Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
491 0 0 0 100% 1,574.733

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
net.finmath.montecarlo.interestrate 72 0 0 0 100% 512.058
net.finmath.montecarlo.automaticdifferentiation 36 0 0 0 100% 0.209
net.finmath.rootfinder 1 0 0 0 100% 0.045
net.finmath.fouriermethod 4 0 0 0 100% 0.331
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.099
net.finmath.marketdata.products 3 0 0 0 100% 0.062
net.finmath.time 34 0 0 0 100% 1.574
net.finmath.integration 3 0 0 0 100% 0.127
net.finmath.modelling.descriptor.xmlparser 2 0 0 0 100% 0.164
net.finmath.convexityadjustment 1 0 0 0 100% 0.576
net.finmath.modelling 1 0 0 0 100% 3.731
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.168
net.finmath.optimizer 12 0 0 0 100% 0.475
net.finmath.montecarlo.automaticdifferentiation.backward 45 0 0 0 100% 455.321
net.finmath.randomnumbers 1 0 0 0 100% 1.333
net.finmath.marketdata.model.curves 17 0 0 0 100% 1.534
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 18.901
net.finmath.time.daycount 3 0 0 0 100% 0.096
net.finmath.information 2 0 0 0 100% 0.044
net.finmath.montecarlo.interestrate.products 13 0 0 0 100% 27.846
net.finmath.montecarlo.interestrate.products.indices 66 0 0 0 100% 180.989
net.finmath.modelling.descriptor 4 0 0 0 100% 7.777
net.finmath.montecarlo.assetderivativevaluation 67 0 0 0 100% 40.472
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 11.091
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 23.636
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 143.855
net.finmath.modelling.productfactory 2 0 0 0 100% 3.22
net.finmath.finitedifference 1 0 0 0 100% 0.152
net.finmath.montecarlo 62 0 0 0 100% 132.686
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.821
net.finmath.interpolation 1 0 0 0 100% 0.575
net.finmath.functions 10 0 0 0 100% 4.765

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

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 2.345
LIBORMarketModelNormalAADSensitivitiesTest 4 0 0 0 100% 35.869
LIBORMarketModelCalibrationTest 2 0 0 0 100% 133.418
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 198.018
HullWhiteModelTest 9 0 0 0 100% 12.529
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 46.549
LIBORMarketModelValuationTest 40 0 0 0 100% 83.33

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableInterfaceTypePriorityTest 16 0 0 0 100% 0.097
RandomVariableDifferentiableInterfaceArithmeticTest 20 0 0 0 100% 0.112

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.045

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.144
HestonModelCallOptionTest 2 0 0 0 100% 0.187

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.099

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.062

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.058
ScheduleGeneratorTest 3 0 0 0 100% 0.064
FloatingpointDateTest 3 0 0 0 100% 1.375
TimeDiscretizationTest 20 0 0 0 100% 0.077

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.054
SimpsonRealIntegratorTest 2 0 0 0 100% 0.073

net.finmath.modelling.descriptor.xmlparser

Class Tests Errors Failures Skipped Success Rate Time
FIPXMLParserTest 1 0 0 0 100% 0.074
FPMLParserTest 1 0 0 0 100% 0.09

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.576

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 3.731

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.168

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.142
LevenbergMarquardtTest 6 0 0 0 100% 0.099
OptimizerFactoryTest 2 0 0 0 100% 0.13
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.104

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableInterfaceTest 26 0 0 0 100% 125.909
RandomVariableDifferentiableAADTest 1 0 0 0 100% 0.031
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 329.381

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AccceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 1.333

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.246
CalibrationMultiCurveTest 1 0 0 0 100% 0.809
CurveTest 1 0 0 0 100% 0.105
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.071
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.221
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.082

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 18.901

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% 0.045

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.044

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 3.456
SwapLegTest 5 0 0 0 100% 9.948
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 6.39
SwaptionNormalTest 1 0 0 0 100% 3.132
InterestRateProductTest 3 0 0 0 100% 4.92

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexMultiCurveTest 6 0 0 0 100% 37.739
LIBORIndexTest 60 0 0 0 100% 143.25

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 4.553
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.349
HestonModelDescriptorTest 1 0 0 0 100% 1.875

