | 0 | 0 | 0 | 100% | 0.031 |
![]() |
AnalyticFormulasTest | 11 | 0 | 0 | 0 | 100% | 4.514 |
Test Cases
[Summary] [Package List] [Test Cases]
PiecewiseContantDoubleUnaryOperatorTest
![]() |
testExceptions | 0.003 |
![]() |
testIntegralErrorCorrection | 0 |
![]() |
testValuation | 0 |
![]() |
testIntegralOfSquares | 0 |
![]() |
testIntegral | 0 |
CapValuationTest
![]() |
testCap | 3.729 |
NormalDistributionTest
![]() |
testCumulativeDistribution | 0.018 |
![]() |
testInverseCumulativeDistribution | 0.01 |
InhomogenousBachelierModelMonteCarloValuationTest
![]() |
testEuropeanAsianBermudanOption | 0 |
skipped | ||
![]() |
testModelRandomVariable | 0.076 |
![]() |
testEuropeanCallVega | 0.274 |
![]() |
testEuropeanCallDelta | 0.202 |
![]() |
testEuropeanCall | 0.035 |
![]() |
testModelProperties | 0.047 |
MertonModelDescriptorTest
![]() |
test | 28.821 |
DayCountConvention_30E_360Test
![]() |
test | 0.006 |
JarqueBeraTestTest
![]() |
test | 0.021 |
BrownianMotionTest
RandomVariableDifferentiableTypePriorityTest
RandomVariableFromDoubleArrayTest
![]() |
testAdd | 0.009 |
![]() |
testDiv | 0 |
![]() |
testGet | 0 |
![]() |
testApply | 0.001 |
![]() |
testMult | 0 |
![]() |
testSize | 0 |
![]() |
testAverage | 0.001 |
![]() |
testVariance | 0 |
![]() |
testGetRealizations | 0.001 |
RandomVariableDifferentiableArithmeticTest
SwaptionAnalyticApproximationTest
![]() |
testMultiCurveModel | 0.86 |
![]() |
testSingleCurveModel | 0.577 |
CalibrationTest
GammaProcessTest
![]() |
testScaling | 3.907 |
LIBORMarketModelNormalAADSensitivitiesTest
CurveEstimationTest
![]() |
testRegressionMatrix | 0.016 |
![]() |
testLinearInterpolation | 0.007 |
LIBORMarketModelCalibrationTest
![]() |
testATMSwaptionCalibration | 37.944 |
![]() |
testATMSwaptionCalibration | 4.568 |
![]() |
testATMSwaptionCalibration | 80.201 |
ScalarTest
PdeOptionPricerTest
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest
![]() |
testSensitivities | 7.027 |
![]() |
testProductAADSensitivities | 10.913 |
AffineDividendStreamTest
![]() |
Test_affineDividendConversion | 0.016 |
![]() |
Test_sorting | 0.001 |
RandomVariableDifferentiableAADTest
HestonDaxCalibrationTest
![]() |
test | 1.357 |
SwapLegTest
![]() |
testFloatLeg | 1.276 |
![]() |
testCMSSpreadLeg | 1.303 |
![]() |
testFixLeg | 0.938 |
![]() |
testLIBORInArrearsFloatLeg | 1.003 |
![]() |
testCMSFloatLeg | 1.361 |
FIPXMLParserTest
![]() |
testGetSwapProductDescriptor | 0.014 |
AnalyticOptionValuationTest
![]() |
Test_noArbitrage | 0.029 |
![]() |
Test_sensis | 0.003 |
RandomVariableDifferentiableTest
LIBORMarketModelCalibrationAADTest
![]() |
testATMSwaptionCalibration | 18.681 |
![]() |
testATMSwaptionCalibration | 62.763 |
DICEModelTest
![]() |
testTimeStep1Y | 0.046 |
![]() |
testTimeStep5Y | 0.003 |
![]() |
testTimeStep6M | 0.009 |
TrapezoidalRealIntegratorTest
![]() |
test | 0.006 |
LIBORMarketModelInterpolationTest
![]() |
testInterpolatedLastLIBOR | 9.814 |
![]() |
testInterpolatedLastLIBOR | 10.045 |
![]() |
testInterpolatedLastLIBOR | 9.585 |
ExposureTest
![]() |
testExpectedPositiveExposure | 9.865 |
![]() |
testAgainstSwaption | 7.662 |
VarianceGammaModelTest
![]() |
test | 2.068 |
RootFindersTest
![]() |
testRootFinders | 0.017 |
CashSettledSwaptionTest
![]() |
a_testSimplifiedLinear | 0.447 |
![]() |
b_testBasicPiterbarg | 3.973 |
![]() |
c_testMultiPiterbarg | 3.907 |
FPMLParserTest
![]() |
testGetSwapProductDescriptor | 0.024 |
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest
![]() |
testProductAADSensitivities | 0.187 |
BusinessdayCalendarTest
![]() |
testNycCalendar | 0.014 |
![]() |
testCreateDateFromDateAndOffsetCode | 0.01 |
![]() |
testCombinedCalendar | 0.003 |
![]() |
testTargetCalendar | 0.001 |
![]() |
testLondonCalendar | 0 |
BlackScholesDeltaHedgedPortfolioTest
![]() |
testHedgePerformance | 2.123 |
DepositTest
![]() |
