Surefire Report

Summary

[Summary] [Package List] [Test Cases]

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

Package List

[Summary] [Package List] [Test Cases]

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

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BrownianMotionTest	20	0	0	0	100%	86.115
	RandomVariableDifferentiableTypePriorityTest	16	0	0	0	100%	0.041
	RandomVariableDifferentiableArithmeticTest	20	0	0	0	100%	0.04
	CalibrationTest	12	0	0	0	100%	0.376
	LIBORMarketModelNormalAADSensitivitiesTest	15	0	0	0	100%	49.611
	LIBORMarketModelCalibrationTest	3	0	0	0	100%	173.088
	FIPXMLParserTest	1	0	0	0	100%	0.045
	RandomVariableDifferentiableTest	52	0	0	0	100%	18.002
	LIBORMarketModelCalibrationAADTest	2	0	0	0	100%	104.111
	LIBORMarketModelInterpolationTest	3	0	0	0	100%	9.914
	FPMLParserTest	1	0	0	0	100%	0.058
	MonteCarloBlackScholesModelSensitivitiesTest	3	0	0	0	100%	1.861
	LIBORIndexMultiCurveTest	6	0	0	0	100%	16.58
	SimpleCappedFlooredFloatingRateBondTest	2	0	0	0	100%	4.239
	FundingCapacityTest	14	0	0	0	100%	36.597
	BachelierModelMonteCarloValuationTest	24	0	0	4	83.333%	3.762
	DeltaHedgedPortfolioWithAADTest	2	0	0	0	100%	15.692
	BlackScholesMonteCarloValuationTest	24	0	0	0	100%	4.676
	LIBORIndexTest	60	0	0	0	100%	55.409
	RandomVariableDifferentiableAADPerformanceTest	18	0	0	0	100%	85.05
	CapletVolatilitiesParametricCalibrationTest	2	0	0	0	100%	86.87
	HestonModelCallOptionTest	2	0	0	0	100%	0.345
	RandomVariableTest	55	0	0	0	100%	21.742
	HestonModelTest	2	0	0	0	100%	3.408
	DisplacedLognomalModelTest	3	0	0	0	100%	0.761
	LIBORMarketModelMultiCurveValuationTest	14	0	0	0	100%	36.611
	CalibrationTest	6	0	0	0	100%	0.301
	LIBORMarketModelValuationTest	40	0	0	0	100%	37.302

net.finmath.montecarlo.interestrate

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CapValuationTest	1	0	0	0	100%	2.701
	LIBORMarketModelCalibrationSmileTest	1	0	0	0	100%	19.386
	HullWhiteModelTest	9	0	0	0	100%	8.009
	HullWhiteModelCalibrationTest	1	0	0	0	100%	1.271

net.finmath.climate.models.dice

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DICEModelTest	3	0	0	0	100%	0.512

net.finmath.montecarlo.automaticdifferentiation

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest	1	0	0	0	100%	0.918

net.finmath.rootfinder

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	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
	StaticCubeCalibrationTest	1	0	0	0	100%	2.221
	SABRCubeCalibrationTest	1	0	0	0	100%	9.718
	SABRShiftedSmileCalibrationTest	2	0	0	0	100%	1.749

net.finmath.fouriermethod

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BlackScholesCallOptionTest	2	0	0	0	100%	0.201
	VarianceGammaCallOptionTest	3	0	0	0	100%	5.517
	MertonJumpDiffusionCallOptionTest	3	0	0	0	100%	3.682

net.finmath.time.businessdaycalendar

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	BusinessdayCalendarTest	5	0	0	0	100%	0.112

net.finmath.marketdata.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DepositTest	3	0	0	0	100%	0.05

net.finmath.equities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	PdeOptionPricerTest	8	0	0	0	100%	1.067
	AffineDividendStreamTest	2	0	0	0	100%	0.054
	AnalyticOptionValuationTest	2	0	0	0	100%	0.093
	SviVolatiltitySurfaceTest	3	0	0	0	100%	0.097
	Black76ModelTest	2	0	0	0	100%	0.048

