Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
678 0 0 5 99.263% 1,463.171

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


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
398 0 0 4 98.995% 1,149.412
net.finmath.montecarlo.interestrate 12 0 0 0 100% 49.896
net.finmath.montecarlo.automaticdifferentiation 1 0 0 0 100% 1.102
net.finmath.rootfinder 1 0 0 0 100% 0.047
net.finmath.singleswaprate.calibration 5 0 0 0 100% 24.228
net.finmath.fouriermethod 8 0 0 0 100% 9.538
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.078
net.finmath.marketdata.products 3 0 0 0 100% 0.053
net.finmath.equities 17 0 0 0 100% 1.623
net.finmath.singleswaprate.products 9 0 0 0 100% 8.372
net.finmath.singleswaprate.annuitymapping 5 0 0 0 100% 0.363
net.finmath.montecarlo.hybridassetinterestrate 5 0 0 0 100% 59.451
net.finmath.fouriermethod.calibration 2 0 0 0 100% 3.164
net.finmath.time 34 0 0 0 100% 1.455
net.finmath.integration 10 0 0 0 100% 0.35
net.finmath.stochastic 20 0 0 0 100% 0.03
net.finmath.convexityadjustment 1 0 0 0 100% 0.423
net.finmath.modelling 1 0 0 0 100% 2.442
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.735
net.finmath.montecarlo.assetderivativevaluation.models 4 0 0 0 100% 7.26
net.finmath.singleswaprate.model.volatilities 6 0 0 0 100% 0.646
net.finmath.optimizer 12 0 0 0 100% 0.553
net.finmath.montecarlo.automaticdifferentiation.backward 13 0 0 0 100% 0.049
net.finmath.randomnumbers 1 0 0 0 100% 1.338
net.finmath.montecarlo.interestrate.products.components 3 0 0 0 100% 13.576
net.finmath.marketdata.model.curves 7 0 0 0 100% 1.331
net.finmath.time.daycount 3 0 0 0 100% 0.103
net.finmath.fouriermethod.products 1 0 0 0 100% 0.113
net.finmath.information 2 0 0 0 100% 0.021
net.finmath.montecarlo.interestrate.products 11 0 0 0 100% 16.306
net.finmath.modelling.descriptor 6 0 0 0 100% 71.371
net.finmath.montecarlo.assetderivativevaluation 15 0 0 1 93.333% 15.138
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 0.677
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 3.662
net.finmath.marketdata.model.volatilities 6 0 0 0 100% 0.325
net.finmath.modelling.productfactory 2 0 0 0 100% 2.668
net.finmath.finitedifference 4 0 0 0 100% 2.324
net.finmath.montecarlo 2 0 0 0 100% 7.846
net.finmath.marketdata.model.cds 1 0 0 0 100% 0.173
net.finmath.singleswaprate.data 1 0 0 0 100% 0.175
net.finmath.analytic.model.curves.test 1 0 0 0 100% 0.695
net.finmath.interpolation 1 0 0 0 100% 0.118
net.finmath.functions 33 0 0 0 100% 3.941

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% 103.298
RandomVariableDifferentiableTypePriorityTest 16 0 0 0 100% 0.045
RandomVariableDifferentiableArithmeticTest 20 0 0 0 100% 0.039
CalibrationTest 12 0 0 0 100% 0.244
LIBORMarketModelNormalAADSensitivitiesTest 15 0 0 0 100% 104.453
LIBORMarketModelCalibrationTest 3 0 0 0 100% 229.885
FIPXMLParserTest 1 0 0 0 100% 0.067
RandomVariableDifferentiableTest 52 0 0 0 100% 33.053
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 100.821
LIBORMarketModelInterpolationTest 3 0 0 0 100% 17.947
FPMLParserTest 1 0 0 0 100% 0.099
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.95
LIBORIndexMultiCurveTest 6 0 0 0 100% 31.235
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 5.902
BachelierModelMonteCarloValuationTest 24 0 0 4 83.333% 3.828
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 21.493
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 3.892
LIBORIndexTest 60 0 0 0 100% 107.147
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 107.494
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 123.065
HestonModelCallOptionTest 2 0 0 0 100% 0.179
RandomVariableTest 45 0 0 0 100% 28.246
HestonModelTest 2 0 0 0 100% 3.618
DisplacedLognomalModelTest 3 0 0 0 100% 0.606
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 62.993
CalibrationTest 6 0 0 0 100% 0.228
LIBORMarketModelValuationTest 40 0 0 0 100% 57.585