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 3.093
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 1 0 0 0 100% 2.038
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.183
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.4
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.842
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.154
BachelierModelMonteCarloValuationTest 24 0 0 0 100% 11.002
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 11.671
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.206
MertonModelTest 1 0 0 0 100% 4.053
HestonModelTest 2 0 0 0 100% 3.667
DisplacedLognomalModelTest 1 0 0 0 100% 2.163

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 11.091

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 2.11
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 21.526

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.176
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 143.412
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.267

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 3.22

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesThetaTest 1 0 0 0 100% 0.152

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 16 0 0 0 100% 101.038
GammaProcessTest 1 0 0 0 100% 6.195
RandomVariableTest 45 0 0 0 100% 25.453

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.218
TestCurvesFromLIBORModel 1 0 0 0 100% 0.603

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.575

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.308
JarqueBeraTestTest 1 0 0 0 100% 0.084
AnalyticFormulasTest 7 0 0 0 100% 4.373

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 2.2

NormalDistributionTest

testCumulativeDistribution 0.089
testInverseCumulativeDistribution 0.176

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.76
testModelRandomVariable 0.02
testEuropeanCallVega 0.118
testEuropeanCallDelta 0.106
testEuropeanCall 0.015
testModelProperties 0.014

DayCountConvention_30E_360Test

test 0.003

JarqueBeraTestTest

test 0.042

BrownianMotionTest

testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 3.302
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 5.328
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.875
testDensity[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 11.562
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@136432db] 3.668
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@136432db] 5.394
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@136432db] 5.14
testDensity[net.finmath.montecarlo.RandomVariableFactory@136432db] 11.952
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 3.294
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 5.155
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 4.887
testDensity[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 11.462
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 3.018
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 5.214
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 4.747
testDensity[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 11.98

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.97
testSingleCurveModel 1.444

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.12
testForwardCurveFromDiscountCurve[LINEAR] 0.003
testCurvesAndCalibration[CUBIC_SPLINE] 0.012
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0.002
testCurvesAndCalibration[AKIMA] 0.009
testForwardCurveFromDiscountCurve[AKIMA] 0.003
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.013
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE] 0.007
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.002
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.007
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.003

GammaProcessTest

testScaling 6.148

RandomVariableDifferentiableInterfaceTest

testRandomVariableExpectation[0] 0.079
testRandomVariableSimpleGradient2[0] 0
testRandomVariableSimpleGradient[0] 0
testRandomVariableGradientBiggerSum[0] 63.232
testRandomVariableGradientBigSumWithConstants[0] 0.477
testRandomVariableArithmeticSqrtPow[0] 0
testRandomVariableStandardDeviation[0] 0
testRandomVariableGradientBigSum2[0] 0.084
testRandomVariableArithmeticSquaredPow[0] 0
testRandomVariableGradientBigSum[0] 0.012
testRandomVariableStochastic[0] 0.001
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[0] 9.054
testRandomVariableDeterministc[0] 0
testRandomVariableExpectation[1] 0.019
testRandomVariableSimpleGradient2[1] 0
testRandomVariableSimpleGradient[1] 0
testRandomVariableGradientBiggerSum[1] 44.305
testRandomVariableGradientBigSumWithConstants[1] 0.205
testRandomVariableArithmeticSqrtPow[1] 0
testRandomVariableStandardDeviation[1] 0
testRandomVariableGradientBigSum2[1] 0.095
testRandomVariableArithmeticSquaredPow[1] 0
testRandomVariableGradientBigSum[1] 0.017
testRandomVariableStochastic[1] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[1] 8.257
testRandomVariableDeterministc[1] 0

RandomVariableDifferentiableInterfaceTypePriorityTest

testTypePriorityAdd[0] 0.017
testTypePriorityCap[0] 0.005
testTypePriorityMult[0] 0.001
testTypePriorityFloor[0] 0.001
testTypePriorityAdd[1] 0.001
testTypePriorityCap[1] 0
testTypePriorityMult[1] 0.001
testTypePriorityFloor[1] 0.001
testTypePriorityAdd[2] 0.004
testTypePriorityCap[2] 0.001
testTypePriorityMult[2] 0.001
testTypePriorityFloor[2] 0
testTypePriorityAdd[3] 0.001
testTypePriorityCap[3] 0.001
testTypePriorityMult[3] 0
testTypePriorityFloor[3] 0.002