net.finmath.singleswaprate.products

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	CashSettledSwaptionTest	3	0	0	0	100%	2.737
	ConstantMaturitySwapTest	3	0	0	0	100%	3.619
	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
	AnnuityMappingTest	4	0	0	0	100%	0.179

net.finmath.montecarlo.hybridassetinterestrate

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	HybridAssetLIBORModelMonteCarloSimulationFromModelsTest	1	0	0	0	100%	1.601
	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
	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
	ScheduleGeneratorTest	3	0	0	0	100%	0.06
	FloatingpointDateTest	3	0	0	0	100%	1.154
	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
	TrapezoidalRealIntegratorTest	1	0	0	0	100%	0.028
	SimpsonRealIntegratorTest	2	0	0	0	100%	0.046
	MonteCarloIntegratorTest	2	0	0	0	100%	0.191

net.finmath.stochastic

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ScalarTest	20	0	0	0	100%	0.028

net.finmath.convexityadjustment

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	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
	CurveEstimationTest	2	0	0	0	100%	0.906

net.finmath.montecarlo.assetderivativevaluation.models

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	MultiAssetBlackScholesModelTest	4	0	0	0	100%	5.933

net.finmath.singleswaprate.model.volatilities

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	SABRVolatilityCubeSharedParametersTest	2	0	0	0	100%	0.325
	SABRVolatilityCubeTest	4	0	0	0	100%	0.535

net.finmath.optimizer

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	StochasticLevenbergMarquardtTest	2	0	0	0	100%	0.224
	LevenbergMarquardtTest	6	0	0	0	100%	0.152
	OptimizerFactoryTest	2	0	0	0	100%	0.154
	StochasticPathwiseLevenbergMarquardtTest	2	0	0	0	100%	0.126

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%	0.709

net.finmath.montecarlo.interestrate.products.components

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	ExposureTest	2	0	0	0	100%	9.087
	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
	CurveTest	1	0	0	0	100%	0.095
	NelsonSiegelSvenssonBondCalibrationTest	1	0	0	0	100%	0.169
	DiscountCurveNelsonSiegelSvenssonTest	1	0	0	0	100%	0.02
	DiscountCurveSerializationTest	1	0	0	0	100%	0.077
	NelsonSiegelSvenssonCalibrationTest	1	0	0	0	100%	0.287
	ForwardCurveNelsonSiegelSvenssonTest	1	0	0	0	100%	0.03

net.finmath.time.daycount

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	DayCountConvention_30E_360Test	1	0	0	0	100%	0.03
	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%	0.102

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
	SwapLegTest	5	0	0	0	100%	6.164
	SwaptionNormalTest	1	0	0	0	100%	1.818
	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
	InterestRateSwapLegDescriptorTest	2	0	0	0	100%	3.407
	VarianceGammaModelDescriptorTest	1	0	0	0	100%	36.669
	AssetBlackScholesModelDescriptorTest	1	0	0	0	100%	1.32
	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
	MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest	2	0	0	0	100%	4.495
	VarianceGammaModelTest	1	0	0	0	100%	2.674
	MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest	1	0	0	0	100%	0.222
	MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest	1	0	0	0	100%	0.389
	MonteCarloBlackScholesModelTest	2	0	0	0	100%	0.131
	MonteCarloBlackScholesModelAsianOptionSensitivitiesTest	1	0	0	0	100%	0.244
	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
	ForwardAgreementWithFundingRequirementTest	1	0	0	0	100%	0.474
	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
	CapletVolatilitiesParametricTest	5	0	0	0	100%	0.274

net.finmath.modelling.productfactory

	Class	Tests	Errors	Failures	Skipped	Success Rate	Time
	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
	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
	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
	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
	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
	JarqueBeraTestTest	1	0	0	0	100%	0.052
	LinearAlgebraTest	6	0	0	0	100%	0.067
	BachelierModelTest	8	0	0	0	100%	0.166
	BarrierOptionsTest	8	0	0	0	100%	0.078
	AnalyticFormulasTest	11	0	0	0	100%	2.974

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

	testExceptions	0.011
	testIntegralErrorCorrection	0.001
	testValuation	0.001
	testIntegralOfSquares	0
	testIntegral	0