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 3.569
LIBORMarketModelCalibrationSmileTest 1 0 0 0 100% 34.656
HullWhiteModelTest 9 0 0 0 100% 10.765
HullWhiteModelCalibrationTest 1 0 0 0 100% 0.906

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 1.102

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.047

net.finmath.singleswaprate.calibration

Class Tests Errors Failures Skipped Success Rate Time
SABRCubeParallelCalibrationTest 1 0 0 0 100% 5.375
StaticCubeCalibrationTest 1 0 0 0 100% 2.701
SABRCubeCalibrationTest 1 0 0 0 100% 14.233
SABRShiftedSmileCalibrationTest 2 0 0 0 100% 1.919

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.127
VarianceGammaCallOptionTest 3 0 0 0 100% 5.83
MertonJumpDiffusionCallOptionTest 3 0 0 0 100% 3.581

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.078

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.053

net.finmath.equities

Class Tests Errors Failures Skipped Success Rate Time
PdeOptionPricerTest 8 0 0 0 100% 1.34
AffineDividendStreamTest 2 0 0 0 100% 0.03
AnalyticOptionValuationTest 2 0 0 0 100% 0.099
SviVolatiltitySurfaceTest 3 0 0 0 100% 0.093
Black76ModelTest 2 0 0 0 100% 0.061

net.finmath.singleswaprate.products

Class Tests Errors Failures Skipped Success Rate Time
CashSettledSwaptionTest 3 0 0 0 100% 3.276
ConstantMaturitySwapTest 3 0 0 0 100% 4.567
AnnuityDummyTest 3 0 0 0 100% 0.529

net.finmath.singleswaprate.annuitymapping

Class Tests Errors Failures Skipped Success Rate Time
NormalizingFunctionTest 1 0 0 0 100% 0.182
AnnuityMappingTest 4 0 0 0 100% 0.181

net.finmath.montecarlo.hybridassetinterestrate

Class Tests Errors Failures Skipped Success Rate Time
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest 1 0 0 0 100% 1.879
CrossCurrencyLIBORMarketModelFromModelsTest 4 0 0 0 100% 57.572

net.finmath.fouriermethod.calibration

Class Tests Errors Failures Skipped Success Rate Time
HestonDaxCalibrationTest 1 0 0 0 100% 1.89
VarianceGammaDaxCalibrationTest 1 0 0 0 100% 1.274

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.037
ScheduleGeneratorTest 3 0 0 0 100% 0.082
FloatingpointDateTest 3 0 0 0 100% 1.279
TimeDiscretizationTest 20 0 0 0 100% 0.057

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
PiecewiseContantDoubleUnaryOperatorTest 5 0 0 0 100% 0.028
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.026
SimpsonRealIntegratorTest 2 0 0 0 100% 0.054
MonteCarloIntegratorTest 2 0 0 0 100% 0.242

net.finmath.stochastic

Class Tests Errors Failures Skipped Success Rate Time
ScalarTest 20 0 0 0 100% 0.03

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.423

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 2.442

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.735

net.finmath.montecarlo.assetderivativevaluation.models

Class Tests Errors Failures Skipped Success Rate Time
MultiAssetBlackScholesModelTest 4 0 0 0 100% 7.26

net.finmath.singleswaprate.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
SABRVolatilityCubeSharedParametersTest 2 0 0 0 100% 0.245
SABRVolatilityCubeTest 4 0 0 0 100% 0.401

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.177
LevenbergMarquardtTest 6 0 0 0 100% 0.118
OptimizerFactoryTest 2 0 0 0 100% 0.145
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.113

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableAADTest 13 0 0 0 100% 0.049

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 1.338

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 13.525
FundingCapacityTest 1 0 0 0 100% 0.051

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationMultiCurveTest 1 0 0 0 100% 0.799
CurveTest 1 0 0 0 100% 0.09
NelsonSiegelSvenssonBondCalibrationTest 1 0 0 0 100% 0.148
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.015
DiscountCurveSerializationTest 1 0 0 0 100% 0.06
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.195
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.024

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.051
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.052

net.finmath.fouriermethod.products

Class Tests Errors Failures Skipped Success Rate Time
TestCarrMadan 1 0 0 0 100% 0.113