LIBORMarketModelNormalAADSensitivitiesTest

testVega[Caplet maturity 5.0] 6.276
testVega[Caplet maturity 30.0] 7.101
testVega[Swaption 30.0 in 40.0] 7.786
testVega[Bermudan Swaption 30.0 in 40.0] 14.606

CurveEstimationTest

testRegressionMatrix 0.001
testLinearInterpolation 0.035

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 40.513
testATMSwaptionCalibration 92.847

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testProductAADSensitivities 1.997

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.024

SwapLegTest

testFloatLeg 3.102
testCMSSpreadLeg 2.114
testFixLeg 1.357
testLIBORInArrearsFloatLeg 1.643
testCMSFloatLeg 1.678

FIPXMLParserTest

testGetSwapProductDescriptor[file=test.xml}] 0.022

RandomVariableDifferentiableInterfaceArithmeticTest

testArithmeticExpLog[0] 0.033
testArithmeticSqrtMultSqrt[0] 0.001
testArithmeticSqrtSquared[0] 0
testArithmeticDivSelf[0] 0
testArithmeticSubSelf[0] 0
testArithmeticExpLog[1] 0.001
testArithmeticSqrtMultSqrt[1] 0.002
testArithmeticSqrtSquared[1] 0.001
testArithmeticDivSelf[1] 0
testArithmeticSubSelf[1] 0
testArithmeticExpLog[2] 0.006
testArithmeticSqrtMultSqrt[2] 0
testArithmeticSqrtSquared[2] 0
testArithmeticDivSelf[2] 0.001
testArithmeticSubSelf[2] 0
testArithmeticExpLog[3] 0
testArithmeticSqrtMultSqrt[3] 0
testArithmeticSqrtSquared[3] 0.001
testArithmeticDivSelf[3] 0
testArithmeticSubSelf[3] 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-FINITE_DIFFERENCES] 92.4
testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-ADJOINT_AUTOMATIC_DIFFERENTIATION] 105.509

TrapezoidalRealIntegratorTest

test 0.011

ExposureTest

testExpectedPositiveExposure 11.12
testAgainstSwaption 7.733

RootFindersTest

testRootFinders 0.006

FPMLParserTest

testGetSwapProductDescriptor[file=test.xml}] 0.041

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.143

BusinessdayCalendarTest

testNycCalendar 0.034
testCreateDateFromDateAndOffsetCode 0.008
testCombinedCalendar 0.006
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 2.049

DepositTest

testRateValueConsistency 0.004
testEvaluationTime 0.001
testDepositValue 0

InterestRateSwapLegDescriptorTest

testFloatLeg 2.555
testFixLeg 1.944

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.05
test 0.057

DayCountConventionTest

testDayCountConvention_30E_360 0.003
testDayCountConvention_ACT_360 0.004
testDayCountConvention_ACT_365 0
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.005
testDayCountConventionAdditivity_ACT_ACT_ISDA 0
testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA 0.001
testDayCountConvention_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_YEARFRAC 0.001

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.361

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities[0] 0.569
testProductAADSensitivities[1] 0.456
testProductAADSensitivities[2] 0.747

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic[forward-EUR-3M-40.000] 2.423
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-100.000] 5.277
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-200.000] 11.539
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-40.000] 1.694
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-100.000] 4.854
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-200.000] 10.613

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.037
testBoothFunctionWithAnalyticDerivative 0.011
testRosenbrockFunctionWithList 0.002
testBoothFunction 0.003
testRosenbrockFunction 0.002
testSmallLinearSystem 0.001

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 3.878
test[TERMINAL] 2.46

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.081
testRosenbrockFunctionWithLevenbergMarquard 0.009

MonteCarloBlackScholesModelTest

testDirectValuation 0.087
testProductImplementation 0.024

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@383534aa] 2.515
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.014
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.221
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.084
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.015
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.02
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 2.505
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.018
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.125
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.115
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.022
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.01
testEuropeanAsianBermudanOption[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.397
testModelRandomVariable[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.019
testEuropeanCallVega[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.087
testEuropeanCallDelta[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.085
testEuropeanCall[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.014
testModelProperties[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.015
testEuropeanAsianBermudanOption[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 2.431
testModelRandomVariable[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.018
testEuropeanCallVega[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.083
testEuropeanCallDelta[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.086
testEuropeanCall[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.018
testModelProperties[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.015