CapValuationTest

testCap

2.691

NormalDistributionTest

	testCumulativeDistribution	0.089
	testInverseCumulativeDistribution	0.048

InhomogenousBachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.171
	testEuropeanCallVega	0.637
	testEuropeanCallDelta	0.408
	testEuropeanCall	0.07
	testModelProperties	0.071

MertonModelDescriptorTest

test

15.807

DayCountConvention_30E_360Test

test

0.023

JarqueBeraTestTest

test

0.043

BrownianMotionTest

	testBrownianIncrementSquaredDrift	3.076
	testBrownianIncrementSquaredDrift	3.578
	testBrownianIncrementSquaredDrift	3.454
	testBrownianIncrementSquaredDrift	3.388
	testSerialization	0.069
	testSerialization	0.027
	testSerialization	0.037
	testSerialization	0.029
	testScalarValuedBrownianMotionTerminalDistribution	5.467
	testScalarValuedBrownianMotionTerminalDistribution	4.481
	testScalarValuedBrownianMotionTerminalDistribution	5.246
	testScalarValuedBrownianMotionTerminalDistribution	5.128
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.448
	testScalarValuedBrownianMotionWithJarqueBeraTest	3.175
	testScalarValuedBrownianMotionWithJarqueBeraTest	2.173
	testScalarValuedBrownianMotionWithJarqueBeraTest	1.974
	testDensity	10.815
	testDensity	10.607
	testDensity	10.492
	testDensity	10.451

RandomVariableDifferentiableTypePriorityTest

	testTypePriorityAdd	0.028
	testTypePriorityAdd	0.001
	testTypePriorityAdd	0.005
	testTypePriorityAdd	0.001
	testTypePriorityCap	0.002
	testTypePriorityCap	0
	testTypePriorityCap	0
	testTypePriorityCap	0
	testTypePriorityMult	0
	testTypePriorityMult	0
	testTypePriorityMult	0.001
	testTypePriorityMult	0
	testTypePriorityFloor	0
	testTypePriorityFloor	0.001
	testTypePriorityFloor	0
	testTypePriorityFloor	0.002

RandomVariableDifferentiableArithmeticTest

	testArithmeticExpLog	0.023
	testArithmeticExpLog	0.001
	testArithmeticExpLog	0.006
	testArithmeticExpLog	0.001
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtMultSqrt	0.001
	testArithmeticSqrtMultSqrt	0
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0
	testArithmeticSqrtSquared	0.001
	testArithmeticSqrtSquared	0.001
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0.001
	testArithmeticDivSelf	0
	testArithmeticDivSelf	0
	testArithmeticSubSelf	0
	testArithmeticSubSelf	0.001
	testArithmeticSubSelf	0.001
	testArithmeticSubSelf	0

SwaptionAnalyticApproximationTest

	testMultiCurveModel	1.595
	testSingleCurveModel	0.674

CalibrationTest

	testCurvesAndCalibration	0.185
	testCurvesAndCalibration	0.053
	testCurvesAndCalibration	0.053
	testCurvesAndCalibration	0.035
	testCurvesAndCalibration	0.018
	testCurvesAndCalibration	0.015
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.005
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.003
	testForwardCurveFromDiscountCurve	0.001

GammaProcessTest

testScaling

5.369

LIBORMarketModelNormalAADSensitivitiesTest

	testDelta	4.199
	testDelta	2.933
	testDelta	3.628
	testDelta	3.569
	testDelta	4.441
	testVega	3.773
	testVega	3.465
	testVega	3.741
	testVega	4.151
	testVega	5.211
	testGenericDelta	1.788
	testGenericDelta	1.508
	testGenericDelta	1.822
	testGenericDelta	2.108
	testGenericDelta	3.274

CurveEstimationTest

	testRegressionMatrix	0.873
	testLinearInterpolation	0.019

LIBORMarketModelCalibrationTest

	testATMSwaptionCalibration	53.663
	testATMSwaptionCalibration	5.703
	testATMSwaptionCalibration	113.722

