Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
721 0 0 5 99.307% 1,965.325

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


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
422 0 0 4 99.052% 1,225.613
net.finmath.montecarlo.interestrate 14 0 0 0 100% 469.34
net.finmath.climate.models.dice 3 0 0 0 100% 0.063
net.finmath.montecarlo.automaticdifferentiation 1 0 0 0 100% 0.568
net.finmath.rootfinder 1 0 0 0 100% 0.02
net.finmath.singleswaprate.calibration 5 0 0 0 100% 31.817
net.finmath.fouriermethod 8 0 0 0 100% 10.6
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.032
net.finmath.marketdata.products 3 0 0 0 100% 0.018
net.finmath.equities 17 0 0 0 100% 0.692
net.finmath.singleswaprate.products 9 0 0 0 100% 25.187
net.finmath.singleswaprate.annuitymapping 5 0 0 0 100% 0.153
net.finmath.montecarlo.hybridassetinterestrate 5 0 0 0 100% 41.592
net.finmath.fouriermethod.calibration 2 0 0 0 100% 2.314
net.finmath.time 34 0 0 0 100% 0.779
net.finmath.integration 10 0 0 0 100% 0.139
net.finmath.stochastic 20 0 0 0 100% 0.01
net.finmath.convexityadjustment 1 0 0 0 100% 0.301
net.finmath.modelling 1 0 0 0 100% 1.507
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.027
net.finmath.montecarlo.assetderivativevaluation.models 4 0 0 0 100% 12.434
net.finmath.singleswaprate.model.volatilities 6 0 0 0 100% 0.243
net.finmath.optimizer 12 0 0 0 100% 0.204
net.finmath.montecarlo.automaticdifferentiation.backward 13 0 0 0 100% 0.015
net.finmath.randomnumbers 3 0 0 0 100% 0.691
net.finmath.montecarlo.interestrate.products.components 3 0 0 0 100% 17.546
net.finmath.marketdata.model.curves 7 0 0 0 100% 1.038
net.finmath.time.daycount 3 0 0 0 100% 0.023
net.finmath.fouriermethod.products 1 0 0 0 100% 0.032
net.finmath.information 2 0 0 0 100% 0.006
net.finmath.montecarlo.interestrate.products 11 0 0 0 100% 11.311
net.finmath.modelling.descriptor 6 0 0 0 100% 63.213
net.finmath.montecarlo.assetderivativevaluation 15 0 0 1 93.333% 27.609
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 1.023
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 3.941
net.finmath.marketdata.model.volatilities 6 0 0 0 100% 0.11
net.finmath.modelling.productfactory 2 0 0 0 100% 3.748
net.finmath.finitedifference 4 0 0 0 100% 1.097
net.finmath.montecarlo 11 0 0 0 100% 5.015
net.finmath.marketdata.model.cds 1 0 0 0 100% 0.06
net.finmath.singleswaprate.data 1 0 0 0 100% 0.046
net.finmath.analytic.model.curves.test 1 0 0 0 100% 0.432
net.finmath.interpolation 1 0 0 0 100% 0.034
net.finmath.functions 36 0 0 0 100% 4.682

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% 102.363
RandomVariableDifferentiableTypePriorityTest 16 0 0 0 100% 0.012
RandomVariableDifferentiableArithmeticTest 20 0 0 0 100% 0.014
CalibrationTest 12 0 0 0 100% 0.09
LIBORMarketModelNormalAADSensitivitiesTest 15 0 0 0 100% 24.066
LIBORMarketModelCalibrationTest 3 0 0 0 100% 122.713
FIPXMLParserTest 1 0 0 0 100% 0.014
RandomVariableDifferentiableTest 52 0 0 0 100% 137.967
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 81.444
LIBORMarketModelInterpolationTest 3 0 0 0 100% 29.444
FPMLParserTest 1 0 0 0 100% 0.024
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 4.62
LIBORIndexMultiCurveTest 6 0 0 0 100% 20.389
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 6.92
FundingCapacityTest 14 0 0 0 100% 72.649
BachelierModelMonteCarloValuationTest 24 0 0 4 83.333% 2.104
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 13.209
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 10.517
LIBORIndexTest 60 0 0 0 100% 74.9
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 217.384
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 136.144
HestonModelCallOptionTest 2 0 0 0 100% 0.107
RandomVariableTest 55 0 0 0 100% 20.431
HestonModelTest 2 0 0 0 100% 6.492
DisplacedLognomalModelTest 3 0 0 0 100% 1.159
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 70.174
CalibrationTest 6 0 0 0 100% 0.086
LIBORMarketModelValuationTest 40 0 0 0 100% 70.177