ScheduleGeneratorTest

testPeriodLength 0.022
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0.002

BiLinearInterpolationTest

test 0.539

CapletVolatilitiesTest

testConversions 0.128

CalibrationMultiCurveTest

testMultiCurveCalibration 0.76

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.002
testAssumingEndDateIsNotATerminationDate 0

CMSOptionTest

testCMSOption 0.523

DeltaHedgedPortfolioWithAADTest

testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@2a098129-AbstractMonteCarloProduct [currency=null]] 11.314
testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@2a098129-AbstractMonteCarloProduct [currency=null]] 10.125

BlackScholesCallOptionTest

test 0.084
testDigitalOption 0.015

SwaptionNormalTest

testSwaption 3.017

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 11.046

CurveTest

testCurveFitting 0.06

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@383534aa] 2.752
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.025
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.188
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.18
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.02
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.015
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 2.34
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.023
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.2
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.195
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.018
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.02
testEuropeanAsianBermudanOption[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.323
testModelRandomVariable[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.023
testEuropeanCallVega[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.198
testEuropeanCallDelta[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.191
testEuropeanCall[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.02
testModelProperties[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.017
testEuropeanAsianBermudanOption[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 2.391
testModelRandomVariable[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.024
testEuropeanCallVega[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.208
testEuropeanCallDelta[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.184
testEuropeanCall[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.025
testModelProperties[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.023

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.055
test 0.007

LIBORIndexTest

testSinglePeriods[NSS-1.000] 0.189
testMultiPeriodFloater[NSS-1.000] 0.083
testUnalignedPeriods[NSS-1.000] 0.052
testSinglePeriods[NSS-2.000] 0.156
testMultiPeriodFloater[NSS-2.000] 0.084
testUnalignedPeriods[NSS-2.000] 0.192
testSinglePeriods[NSS-4.000] 0.182
testMultiPeriodFloater[NSS-4.000] 0.277
testUnalignedPeriods[NSS-4.000] 0.13
testSinglePeriods[NSS-8.000] 0.448
testMultiPeriodFloater[NSS-8.000] 0.368
testUnalignedPeriods[NSS-8.000] 0.264
testSinglePeriods[NSS-10.000] 0.604
testMultiPeriodFloater[NSS-10.000] 0.355
testUnalignedPeriods[NSS-10.000] 0.322
testSinglePeriods[NSS-20.000] 0.726
testMultiPeriodFloater[NSS-20.000] 0.644
testUnalignedPeriods[NSS-20.000] 0.669
testSinglePeriods[NSS-40.000] 1.708
testMultiPeriodFloater[NSS-40.000] 1.671
testUnalignedPeriods[NSS-40.000] 1.786
testSinglePeriods[NSS-80.000] 3.937
testMultiPeriodFloater[NSS-80.000] 3.715
testUnalignedPeriods[NSS-80.000] 3.886
testSinglePeriods[NSS-100.000] 4.927
testMultiPeriodFloater[NSS-100.000] 5.071
testUnalignedPeriods[NSS-100.000] 5.064
testSinglePeriods[NSS-200.000] 12.096
testMultiPeriodFloater[NSS-200.000] 11.371
testUnalignedPeriods[NSS-200.000] 10.518
testSinglePeriods[DISCRETE-1.000] 0.041
testMultiPeriodFloater[DISCRETE-1.000] 0.034
testUnalignedPeriods[DISCRETE-1.000] 0.039
testSinglePeriods[DISCRETE-2.000] 0.105
testMultiPeriodFloater[DISCRETE-2.000] 0.069
testUnalignedPeriods[DISCRETE-2.000] 0.072
testSinglePeriods[DISCRETE-4.000] 0.202
testMultiPeriodFloater[DISCRETE-4.000] 0.144
testUnalignedPeriods[DISCRETE-4.000] 0.124
testSinglePeriods[DISCRETE-8.000] 0.272
testMultiPeriodFloater[DISCRETE-8.000] 0.289
testUnalignedPeriods[DISCRETE-8.000] 0.28
testSinglePeriods[DISCRETE-10.000] 0.318
testMultiPeriodFloater[DISCRETE-10.000] 0.408
testUnalignedPeriods[DISCRETE-10.000] 0.351
testSinglePeriods[DISCRETE-20.000] 0.7
testMultiPeriodFloater[DISCRETE-20.000] 0.898
testUnalignedPeriods[DISCRETE-20.000] 0.809
testSinglePeriods[DISCRETE-40.000] 1.64
testMultiPeriodFloater[DISCRETE-40.000] 1.786
testUnalignedPeriods[DISCRETE-40.000] 1.676
testSinglePeriods[DISCRETE-80.000] 3.589
testMultiPeriodFloater[DISCRETE-80.000] 4.015
testUnalignedPeriods[DISCRETE-80.000] 4.476
testSinglePeriods[DISCRETE-100.000] 4.951
testMultiPeriodFloater[DISCRETE-100.000] 5.245
testUnalignedPeriods[DISCRETE-100.000] 4.973
testSinglePeriods[DISCRETE-200.000] 11.586
testMultiPeriodFloater[DISCRETE-200.000] 11.443
testUnalignedPeriods[DISCRETE-200.000] 10.933