ScalarTest

	testAbs	0.01
	testAdd	0
	testCap	0
	testDiv	0
	testSub	0
	testSubRatio	0
	testFloor	0.001
	testIsNaN	0
	testMult	0
	testSqrt	0
	testArrayOf	0.001
	testAddRatio	0
	testGetAverage	0
	testAddProduct	0
	testDiscount	0
	testAccrue	0.001
	testChoose	0
	testEquals	0
	testInvert	0.001
	testSquared	0

PdeOptionPricerTest

	Test_pricer_american	0.23
	Test_noArbitrage	0.035
	Test_pricer_americanCall	0.032
	Test_pricer_european	0.026
	Test_europeanSensis	0.016
	Test_pricer_americanPut	0.022
	Test_impliedVol	0.165
	Test_pricer_lv	0.521

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

	testSensitivities	2.159
	testProductAADSensitivities	2.318

AffineDividendStreamTest

	Test_affineDividendConversion	0.045
	Test_sorting	0.001

RandomVariableDifferentiableAADTest

	testSecondOrderDerivative	0.027
	testOperatorMult1	0.001
	testOperatorMult2	0
	testVariance	0.002
	testOperatorExp	0.001
	testOperatorLog	0
	testExpectation	0
	testOperatorAdd1	0.001
	testOperatorAdd2	0
	testOperatorDiv1	0
	testOperatorDiv2	0
	testOperatorSub1	0
	testOperatorSub2	0.001

HestonDaxCalibrationTest

test

1.763

SwapLegTest

	testFloatLeg	2.157
	testCMSSpreadLeg	1.227
	testFixLeg	0.718
	testLIBORInArrearsFloatLeg	0.765
	testCMSFloatLeg	1.267

FIPXMLParserTest

testGetSwapProductDescriptor

0.045

AnalyticOptionValuationTest

	Test_noArbitrage	0.074
	Test_sensis	0.008

RandomVariableDifferentiableTest

	testRandomVariableExpectation	0.104
	testRandomVariableExpectation	0.012
	testRandomVariableExpectation	0.013
	testRandomVariableExpectation	0.011
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient2	0.003
	testRandomVariableSimpleGradient2	0.002
	testRandomVariableSimpleGradient2	0.001
	testRandomVariableSimpleGradient	0.001
	testRandomVariableSimpleGradient	0.001
	testRandomVariableSimpleGradient	0.001
	testRandomVariableSimpleGradient	0.001
	testRandomVariableGradientBiggerSum	1.013
	testRandomVariableGradientBiggerSum	0.367
	testRandomVariableGradientBiggerSum	0.672
	testRandomVariableGradientBiggerSum	0.328
	testRandomVariableGradientBigSumWithConstants	0.195
	testRandomVariableGradientBigSumWithConstants	0.072
	testRandomVariableGradientBigSumWithConstants	0.069
	testRandomVariableGradientBigSumWithConstants	0.046
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.002
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableStandardDeviation	0.001
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableGradientBigSum2	0.1
	testRandomVariableGradientBigSum2	0.016
	testRandomVariableGradientBigSum2	0.03
	testRandomVariableGradientBigSum2	0.016
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0
	testRandomVariableGradientBigSum	0.13
	testRandomVariableGradientBigSum	0.035
	testRandomVariableGradientBigSum	0.066
	testRandomVariableGradientBigSum	0.033
	testRandomVariableStochastic	0.003
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	3.667
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	3.747
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	3.54
	testRandomVariableDifferentiableInterfaceVsFiniteDifferences	3.69
	testRandomVariableDeterministc	0.002
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0.001

LIBORMarketModelCalibrationAADTest

	testATMSwaptionCalibration	28.104
	testATMSwaptionCalibration	76.007

DICEModelTest

	testTimeStep1Y	0.216
	testTimeStep5Y	0.036
	testTimeStep6M	0.239

TrapezoidalRealIntegratorTest

test

0.02

LIBORMarketModelInterpolationTest

	testInterpolatedLastLIBOR	3.222
	testInterpolatedLastLIBOR	2.837
	testInterpolatedLastLIBOR	3.855