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% 2.48
SwapLegTest 5 0 0 0 100% 7.86
SwaptionNormalTest 1 0 0 0 100% 2.02
InterestRateProductTest 3 0 0 0 100% 3.946

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
MertonModelDescriptorTest 1 0 0 0 100% 21.202
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 3.919
VarianceGammaModelDescriptorTest 1 0 0 0 100% 42.866
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.726
HestonModelDescriptorTest 1 0 0 0 100% 1.658

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 1 83.333% 1.316
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 6.278
VarianceGammaModelTest 1 0 0 0 100% 3.014
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.204
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.382
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.139
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.21
MertonModelTest 1 0 0 0 100% 3.595

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 0.677

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 2.168
ForwardAgreementWithFundingRequirementTest 1 0 0 0 100% 0.525
EuropeanOptionVegaPathwiseTest 1 0 0 0 100% 0.969

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.107
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.218

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 2.668

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
ConstantElasticityOfVarianceThetaTest 2 0 0 0 100% 1.853
BlackScholesThetaTest 2 0 0 0 100% 0.471

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
GammaProcessTest 1 0 0 0 100% 6.029
VarianceGammaTest 1 0 0 0 100% 1.817

net.finmath.marketdata.model.cds

Class Tests Errors Failures Skipped Success Rate Time
CDSTest 1 0 0 0 100% 0.173

net.finmath.singleswaprate.data

Class Tests Errors Failures Skipped Success Rate Time
DataTablesTest 1 0 0 0 100% 0.175

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
TestCurvesFromLIBORModel 1 0 0 0 100% 0.695

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.118

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.13
JarqueBeraTestTest 1 0 0 0 100% 0.063
LinearAlgebraTest 3 0 0 0 100% 0.049
BachelierModelTest 8 0 0 0 100% 0.146
BarrierOptionsTest 8 0 0 0 100% 0.068
AnalyticFormulasTest 11 0 0 0 100% 3.485

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

testExceptions 0.013
testIntegralErrorCorrection 0.001
testValuation 0.001
testIntegralOfSquares 0
testIntegral 0

CapValuationTest

testCap 3.558

NormalDistributionTest

testCumulativeDistribution 0.068
testInverseCumulativeDistribution 0.049

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.204
testEuropeanCallVega 0.528
testEuropeanCallDelta 0.427
testEuropeanCall 0.081
testModelProperties 0.064

MertonModelDescriptorTest

test 21.192

DayCountConvention_30E_360Test

test 0.039

JarqueBeraTestTest

test 0.054

BrownianMotionTest

testBrownianIncrementSquaredDrift 4.766
testBrownianIncrementSquaredDrift 3.903
testBrownianIncrementSquaredDrift 3.966
testBrownianIncrementSquaredDrift 3.818
testSerialization 0.049
testSerialization 0.03
testSerialization 0.029
testSerialization 0.041
testScalarValuedBrownianMotionTerminalDistribution 5.723
testScalarValuedBrownianMotionTerminalDistribution 5.845
testScalarValuedBrownianMotionTerminalDistribution 5.293
testScalarValuedBrownianMotionTerminalDistribution 5.659
testScalarValuedBrownianMotionWithJarqueBeraTest 2.727
testScalarValuedBrownianMotionWithJarqueBeraTest 3.493
testScalarValuedBrownianMotionWithJarqueBeraTest 2.715
testScalarValuedBrownianMotionWithJarqueBeraTest 2.66
testDensity 13.434
testDensity 13.497
testDensity 12.755
testDensity 12.895

RandomVariableDifferentiableTypePriorityTest

testTypePriorityAdd 0.027
testTypePriorityAdd 0.001
testTypePriorityAdd 0.006
testTypePriorityAdd 0
testTypePriorityCap 0.002
testTypePriorityCap 0.001
testTypePriorityCap 0
testTypePriorityCap 0.001
testTypePriorityMult 0.002
testTypePriorityMult 0.001
testTypePriorityMult 0.001
testTypePriorityMult 0
testTypePriorityFloor 0.002
testTypePriorityFloor 0
testTypePriorityFloor 0
testTypePriorityFloor 0.001