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.16

HullWhiteModelTest

testBermudanSwaption 5.852
testZeroCMSSwap 2.386
testBond 0.549
testSwap 0.962
testSwaption 0.662
testCaplet 0.582
testCapletSmile 0.481
testLIBORInArrearsFloatLeg 0.482
testPutOnMoneyMarketAccount 0.438

RandomVariableDifferentiableAADPerformanceTest

test[RandomVariableFactory TestFunctionBigSum(10000,1,10000,0)] 1.487
test[RandomVariableDifferentiableAADFactory TestFunctionBigSum(10000,1,10000,0)] 1.221
test[RandomVariableFactory TestFunctionGeometricSum(10000,1,10000,0)] 68.867
test[RandomVariableDifferentiableAADFactory TestFunctionGeometricSum(10000,1,10000,0)] 51.555
test[RandomVariableFactory TestFunctionSumOfProductsWithAddAndMult(100000,100,100000,100)] 62.619
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProductsWithAddAndMult(100000,100,100000,100)] 1.944
test[RandomVariableFactory TestFunctionSumOfProducts(100000,100,100000,100)] 36.828
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProducts(100000,100,100000,100)] 1.378
test[RandomVariableFactory TestFunctionAccrueWithAddAndMult(100000,100,1,100)] 8.62
test[RandomVariableDifferentiableAADFactory TestFunctionAccrueWithAddAndMult(100000,100,1,100)] 1.213
test[RandomVariableFactory TestFunctionAccrue(100000,100,1,100)] 5.755
test[RandomVariableDifferentiableAADFactory TestFunctionAccrue(100000,100,1,100)] 1.199
test[RandomVariableFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 20.825
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 4.739
test[RandomVariableFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 21.43
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 7.588
test[RandomVariableFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 26.198
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 5.842

MertonModelTest

test 4.009

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[VOLATILITYLOGNORMAL] 50.636
testVolatilityCalibration[VOLATILITYNORMAL] 92.713

ModelWithProductFactoryTest

bsTest 1.219
hTest 1.951

DiscountCurveNelsonSiegelSvenssonTest

test 0.022

SimpsonRealIntegratorTest

testCos 0.014
testCubic 0.001

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.134
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.096
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@383534aa] 0.114
test[net.finmath.fouriermethod.products.DigitalOption@2e5c649] 0.02

FloatingpointDateTest

testLocalDateTime 1.325
test 0.001
testLocalDateLocalDateTimeConsistency 0.001

RandomVariableTest

testAdd[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.001
testCap[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.008
testFloor[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@383534aa] 5.115
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0
testAdd[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.001
testCap[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0
testFloor[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 4.961
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.001
testAdd[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@136432db] 0.015
testCap[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@136432db] 0.001
testFloor[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@136432db] 0.001
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@136432db] 0.005
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@136432db] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@136432db] 5.125
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@136432db] 0.008
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@136432db] 0.001
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@136432db] 0.001
testAdd[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.006
testCap[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0
testFloor[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.001
testRandomVariableStandardDeviation[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0
testGetQuantile[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 5.126
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.001
testRandomVariableStochastic[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0
testRandomVariableDeterministc[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0
testAdd[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.004
testCap[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0
testFloor[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.001
testGetQuantile[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 5.012
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0
testRandomVariableStochastic[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0
testRandomVariableDeterministc[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0