ExposureTest

	testExpectedPositiveExposure	5.488
	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

testGetSwapProductDescriptor

0.058

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities

0.211

BusinessdayCalendarTest

	testNycCalendar	0.042
	testCreateDateFromDateAndOffsetCode	0.039
	testCombinedCalendar	0.017
	testTargetCalendar	0
	testLondonCalendar	0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance

2.015

DepositTest

	testRateValueConsistency	0.038
	testEvaluationTime	0.001
	testDepositValue	0.001

InterestRateSwapLegDescriptorTest

	testFloatLeg	2.28
	testFixLeg	1.113

FundingCapacityTest

test

0.034

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

test

1.591

VarianceGammaModelDescriptorTest

test

36.66

NormalizingFunctionTest

testExpectation

0.07

ConstantMaturitySwapTest

	testSimplifiedLinear	0.852
	testBasicPiterbarg	1.406
	testMultiPiterbarg	1.254

AnnuityDummyTest

	testSimplified	0.451
	testBasic	0.145
	testMulti	0.137

SABRCubeParallelCalibrationTest

testCalibration

4.367

StaticCubeCalibrationTest

testStaticCubeCalibration

2.208

StochasticLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.099
	test	0.112

AcceptanceRejectionRandomNumberGeneratorTest

test

0.698

DayCountConventionTest

	testDayCountConvention_30E_360	0.009
	testDayCountConvention_ACT_360	0.001
	testDayCountConvention_ACT_365	0
	testDayCountConventionAdditivity_ACT_ACT_ICMA	0.003
	testDayCountConventionAdditivity_ACT_ACT_ISDA	0.001
	testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA	0
	testDayCountConvention_ACT_ACT_ISDA	0
	testDayCountConvention_ACT_ACT_YEARFRAC	0.001

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities

0.379

MonteCarloBlackScholesModelSensitivitiesTest

	testProductAADSensitivities	0.548
	testProductAADSensitivities	0.498
	testProductAADSensitivities	0.815

LIBORIndexMultiCurveTest

	testFRAMonteCarloVersusAnalytic	3.056
	testFRAMonteCarloVersusAnalytic	2.014
	testFRAMonteCarloVersusAnalytic	4.067
	testFRAMonteCarloVersusAnalytic	1.027
	testFRAMonteCarloVersusAnalytic	2.189
	testFRAMonteCarloVersusAnalytic	4.227

LevenbergMarquardtTest

	testMultiThreaddedOptimizer	0.07
	testBoothFunctionWithAnalyticDerivative	0.014
	testRosenbrockFunctionWithList	0.004
	testBoothFunction	0.006
	testRosenbrockFunction	0.027
	testSmallLinearSystem	0.008

CDSTest

testCDS

0.213

LinearAlgebraTest

	testSolveLinearEquationLeastSquarePseudoInverse0	0.046
	testSolveLinearEquationLeastSquarePseudoInverse1	0
	testSolveLinearEquationLeastSquarePseudoInverse2	0
	testSolveLinearEquationLeastSquarePseudoInverse3	0.001
	testMatrixPowerNonSymmetric	0.007
	testMatrixPowerSymmetric	0.003

SimpleCappedFlooredFloatingRateBondTest

	test	2.581
	test	1.658

CrossCurrencyLIBORMarketModelFromModelsTest

	testForeignBond	7.017
	testProperties	3.813
	testForeignCaplet	6.196
	testForeignFRA	6.234

FundingCapacityTest

	testBond	2.732
	testBond	1.442
	testSwap	1.744
	testSwap	1.826
	testSwaptionSmile	1.5
	testSwaptionSmile	1.472
	testSwaption	1.584
	testSwaption	1.382
	testDigitalCaplet	1.411
	testDigitalCaplet	1.407
	testCaplet	1.34
	testCaplet	1.625
	testSwaptionCalibration	9.08
	testSwaptionCalibration	8.052

TestCarrMadan

test

0.092

OptimizerFactoryTest

	testRosenbrockFunctionWithCMAES	0.132
	testRosenbrockFunctionWithLevenbergMarquard	0.01