RandomVariableDifferentiableArithmeticTest

testArithmeticExpLog 0.017
testArithmeticExpLog 0
testArithmeticExpLog 0.014
testArithmeticExpLog 0.001
testArithmeticSqrtMultSqrt 0.001
testArithmeticSqrtMultSqrt 0.001
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0
testArithmeticSqrtSquared 0
testArithmeticDivSelf 0.001
testArithmeticDivSelf 0.001
testArithmeticDivSelf 0
testArithmeticDivSelf 0
testArithmeticSubSelf 0.001
testArithmeticSubSelf 0
testArithmeticSubSelf 0
testArithmeticSubSelf 0

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.401
testSingleCurveModel 1.068

CalibrationTest

testCurvesAndCalibration 0.169
testCurvesAndCalibration 0.017
testCurvesAndCalibration 0.012
testCurvesAndCalibration 0.012
testCurvesAndCalibration 0.016
testCurvesAndCalibration 0.01
testForwardCurveFromDiscountCurve 0.003
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001

GammaProcessTest

testScaling 6.018

LIBORMarketModelNormalAADSensitivitiesTest

testDelta 6.053
testDelta 5.786
testDelta 7.652
testDelta 7.927
testDelta 9.857
testVega 6.239
testVega 5.986
testVega 7.939
testVega 8.339
testVega 11.49
testGenericDelta 3.869
testGenericDelta 4.041
testGenericDelta 5.074
testGenericDelta 5.236
testGenericDelta 8.965

CurveEstimationTest

testRegressionMatrix 0.712
testLinearInterpolation 0.015

LIBORMarketModelCalibrationTest

testATMSwaptionCalibration 67.821
testATMSwaptionCalibration 7.335
testATMSwaptionCalibration 154.729

ScalarTest

testAbs 0.005
testAdd 0.001
testCap 0
testDiv 0
testSub 0
testSubRatio 0
testFloor 0.001
testIsNaN 0.001
testMult 0
testSqrt 0.001
testArrayOf 0
testAddRatio 0
testGetAverage 0.001
testAddProduct 0
testDiscount 0
testAccrue 0
testChoose 0.001
testEquals 0
testInvert 0
testSquared 0

PdeOptionPricerTest

Test_pricer_american 0.27
Test_noArbitrage 0.059
Test_pricer_americanCall 0.018
Test_pricer_european 0.013
Test_europeanSensis 0.025
Test_pricer_americanPut 0.042
Test_impliedVol 0.167
Test_pricer_lv 0.732

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 3.273
testProductAADSensitivities 2.996

AffineDividendStreamTest

Test_affineDividendConversion 0.02
Test_sorting 0.001

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.027
testOperatorMult1 0
testOperatorMult2 0
testVariance 0.004
testOperatorExp 0.001
testOperatorLog 0.001
testExpectation 0.001
testOperatorAdd1 0
testOperatorAdd2 0
testOperatorDiv1 0
testOperatorDiv2 0
testOperatorSub1 0.001
testOperatorSub2 0

HestonDaxCalibrationTest

test 1.879

SwapLegTest

testFloatLeg 2.171
testCMSSpreadLeg 1.9
testFixLeg 1.132
testLIBORInArrearsFloatLeg 1.262
testCMSFloatLeg 1.384

FIPXMLParserTest

testGetSwapProductDescriptor 0.067

AnalyticOptionValuationTest

Test_noArbitrage 0.078
Test_sensis 0.013

RandomVariableDifferentiableTest

testRandomVariableExpectation 0.119
testRandomVariableExpectation 0.011
testRandomVariableExpectation 0.013
testRandomVariableExpectation 0.01
testRandomVariableSimpleGradient2 0.001
testRandomVariableSimpleGradient2 0.002
testRandomVariableSimpleGradient2 0.001
testRandomVariableSimpleGradient2 0
testRandomVariableSimpleGradient 0
testRandomVariableSimpleGradient 0.001
testRandomVariableSimpleGradient 0
testRandomVariableSimpleGradient 0.001
testRandomVariableGradientBiggerSum 2.585
testRandomVariableGradientBiggerSum 1.094
testRandomVariableGradientBiggerSum 2.308
testRandomVariableGradientBiggerSum 1.085
testRandomVariableGradientBigSumWithConstants 0.279
testRandomVariableGradientBigSumWithConstants 0.124
testRandomVariableGradientBigSumWithConstants 0.165
testRandomVariableGradientBigSumWithConstants 0.068
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableGradientBigSum2 0.046
testRandomVariableGradientBigSum2 0.028
testRandomVariableGradientBigSum2 0.052
testRandomVariableGradientBigSum2 0.023
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableGradientBigSum 0.12
testRandomVariableGradientBigSum 0.063
testRandomVariableGradientBigSum 0.145
testRandomVariableGradientBigSum 0.054
testRandomVariableStochastic 0.001
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 6.322
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 6.223
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 5.835
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 6.274
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration 39.224
testATMSwaptionCalibration 61.597