testRateValueConsistency | 0.014 |
![]() |
testEvaluationTime | 0 |
![]() |
testDepositValue | 0 |
InterestRateSwapLegDescriptorTest
![]() |
testFloatLeg | 1.349 |
![]() |
testFixLeg | 0.988 |
FundingCapacityTest
![]() |
test | 0.01 |
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest
![]() |
test | 1.373 |
VarianceGammaModelDescriptorTest
![]() |
test | 28.073 |
NormalizingFunctionTest
![]() |
testExpectation | 0.023 |
ConstantMaturitySwapTest
![]() |
testSimplifiedLinear | 0.469 |
![]() |
testBasicPiterbarg | 8.067 |
![]() |
testMultiPiterbarg | 7.945 |
AnnuityDummyTest
![]() |
testSimplified | 0.119 |
![]() |
testBasic | 0.076 |
![]() |
testMulti | 0.066 |
SABRCubeParallelCalibrationTest
![]() |
testCalibration | 7.035 |
StaticCubeCalibrationTest
![]() |
testStaticCubeCalibration | 6.438 |
StochasticLevenbergMarquardtTest
![]() |
testBoothFunctionWithAnalyticDerivative | 0.034 |
![]() |
test | 0.023 |
AcceptanceRejectionRandomNumberGeneratorTest
![]() |
test | 0.624 |
DayCountConventionTest
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest
![]() |
testProductAADSensitivities | 0.388 |
MonteCarloBlackScholesModelSensitivitiesTest
![]() |
testProductAADSensitivities | 1.507 |
![]() |
testProductAADSensitivities | 1.443 |
![]() |
testProductAADSensitivities | 1.67 |
LIBORIndexMultiCurveTest
LevenbergMarquardtTest
![]() |
testMultiThreaddedOptimizer | 0.028 |
![]() |
testBoothFunctionWithAnalyticDerivative | 0.006 |
![]() |
testRosenbrockFunctionWithList | 0.002 |
![]() |
testBoothFunction | 0.003 |
![]() |
testRosenbrockFunction | 0.004 |
![]() |
testSmallLinearSystem | 0.001 |
CDSTest
![]() |
testCDS | 0.056 |
LinearAlgebraTest
SimpleCappedFlooredFloatingRateBondTest
![]() |
test | 3.556 |
![]() |
test | 3.364 |
CrossCurrencyLIBORMarketModelFromModelsTest
![]() |
testForeignBond | 11.689 |
![]() |
testProperties | 6.479 |
![]() |
testForeignCaplet | 10.943 |
![]() |
testForeignFRA | 11.101 |
FundingCapacityTest
TestCarrMadan
![]() |
test | 0.029 |
OptimizerFactoryTest
![]() |
testRosenbrockFunctionWithCMAES | 0.046 |
![]() |
testRosenbrockFunctionWithLevenbergMarquard | 0.004 |
AnnuityMappingTest
![]() |
a_testMappings | 0.003 |
![]() |
b_testSeq | 0.003 |
![]() |
c_testFirstDerivative | 0.002 |
![]() |
d_testSecondDerivative | 0.001 |
MonteCarloBlackScholesModelTest
![]() |
testDirectValuation | 0.053 |
![]() |
testProductImplementation | 0.037 |
BachelierModelMonteCarloValuationTest
![]() |
testEuropeanAsianBermudanOption | 0 |
skipped | ||
![]() |
testEuropeanAsianBermudanOption | 0 |
skipped | ||
![]() |
testEuropeanAsianBermudanOption | 0 |
skipped | ||
![]() |
testEuropeanAsianBermudanOption | 0 |
skipped | ||
![]() |
testModelRandomVariable | 0.078 |
![]() |
testModelRandomVariable | 0.045 |
![]() |
testModelRandomVariable | 0.033 |
![]() |
testModelRandomVariable | 0.031 |
![]() |
testEuropeanCallVega | 0.242 |
![]() |
testEuropeanCallVega | 0.216 |
![]() |
testEuropeanCallVega | 0.188 |
![]() |
testEuropeanCallVega | 0.191 |
![]() |
testEuropeanCallDelta | 0.163 |
![]() |
testEuropeanCallDelta | 0.192 |
![]() |
testEuropeanCallDelta | 0.168 |
![]() |
testEuropeanCallDelta | 0.179 |
![]() |
testEuropeanCall | 0.045 |
![]() |
testEuropeanCall | 0.032 |
![]() |
testEuropeanCall | 0.033 |
![]() |
testEuropeanCall | 0.034 |
![]() |
testModelProperties | 0.047 |
![]() |
testModelProperties | 0.047 |
![]() |
testModelProperties | 0.046 |
![]() |
testModelProperties | 0.094 |
ScheduleGeneratorTest
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testPeriodLength | 0.013 |
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testPeriodStartPeriodEnd | 0.001 |
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testScheduleGeneratorMetaData | 0.001 |
BiLinearInterpolationTest
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test | 0.03 |