AnnuityMappingTest

	a_testMappings	0.004
	b_testSeq	0.012
	c_testFirstDerivative	0.002
	d_testSecondDerivative	0.005

MonteCarloBlackScholesModelTest

	testDirectValuation	0.094
	testProductImplementation	0.028

BachelierModelMonteCarloValuationTest

	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testEuropeanAsianBermudanOption + - [ Detail ]	0
	skipped
	testModelRandomVariable	0.194
	testModelRandomVariable	0.08
	testModelRandomVariable	0.056
	testModelRandomVariable	0.047
	testEuropeanCallVega	0.655
	testEuropeanCallVega	0.294
	testEuropeanCallVega	0.351
	testEuropeanCallVega	0.339
	testEuropeanCallDelta	0.316
	testEuropeanCallDelta	0.259
	testEuropeanCallDelta	0.332
	testEuropeanCallDelta	0.339
	testEuropeanCall	0.056
	testEuropeanCall	0.053
	testEuropeanCall	0.057
	testEuropeanCall	0.062
	testModelProperties	0.068
	testModelProperties	0.069
	testModelProperties	0.065
	testModelProperties	0.07

ScheduleGeneratorTest

	testPeriodLength	0.042
	testPeriodStartPeriodEnd	0
	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

testCMSOption

0.572

DeltaHedgedPortfolioWithAADTest

	testHedgePerformance	8.212
	testHedgePerformance	7.48

BlackScholesCallOptionTest

	test	0.162
	testDigitalOption	0.029

BachelierModelTest

	testInhomogeneousImpliedVolatility	0.11
	testHomogeneousRandomVariableImplementations	0.005
	testDelta	0.01
	testVega	0.001
	testInhomogeneousRandomVariableImplementations	0
	testInhomogenousDelta	0.003
	testInhomogenousVega	0.007
	testImpliedVolatility	0.013

SwaptionNormalTest

testSwaption

1.808

LIBORMarketModelCalibrationSmileTest

testSwaptionSmileCalibration

19.377

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test

0.815

CurveTest

testCurveFitting

0.086

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test

0.907

BlackScholesMonteCarloValuationTest

	testEuropeanAsianBermudanOption	0.536
	testEuropeanAsianBermudanOption	0.265
	testEuropeanAsianBermudanOption	0.258
	testEuropeanAsianBermudanOption	0.263
	testModelRandomVariable	0.032
	testModelRandomVariable	0.022
	testModelRandomVariable	0.022
	testModelRandomVariable	0.029
	testEuropeanCallVega	0.289
	testEuropeanCallVega	0.53
	testEuropeanCallVega	0.269
	testEuropeanCallVega	0.327
	testEuropeanCallDelta	0.439
	testEuropeanCallDelta	0.549
	testEuropeanCallDelta	0.312
	testEuropeanCallDelta	0.307
	testEuropeanCall	0.03
	testEuropeanCall	0.026
	testEuropeanCall	0.028
	testEuropeanCall	0.029
	testModelProperties	0.023
	testModelProperties	0.039
	testModelProperties	0.031
	testModelProperties	0.021