TrapezoidalRealIntegratorTest

test 0.016

LIBORMarketModelInterpolationTest

testInterpolatedLastLIBOR 6.603
testInterpolatedLastLIBOR 5.423
testInterpolatedLastLIBOR 5.921

ExposureTest

testExpectedPositiveExposure 7.845
testAgainstSwaption 5.669

VarianceGammaModelTest

test 3.005

RootFindersTest

testRootFinders 0.037

CashSettledSwaptionTest

a_testSimplifiedLinear 0.737
b_testBasicPiterbarg 1.213
c_testMultiPiterbarg 1.221

FPMLParserTest

testGetSwapProductDescriptor 0.099

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.194

BusinessdayCalendarTest

testNycCalendar 0.043
testCreateDateFromDateAndOffsetCode 0.014
testCombinedCalendar 0.009
testTargetCalendar 0.001
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 2.157

DepositTest

testRateValueConsistency 0.032
testEvaluationTime 0.001
testDepositValue 0.004

InterestRateSwapLegDescriptorTest

testFloatLeg 2.243
testFixLeg 1.665

FundingCapacityTest

test 0.037

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

test 1.868

VarianceGammaModelDescriptorTest

test 42.856

NormalizingFunctionTest

testExpectation 0.067

ConstantMaturitySwapTest

testSimplifiedLinear 0.733
testBasicPiterbarg 1.949
testMultiPiterbarg 1.799

AnnuityDummyTest

testSimplified 0.247
testBasic 0.106
testMulti 0.088

SABRCubeParallelCalibrationTest

testCalibration 5.364

StaticCubeCalibrationTest

testStaticCubeCalibration 2.689

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.095
test 0.07

AcceptanceRejectionRandomNumberGeneratorTest

test 1.329

DayCountConventionTest

testDayCountConvention_30E_360 0.006
testDayCountConvention_ACT_360 0.001
testDayCountConvention_ACT_365 0
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.008
testDayCountConventionAdditivity_ACT_ACT_ISDA 0.001
testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA 0.001
testDayCountConvention_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_YEARFRAC 0.003

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.372

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities 0.635
testProductAADSensitivities 0.501
testProductAADSensitivities 0.814

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic 3.505
testFRAMonteCarloVersusAnalytic 4.029
testFRAMonteCarloVersusAnalytic 9.436
testFRAMonteCarloVersusAnalytic 2.343
testFRAMonteCarloVersusAnalytic 3.688
testFRAMonteCarloVersusAnalytic 8.234

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.065
testBoothFunctionWithAnalyticDerivative 0.022
testRosenbrockFunctionWithList 0.005
testBoothFunction 0.004
testRosenbrockFunction 0.006
testSmallLinearSystem 0.002

CDSTest

testCDS 0.163

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse2 0.037
testSolveLinearEquationLeastSquarePseudoInverse3 0
testSolveLinearEquationLeastSquarePseudoInverse 0

SimpleCappedFlooredFloatingRateBondTest

test 3.44
test 2.462

CrossCurrencyLIBORMarketModelFromModelsTest

testForeignBond 18.493
testProperties 8.277
testForeignCaplet 15.296
testForeignFRA 15.492

TestCarrMadan

test 0.105

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.119
testRosenbrockFunctionWithLevenbergMarquard 0.017

AnnuityMappingTest

a_testMappings 0.004
b_testSeq 0.02
c_testFirstDerivative 0.003
d_testSecondDerivative 0.002