HestonModelTest

test[xi=0}] 1.942
test[xi=0,5}] 1.667

LibraryTest

testVersionString 0.003
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 2.128

InterestRateProductTest

testBond 1.838
testSwap 1.655
testSwaption 1.254

AssetBlackScholesModelDescriptorTest

test 1.302

LIBORMarketModelHierarchyTest

testModelHierarchy 3.643

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.179

ForwardCurveNelsonSiegelSvenssonTest

test 0.034

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 4.671
testSwap[SPOT] 4.083
testSwaptionSmile[SPOT] 3.566
testSwaption[SPOT] 3.568
testDigitalCaplet[SPOT] 3.349
testCaplet[SPOT] 3.431
testSwaptionCalibration[SPOT] 0.224
testBond[TERMINAL] 3.804
testSwap[TERMINAL] 4.114
testSwaptionSmile[TERMINAL] 3.538
testSwaption[TERMINAL] 4
testDigitalCaplet[TERMINAL] 4.094
testCaplet[TERMINAL] 3.813
testSwaptionCalibration[TERMINAL] 0.091

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.124
testForwardCurveFromDiscountCurve[LINEAR] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE] 0.017
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.004
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.01
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.004

AccceptanceRejectionRandomNumberGeneratorTest

test 1.294

AnalyticFormulasTest

testSABRSkewApproximation 0.003
testBlackScholesPutCallParityATM 0.024
testBachelierOptionImpliedVolatility 1.593
testBlackScholesNegativeForward 0
testSABRCurvatureApproximation 0
testBachelierRiskNeutralProbabilities 0.005
testSABRCalibration 2.704

HestonModelDescriptorTest

test 1.814

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.014
constructWithSetAtDefaultTickSize 0.004
constructWithBoxedArrayAtSmallTickSize 0
testUnionWithSubTickDuplicates 0.001
testIntersectionWithNoDuplicates 0.001
constructWithUnboxedArrayAtDefaultTickSize 0
constructWithIntervalShortStubAtFront 0.005
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0.001
constructWithBoxedArrayAtBigTickSize 0.001
constructWithSetAtBigTickSize 0
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0
constructWithBoxedArrayAtDefaultTickSize 0.001
constructWithArrayListAtSmallTickSize 0
testUnionWithNoDuplicates 0
testUnionWithDifferentTickSizes 0
constructWithArrayListAtDefaultTickSize 0

BlackScholesThetaTest

test 0.109

TestCurvesFromLIBORModel

testStochasticCurves 0.547

LIBORMarketModelValuationTest

testFRA[net.finmath.montecarlo.RandomVariableFactory@383534aa] 2.801
testBond[net.finmath.montecarlo.RandomVariableFactory@383534aa] 1.705
testSwap[net.finmath.montecarlo.RandomVariableFactory@383534aa] 1.89
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@383534aa] 1.704
testSwaption[net.finmath.montecarlo.RandomVariableFactory@383534aa] 1.65
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@383534aa] 1.634
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@383534aa] 1.701
testCaplet[net.finmath.montecarlo.RandomVariableFactory@383534aa] 1.715
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@383534aa] 1.472
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@383534aa] 0.162
testFRA[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 3.425
testBond[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 3.189
testSwap[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 3.306
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 3.149
testSwaption[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 3.195
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 3.351
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 3.372
testCaplet[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 3.326
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 3.305
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@2e5c649] 0.057
testFRA[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.221
testBond[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.07
testSwap[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.232
testSwaptionSmile[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.362
testSwaption[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.334
testDigitalCaplet[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.065
testLIBORInArrearsConvexity[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.236
testCaplet[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 2.198
testCapletSmile[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 1.986
testSwaptionCalibration[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@136432db] 0.054
testFRA[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 1.988
testBond[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 1.818
testSwap[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 1.998
testSwaptionSmile[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 1.892
testSwaption[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 1.833
testDigitalCaplet[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 1.791
testLIBORInArrearsConvexity[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 1.939
testCaplet[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 2.043
testCapletSmile[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 1.84
testSwaptionCalibration[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@7382f612] 0.049