StochasticPathwiseLevenbergMarquardtTest

	testBoothFunctionWithAnalyticDerivative	0.099
	test	0.018

SABRCubeCalibrationTest

testSABRCubeCalibration

9.707

LIBORIndexTest

	testSinglePeriods	0.484
	testSinglePeriods	0.171
	testSinglePeriods	0.128
	testSinglePeriods	0.184
	testSinglePeriods	0.196
	testSinglePeriods	0.391
	testSinglePeriods	0.724
	testSinglePeriods	1.732
	testSinglePeriods	1.787
	testSinglePeriods	3.784
	testSinglePeriods	0.081
	testSinglePeriods	0.072
	testSinglePeriods	0.095
	testSinglePeriods	0.155
	testSinglePeriods	0.214
	testSinglePeriods	0.386
	testSinglePeriods	0.685
	testSinglePeriods	1.796
	testSinglePeriods	1.891
	testSinglePeriods	4.328
	testMultiPeriodFloater	0.122
	testMultiPeriodFloater	0.084
	testMultiPeriodFloater	0.142
	testMultiPeriodFloater	0.363
	testMultiPeriodFloater	0.204
	testMultiPeriodFloater	0.41
	testMultiPeriodFloater	0.661
	testMultiPeriodFloater	1.346
	testMultiPeriodFloater	1.897
	testMultiPeriodFloater	3.675
	testMultiPeriodFloater	0.045
	testMultiPeriodFloater	0.064
	testMultiPeriodFloater	0.097
	testMultiPeriodFloater	0.148
	testMultiPeriodFloater	0.177
	testMultiPeriodFloater	0.358
	testMultiPeriodFloater	0.705
	testMultiPeriodFloater	1.485
	testMultiPeriodFloater	2.126
	testMultiPeriodFloater	3.495
	testUnalignedPeriods	0.104
	testUnalignedPeriods	0.071
	testUnalignedPeriods	0.132
	testUnalignedPeriods	0.189
	testUnalignedPeriods	0.193
	testUnalignedPeriods	0.72
	testUnalignedPeriods	0.717
	testUnalignedPeriods	1.355
	testUnalignedPeriods	2.006
	testUnalignedPeriods	3.419
	testUnalignedPeriods	0.053
	testUnalignedPeriods	0.051
	testUnalignedPeriods	0.094
	testUnalignedPeriods	0.14
	testUnalignedPeriods	0.192
	testUnalignedPeriods	0.363
	testUnalignedPeriods	0.726
	testUnalignedPeriods	1.419
	testUnalignedPeriods	2.108
	testUnalignedPeriods	4.469

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities

0.233

HullWhiteModelTest

	testBermudanSwaption	2.968
	testZeroCMSSwap	1.394
	testBond	0.318
	testSwap	2.101
	testSwaption	0.377
	testCaplet	0.3
	testCapletSmile	0.281
	testLIBORInArrearsFloatLeg	0.015
	testPutOnMoneyMarketAccount	0.233

RandomVariableDifferentiableAADPerformanceTest

	test	1.483
	test	1.283
	test	1.775
	test	1.69
	test	1.245
	test	1.148
	test	2.204
	test	1.156
	test	1.705
	test	1.132
	test	1.453
	test	1.155
	test	19.937
	test	4.438
	test	20.441
	test	4.205
	test	15
	test	3.6

NelsonSiegelSvenssonBondCalibrationTest

testBondNSSCurveCalibration

0.159

MertonModelTest

test

3.532

CapletVolatilitiesParametricCalibrationTest

	testVolatilityCalibration	33.374
	testVolatilityCalibration	53.496

ModelWithProductFactoryTest

	bsTest	1.098
	hTest	1.279

DiscountCurveNelsonSiegelSvenssonTest

test

0.012

SimpsonRealIntegratorTest

	testCos	0.034
	testCubic	0.002

ForwardAgreementWithFundingRequirementTest

test

0.46

CapletVolatilitiesParametricTest

	testIntegratedFourParameterExponentialVolatilityParamSet1	0.219
	testDecayVolatility	0.003
	testIntegratedFourParameterExponentialVolatilityParamSetCZero	0.033
	testFlatVolatilityUsingA	0
	testFlatVolatilityUsingD	0.001