MonteCarloBlackScholesModelTest

testDirectValuation 0.103
testProductImplementation 0.027

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.181
testModelRandomVariable 0.086
testModelRandomVariable 0.045
testModelRandomVariable 0.059
testEuropeanCallVega 0.52
testEuropeanCallVega 0.366
testEuropeanCallVega 0.329
testEuropeanCallVega 0.336
testEuropeanCallDelta 0.4
testEuropeanCallDelta 0.272
testEuropeanCallDelta 0.326
testEuropeanCallDelta 0.346
testEuropeanCall 0.077
testEuropeanCall 0.062
testEuropeanCall 0.062
testEuropeanCall 0.074
testModelProperties 0.069
testModelProperties 0.069
testModelProperties 0.075
testModelProperties 0.074

ScheduleGeneratorTest

testPeriodLength 0.067
testPeriodStartPeriodEnd 0.001
testScheduleGeneratorMetaData 0.004

BiLinearInterpolationTest

test 0.099

CapletVolatilitiesTest

testConversions 0.098

VarianceGammaDaxCalibrationTest

test 1.264

CalibrationMultiCurveTest

testMultiCurveCalibration 0.789

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.042
testAssumingEndDateIsNotATerminationDate 0.001

CMSOptionTest

testCMSOption 0.414

DeltaHedgedPortfolioWithAADTest

testHedgePerformance 11.058
testHedgePerformance 10.435

BlackScholesCallOptionTest

test 0.101
testDigitalOption 0.017

BachelierModelTest

testInhomogeneousImpliedVolatility 0.087
testHomogeneousRandomVariableImplementations 0.002
testDelta 0.022
testVega 0.003
testInhomogeneousRandomVariableImplementations 0.001
testInhomogenousDelta 0.002
testInhomogenousVega 0.002
testImpliedVolatility 0.014

SwaptionNormalTest

testSwaption 2.01

LIBORMarketModelCalibrationSmileTest

testSwaptionSmileCalibration 34.646

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 0.669

CurveTest

testCurveFitting 0.081

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 1.094

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 0.472
testEuropeanAsianBermudanOption 0.306
testEuropeanAsianBermudanOption 0.312
testEuropeanAsianBermudanOption 0.303
testModelRandomVariable 0.03
testModelRandomVariable 0.021
testModelRandomVariable 0.012
testModelRandomVariable 0.011
testEuropeanCallVega 0.235
testEuropeanCallVega 0.342
testEuropeanCallVega 0.238
testEuropeanCallVega 0.2
testEuropeanCallDelta 0.317
testEuropeanCallDelta 0.42
testEuropeanCallDelta 0.238
testEuropeanCallDelta 0.262
testEuropeanCall 0.022
testEuropeanCall 0.028
testEuropeanCall 0.02
testEuropeanCall 0.018
testModelProperties 0.019
testModelProperties 0.025
testModelProperties 0.02
testModelProperties 0.021

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.088
test 0.014

SABRCubeCalibrationTest

testSABRCubeCalibration 14.223

LIBORIndexTest

testSinglePeriods 0.302
testSinglePeriods 0.132
testSinglePeriods 0.175
testSinglePeriods 0.423
testSinglePeriods 0.291
testSinglePeriods 0.588
testSinglePeriods 1.475
testSinglePeriods 2.83
testSinglePeriods 3.631
testSinglePeriods 9.738
testSinglePeriods 0.116
testSinglePeriods 0.173
testSinglePeriods 0.31
testSinglePeriods 0.23
testSinglePeriods 0.292
testSinglePeriods 0.596
testSinglePeriods 1.328
testSinglePeriods 2.835
testSinglePeriods 3.544
testSinglePeriods 8.343
testMultiPeriodFloater 0.088
testMultiPeriodFloater 0.112
testMultiPeriodFloater 0.219
testMultiPeriodFloater 0.246
testMultiPeriodFloater 0.289
testMultiPeriodFloater 0.698
testMultiPeriodFloater 1.323
testMultiPeriodFloater 2.684
testMultiPeriodFloater 3.603
testMultiPeriodFloater 8.338
testMultiPeriodFloater 0.091
testMultiPeriodFloater 0.167
testMultiPeriodFloater 0.15
testMultiPeriodFloater 0.226
testMultiPeriodFloater 0.283
testMultiPeriodFloater 0.559
testMultiPeriodFloater 1.368
testMultiPeriodFloater 2.707
testMultiPeriodFloater 3.275
testMultiPeriodFloater 8.079
testUnalignedPeriods 0.073
testUnalignedPeriods 0.099
testUnalignedPeriods 0.16
testUnalignedPeriods 0.597
testUnalignedPeriods 0.265
testUnalignedPeriods 0.622
testUnalignedPeriods 1.33
testUnalignedPeriods 2.823
testUnalignedPeriods 3.688
testUnalignedPeriods 8.376
testUnalignedPeriods 0.097
testUnalignedPeriods 0.167
testUnalignedPeriods 0.15
testUnalignedPeriods 0.214
testUnalignedPeriods 0.274
testUnalignedPeriods 0.605
testUnalignedPeriods 1.325
testUnalignedPeriods 2.756
testUnalignedPeriods 3.515
testUnalignedPeriods 8.154