CapletVolatilitiesTest
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testConversions | 0.039 |
VarianceGammaDaxCalibrationTest
![]() |
test | 0.949 |
CalibrationMultiCurveTest
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testMultiCurveCalibration | 0.66 |
DayCountConvention_30E_360_ISDATest
![]() |
testAssumingEndDateIsATerminationDate | 0.008 |
![]() |
testAssumingEndDateIsNotATerminationDate | 0 |
CMSOptionTest
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testCMSOption | 0.297 |
DeltaHedgedPortfolioWithAADTest
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testHedgePerformance | 6.941 |
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testHedgePerformance | 6.268 |
BlackScholesCallOptionTest
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test | 0.038 |
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testDigitalOption | 0.013 |
BachelierModelTest
SwaptionNormalTest
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testSwaption | 0.713 |
LIBORMarketModelWithTenorRefinementCalibrationTest
![]() |
testSwaptionSmileCalibration | 201.974 |
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testATMSwaptionCalibration | 230.833 |
LIBORMarketModelCalibrationSmileTest
![]() |
testSwaptionSmileCalibration | 17.584 |
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest
![]() |
test | 1.02 |
CurveTest
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testCurveFitting | 0.031 |
HighEntropyRandomNumberGeneratorTest
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distributionTest | 0.032 |
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testRNGWithConcurrency | 0.028 |
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest
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test | 0.565 |
BlackScholesMonteCarloValuationTest
StochasticPathwiseLevenbergMarquardtTest
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testBoothFunctionWithAnalyticDerivative | 0.034 |
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test | 0.004 |
SABRCubeCalibrationTest
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testSABRCubeCalibration | 14.735 |
LIBORIndexTest
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest
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testProductAADSensitivities | 0.183 |
HullWhiteModelTest
RandomVariableDifferentiableAADPerformanceTest
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test | 1.244 |
![]() |
test | 1.159 |
![]() |
test | 5.526 |
![]() |
test | 4.492 |
![]() |
test | 1.13 |
![]() |
test | 1.082 |
![]() |
test | 1.646 |
![]() |
test | 1.119 |
![]() |
test | 1.392 |
![]() |
test | 1.098 |
![]() |
test | 1.249 |
![]() |
test | 1.074 |
![]() |
test | 58.076 |
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test | 12.917 |
![]() |
test | 59.732 |
![]() |
test | 13.358 |
![]() |
test | 42.39 |
![]() |
test | 8.7 |
NelsonSiegelSvenssonBondCalibrationTest
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testBondNSSCurveCalibration | 0.052 |
MertonModelTest
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test | 6.094 |
CapletVolatilitiesParametricCalibrationTest
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testVolatilityCalibration | 50.035 |
![]() |
testVolatilityCalibration | 86.109 |
ModelWithProductFactoryTest
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bsTest | 1.884 |
![]() |
hTest | 1.861 |
DiscountCurveNelsonSiegelSvenssonTest
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test | 0.003 |
SimpsonRealIntegratorTest
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testCos | 0.009 |
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testCubic | 0.001 |
ForwardAgreementWithFundingRequirementTest
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test | 0.196 |
CapletVolatilitiesParametricTest
DataTablesTest