DataTablesTest

testTables

0.162

HestonModelCallOptionTest

	test	0.273
	test	0.072

FloatingpointDateTest

	testLocalDateTime	1.133
	test	0.006
	testLocalDateLocalDateTimeConsistency	0.003

SviVolatiltitySurfaceTest

	Test_noArbitrage	0.053
	Test_calibration	0.028
	Test_stickyness	0.004

RandomVariableTest

	testAdd	0.013
	testAdd	0.001
	testAdd	0.027
	testAdd	0.002
	testAdd	0.005
	testCap	0.001
	testCap	0
	testCap	0.002
	testCap	0.008
	testCap	0
	testApply	0.002
	testApply	0
	testApply	0.002
	testApply	0
	testApply	0
	testFloor	0
	testFloor	0
	testFloor	0.001
	testFloor	0
	testFloor	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableArithmeticSqrtPow	0
	testRandomVariableArithmeticSqrtPow	0.001
	testRandomVariableStandardDeviation	0.001
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testRandomVariableStandardDeviation	0
	testGetQuantile	4.556
	testGetQuantile	4.461
	testGetQuantile	4.227
	testGetQuantile	4.2
	testGetQuantile	4.196
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.001
	testRandomVariableArithmeticSquaredPow	0.005
	testRandomVariableArithmeticSquaredPow	0.002
	testRandomVariableArithmeticSquaredPow	0.002
	testApply2	0.012
	testApply2	0
	testApply2	0.005
	testApply2	0
	testApply2	0
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0.001
	testRandomVariableStochastic	0
	testRandomVariableDeterministc	0.003
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0
	testRandomVariableDeterministc	0.001
	testRandomVariableDeterministc	0

HestonModelTest

	test	1.916
	test	1.492

LibraryTest

	testVersionString	0.011
	testBuildString	0

DisplacedLognomalModelTest

	testProductImplementation	0.329
	testProductImplementation	0.22
	testProductImplementation	0.212

InterestRateProductTest

	testBond	1.419
	testSwap	0.788
	testSwaption	1.155

DiscountCurveSerializationTest

test

0.066

AssetBlackScholesModelDescriptorTest

test

1.309

BarrierOptionsTest

	testDownAndInCall	0.058
	testDownAndOutPut	0.001
	testDownAndInPut	0
	testUpAndInPut	0.001
	testUpAndInCall	0.001
	testUpAndOutPut	0.002
	testUpAndOutCall	0.001
	testDownAndOutCall	0.001

LIBORMarketModelHierarchyTest

testModelHierarchy

2.377

SABRVolatilityCubeSharedParametersTest

	a_cubeATM	0.035
	b_strikeSlices	0.028

VarianceGammaCallOptionTest

	testMartingalePropertyMonteCarlo	2.637
	test	2.869
	testMartingaleProperty	0.001

NelsonSiegelSvenssonCalibrationTest

testCalibration

0.278

ForwardCurveNelsonSiegelSvenssonTest

test

0.02

LIBORMarketModelMultiCurveValuationTest

	testBond	2.987
	testBond	1.666
	testSwap	1.636
	testSwap	1.498
	testSwaptionSmile	1.725
	testSwaptionSmile	1.416
	testSwaption	1.446
	testSwaption	1.778
	testDigitalCaplet	1.374
	testDigitalCaplet	1.352
	testCaplet	1.59
	testCaplet	1.385
	testSwaptionCalibration	8.64
	testSwaptionCalibration	8.118

MertonJumpDiffusionCallOptionTest

	testMartingalePropertyMonteCarlo	1.744
	test	1.925
	testMartingaleProperty	0.002

EuropeanOptionVegaPathwiseTest

test

0.7

CalibrationTest

	testCurvesAndCalibration	0.243
	testCurvesAndCalibration	0.024
	testCurvesAndCalibration	0.024
	testForwardCurveFromDiscountCurve	0.006
	testForwardCurveFromDiscountCurve	0.002
	testForwardCurveFromDiscountCurve	0.002

AnalyticFormulasTest

	testSABRSkewApproximation	0.027
	testBlackScholesPutCallParityATM	0.011
	testVolatilityConversionLognormalToNormal	0.004
	testBlackModelCapletImpliedVol	0.002
	testBlackModelDigitalCapletDelta	0
	testBachelierOptionImpliedVolatility	0.574
	testBlackScholesNegativeForward	0.001
	testSABRCurvatureApproximation	0.001
	testBachelierRiskNeutralProbabilities	0.034
	testSABRCalibration	2.262
	testBachelierOptionDelta	0.024

ConstantElasticityOfVarianceThetaTest

	testEuropeanCallOption	0.732
	testEuropeanPutOption	0.58

MonteCarloIntegratorTest

	testCos	0.133
	testCubic	0.048

MultiAssetBlackScholesModelTest

	testModelWithFactorLoadings	2.627
	testModelWithCloneModifiedVolatility	0.195
	testModelCloneWithModifiedSeed	0.105
	testModelWithVolatilityAndCorrelation	2.974