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.201

HullWhiteModelTest

testBermudanSwaption 3.153
testZeroCMSSwap 2.189
testBond 0.444
testSwap 3.191
testSwaption 0.584
testCaplet 0.457
testCapletSmile 0.361
testLIBORInArrearsFloatLeg 0.01
testPutOnMoneyMarketAccount 0.366

RandomVariableDifferentiableAADPerformanceTest

test 1.563
test 1.356
test 2.133
test 1.968
test 1.204
test 1.119
test 3.075
test 1.157
test 2.343
test 1.115
test 1.698
test 1.131
test 22.017
test 5.51
test 23.509
test 6.783
test 23.631
test 6.182

NelsonSiegelSvenssonBondCalibrationTest

testBondNSSCurveCalibration 0.136

MertonModelTest

test 3.587

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration 45.667
testVolatilityCalibration 77.398

ModelWithProductFactoryTest

bsTest 1.271
hTest 1.388

DiscountCurveNelsonSiegelSvenssonTest

test 0.008

SimpsonRealIntegratorTest

testCos 0.042
testCubic 0.003

ForwardAgreementWithFundingRequirementTest

test 0.511

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.148
testDecayVolatility 0.001
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.056
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

DataTablesTest

testTables 0.16

HestonModelCallOptionTest

test 0.141
test 0.038

FloatingpointDateTest

testLocalDateTime 1.263
test 0.006
testLocalDateLocalDateTimeConsistency 0.001

SviVolatiltitySurfaceTest

Test_noArbitrage 0.036
Test_calibration 0.042
Test_stickyness 0.003

RandomVariableTest

testAdd 0.008
testAdd 0.002
testAdd 0.016
testAdd 0.004
testAdd 0.004
testCap 0.001
testCap 0
testCap 0.001
testCap 0.001
testCap 0
testFloor 0
testFloor 0
testFloor 0.001
testFloor 0
testFloor 0
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.004
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0.001
testGetQuantile 5.937
testGetQuantile 5.808
testGetQuantile 5.486
testGetQuantile 5.383
testGetQuantile 5.57
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0.007
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0.002
testRandomVariableStochastic 0.001
testRandomVariableStochastic 0
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0.002
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0

HestonModelTest

test 2.09
test 1.528

LibraryTest

testVersionString 0.01
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 0.35
testProductImplementation 0.125
testProductImplementation 0.131

InterestRateProductTest

testBond 1.436
testSwap 1.341
testSwaption 1.16

DiscountCurveSerializationTest

test 0.051

AssetBlackScholesModelDescriptorTest

test 1.716

BarrierOptionsTest

testDownAndInCall 0.05
testDownAndOutPut 0.002
testDownAndInPut 0.001
testUpAndInPut 0.001
testUpAndInCall 0
testUpAndOutPut 0.001
testUpAndOutCall 0.001
testDownAndOutCall 0.002

LIBORMarketModelHierarchyTest

testModelHierarchy 2.432

SABRVolatilityCubeSharedParametersTest

a_cubeATM 0.031
b_strikeSlices 0.022

VarianceGammaCallOptionTest

testMartingalePropertyMonteCarlo 2.958
test 2.86
testMartingaleProperty 0.001

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.185

ForwardCurveNelsonSiegelSvenssonTest

test 0.016

LIBORMarketModelMultiCurveValuationTest

testBond 4.549
testBond 2.77
testSwap 3.032
testSwap 3.016
testSwaptionSmile 2.697
testSwaptionSmile 2.731
testSwaption 2.837
testSwaption 2.866
testDigitalCaplet 2.782
testDigitalCaplet 2.871
testCaplet 2.768
testCaplet 2.77
testSwaptionCalibration 14.189
testSwaptionCalibration 13.115