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testTables | 0.041 |
HestonModelCallOptionTest
![]() |
test | 0.075 |
![]() |
test | 0.032 |
FloatingpointDateTest
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testLocalDateTime | 0.725 |
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test | 0.001 |
![]() |
testLocalDateLocalDateTimeConsistency | 0.001 |
SviVolatiltitySurfaceTest
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Test_noArbitrage | 0.019 |
![]() |
Test_calibration | 0.015 |
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Test_stickyness | 0.001 |
RandomVariableTest
HestonModelTest
![]() |
test | 3.316 |
![]() |
test | 3.176 |
LibraryTest
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testVersionString | 0.002 |
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testBuildString | 0 |
DisplacedLognomalModelTest
![]() |
testProductImplementation | 0.412 |
![]() |
testProductImplementation | 0.348 |
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testProductImplementation | 0.399 |
InterestRateProductTest
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testBond | 1.158 |
![]() |
testSwap | 1.008 |
![]() |
testSwaption | 1.097 |
DiscountCurveSerializationTest
![]() |
test | 0.025 |
AssetBlackScholesModelDescriptorTest
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test | 1.966 |
BarrierOptionsTest
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testDownAndInCall | 0.024 |
![]() |
testDownAndOutPut | 0.001 |
![]() |
testDownAndInPut | 0 |
![]() |
testUpAndInPut | 0.001 |
![]() |
testUpAndInCall | 0 |
![]() |
testUpAndOutPut | 0.001 |
![]() |
testUpAndOutCall | 0 |
![]() |
testDownAndOutCall | 0.001 |
LIBORMarketModelHierarchyTest
![]() |
testModelHierarchy | 1.504 |
SABRVolatilityCubeSharedParametersTest
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a_cubeATM | 0.009 |
![]() |
b_strikeSlices | 0.007 |
VarianceGammaCallOptionTest
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testMartingalePropertyMonteCarlo | 2.04 |
![]() |
test | 2.088 |
![]() |
testMartingaleProperty | 0.001 |
NelsonSiegelSvenssonCalibrationTest
![]() |
testCalibration | 0.233 |
ForwardCurveNelsonSiegelSvenssonTest
![]() |
test | 0.006 |
LIBORMarketModelMultiCurveValuationTest
MertonJumpDiffusionCallOptionTest
![]() |
testMartingalePropertyMonteCarlo | 3.171 |
![]() |
test | 3.239 |
![]() |
testMartingaleProperty | 0.001 |
EuropeanOptionVegaPathwiseTest
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test | 1.607 |
CalibrationTest
AnalyticFormulasTest
ConstantElasticityOfVarianceThetaTest
![]() |
testEuropeanCallOption | 0.473 |
![]() |
testEuropeanPutOption | 0.403 |
MonteCarloIntegratorTest
![]() |
testCos | 0.08 |
![]() |
testCubic | 0.027 |
MultiAssetBlackScholesModelTest
![]() |
testModelWithFactorLoadings | 6.011 |
![]() |
testModelWithCloneModifiedVolatility | 0.448 |
![]() |
testModelCloneWithModifiedSeed | 0.19 |
![]() |
testModelWithVolatilityAndCorrelation | 5.78 |
HestonModelDescriptorTest
![]() |
test | 1.996 |
TimeDiscretizationTest
Black76ModelTest
![]() |
Test_black76_impliedVolatility | 0.012 |
![]() |
Test_black76_formula | 0 |
SABRVolatilityCubeTest
![]() |
a_cubeATM | 0.014 |
![]() |
b_strikeSlices | 0.009 |
![]() |
c_testAccessPerformance | 0.04 |
![]() |
d_testAccessPerformanceOnNodes | 0.008 |
HullWhiteModelCalibrationTest
![]() |
testATMSwaptionCalibration | 0.559 |
BlackScholesThetaTest
![]() |
testEuropeanCallOption | 0.138 |
![]() |
testEuropeanPutOption | 0.076 |
SABRShiftedSmileCalibrationTest
![]() |
testCalibration | 3.547 |
![]() |
testSingleSmile | 0.018 |
TestCurvesFromLIBORModel
![]() |
testStochasticCurves | 0.428 |
LIBORMarketModelValuationTest
VarianceGammaTest
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testCharacteristicFunction | 1.081 |
Failure Details
[Summary] [Package List] [Test Cases]