MertonJumpDiffusionCallOptionTest

testMartingalePropertyMonteCarlo 1.706
test 1.864
testMartingaleProperty 0.001

EuropeanOptionVegaPathwiseTest

test 0.961

CalibrationTest

testCurvesAndCalibration 0.194
testCurvesAndCalibration 0.015
testCurvesAndCalibration 0.011
testForwardCurveFromDiscountCurve 0.005
testForwardCurveFromDiscountCurve 0.002
testForwardCurveFromDiscountCurve 0.001

AnalyticFormulasTest

testSABRSkewApproximation 0.007
testBlackScholesPutCallParityATM 0.027
testVolatilityConversionLognormalToNormal 0.004
testBlackModelCapletImpliedVol 0.001
testBlackModelDigitalCapletDelta 0.001
testBachelierOptionImpliedVolatility 0.843
testBlackScholesNegativeForward 0
testSABRCurvatureApproximation 0.001
testBachelierRiskNeutralProbabilities 0.03
testSABRCalibration 2.53
testBachelierOptionDelta 0.029

ConstantElasticityOfVarianceThetaTest

testEuropeanCallOption 1.047
testEuropeanPutOption 0.797

MonteCarloIntegratorTest

testCos 0.163
testCubic 0.069

MultiAssetBlackScholesModelTest

testModelWithFactorLoadings 3.888
testModelWithCloneModifiedVolatility 0.207
testModelCloneWithModifiedSeed 0.127
testModelWithVolatilityAndCorrelation 3.02

HestonModelDescriptorTest

test 1.649

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.022
constructWithSetAtDefaultTickSize 0.002
constructWithBoxedArrayAtSmallTickSize 0
testUnionWithSubTickDuplicates 0.001
testIntersectionWithNoDuplicates 0
constructWithUnboxedArrayAtDefaultTickSize 0.001
constructWithIntervalShortStubAtFront 0.009
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0.001
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0.001
constructWithBoxedArrayAtBigTickSize 0
constructWithSetAtBigTickSize 0
testIntersectionWithSubTickDuplicates 0.001
testIntersectionWithDifferentTickSizes 0
constructWithBoxedArrayAtDefaultTickSize 0.002
constructWithArrayListAtSmallTickSize 0
testUnionWithNoDuplicates 0.001
testUnionWithDifferentTickSizes 0.001
constructWithArrayListAtDefaultTickSize 0

Black76ModelTest

Test_black76_impliedVolatility 0.049
Test_black76_formula 0

SABRVolatilityCubeTest

a_cubeATM 0.041
b_strikeSlices 0.027
c_testAccessPerformance 0.126
d_testAccessPerformanceOnNodes 0.027

HullWhiteModelCalibrationTest

testATMSwaptionCalibration 0.897

BlackScholesThetaTest

testEuropeanCallOption 0.317
testEuropeanPutOption 0.144

SABRShiftedSmileCalibrationTest

testCalibration 1.784
testSingleSmile 0.058

TestCurvesFromLIBORModel

testStochasticCurves 0.685

LIBORMarketModelValuationTest

testFRA 2.967
testFRA 1.537
testFRA 2.025
testFRA 1.853
testBond 1.548
testBond 1.373
testBond 1.678
testBond 1.628
testSwap 1.408
testSwap 1.403
testSwap 2.015
testSwap 1.663
testSwaptionSmile 1.373
testSwaptionSmile 1.348
testSwaptionSmile 1.628
testSwaptionSmile 1.632
testSwaption 1.418
testSwaption 1.409
testSwaption 1.803
testSwaption 1.614
testDigitalCaplet 1.385
testDigitalCaplet 1.373
testDigitalCaplet 1.724
testDigitalCaplet 1.596
testLIBORInArrearsConvexity 1.346
testLIBORInArrearsConvexity 1.279
testLIBORInArrearsConvexity 1.645
testLIBORInArrearsConvexity 1.475
testCaplet 1.343
testCaplet 1.394
testCaplet 1.565
testCaplet 1.703
testCapletSmile 1.343
testCapletSmile 1.335
testCapletSmile 1.739
testCapletSmile 1.523
testSwaptionCalibration 0.297
testSwaptionCalibration 0.073
testSwaptionCalibration 0.062
testSwaptionCalibration 0.062

VarianceGammaTest

testCharacteristicFunction 1.807

Failure Details

[Summary] [Package List] [Test Cases]


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