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 3.731
LIBORMarketModelWithTenorRefinementCalibrationTest 2 0 0 0 100% 432.811
LIBORMarketModelCalibrationSmileTest 1 0 0 0 100% 17.586
HullWhiteModelTest 9 0 0 0 100% 14.65
HullWhiteModelCalibrationTest 1 0 0 0 100% 0.562

net.finmath.climate.models.dice

Class Tests Errors Failures Skipped Success Rate Time
DICEModelTest 3 0 0 0 100% 0.063

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 0.568

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.02

net.finmath.singleswaprate.calibration

Class Tests Errors Failures Skipped Success Rate Time
SABRCubeParallelCalibrationTest 1 0 0 0 100% 7.039
StaticCubeCalibrationTest 1 0 0 0 100% 6.44
SABRCubeCalibrationTest 1 0 0 0 100% 14.738
SABRShiftedSmileCalibrationTest 2 0 0 0 100% 3.6

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.055
VarianceGammaCallOptionTest 3 0 0 0 100% 4.132
MertonJumpDiffusionCallOptionTest 3 0 0 0 100% 6.413

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.032

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.018

net.finmath.equities

Class Tests Errors Failures Skipped Success Rate Time
PdeOptionPricerTest 8 0 0 0 100% 0.582
AffineDividendStreamTest 2 0 0 0 100% 0.02
AnalyticOptionValuationTest 2 0 0 0 100% 0.035
SviVolatiltitySurfaceTest 3 0 0 0 100% 0.039
Black76ModelTest 2 0 0 0 100% 0.016

net.finmath.singleswaprate.products

Class Tests Errors Failures Skipped Success Rate Time
CashSettledSwaptionTest 3 0 0 0 100% 8.371
ConstantMaturitySwapTest 3 0 0 0 100% 16.517
AnnuityDummyTest 3 0 0 0 100% 0.299

net.finmath.singleswaprate.annuitymapping

Class Tests Errors Failures Skipped Success Rate Time
NormalizingFunctionTest 1 0 0 0 100% 0.071
AnnuityMappingTest 4 0 0 0 100% 0.082

net.finmath.montecarlo.hybridassetinterestrate

Class Tests Errors Failures Skipped Success Rate Time
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest 1 0 0 0 100% 1.376
CrossCurrencyLIBORMarketModelFromModelsTest 4 0 0 0 100% 40.216

net.finmath.fouriermethod.calibration

Class Tests Errors Failures Skipped Success Rate Time
HestonDaxCalibrationTest 1 0 0 0 100% 1.361
VarianceGammaDaxCalibrationTest 1 0 0 0 100% 0.953

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.011
ScheduleGeneratorTest 3 0 0 0 100% 0.019
FloatingpointDateTest 3 0 0 0 100% 0.732
TimeDiscretizationTest 20 0 0 0 100% 0.017

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
PiecewiseContantDoubleUnaryOperatorTest 5 0 0 0 100% 0.007
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.009
SimpsonRealIntegratorTest 2 0 0 0 100% 0.012
MonteCarloIntegratorTest 2 0 0 0 100% 0.111

net.finmath.stochastic

Class Tests Errors Failures Skipped Success Rate Time
ScalarTest 20 0 0 0 100% 0.01

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.301

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 1.507

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.027

net.finmath.montecarlo.assetderivativevaluation.models

Class Tests Errors Failures Skipped Success Rate Time
MultiAssetBlackScholesModelTest 4 0 0 0 100% 12.434

net.finmath.singleswaprate.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
SABRVolatilityCubeSharedParametersTest 2 0 0 0 100% 0.098
SABRVolatilityCubeTest 4 0 0 0 100% 0.145

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.061
LevenbergMarquardtTest 6 0 0 0 100% 0.047
OptimizerFactoryTest 2 0 0 0 100% 0.053
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.043

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableAADTest 13 0 0 0 100% 0.015

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 0.627
HighEntropyRandomNumberGeneratorTest 2 0 0 0 100% 0.064

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 17.531
FundingCapacityTest 1 0 0 0 100% 0.015

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationMultiCurveTest 1 0 0 0 100% 0.664
CurveTest 1 0 0 0 100% 0.035
NelsonSiegelSvenssonBondCalibrationTest 1 0 0 0 100% 0.056
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.007
DiscountCurveSerializationTest 1 0 0 0 100% 0.029
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.237
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.01

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.01
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.013

net.finmath.fouriermethod.products

Class Tests Errors Failures Skipped Success Rate Time
TestCarrMadan 1 0 0 0 100% 0.032

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.006

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 1.44
SwapLegTest 5 0 0 0 100% 5.886
SwaptionNormalTest 1 0 0 0 100% 0.717
InterestRateProductTest 3 0 0 0 100% 3.268

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
MertonModelDescriptorTest 1 0 0 0 100% 28.825
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 2.342
VarianceGammaModelDescriptorTest 1 0 0 0 100% 28.077
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.969
HestonModelDescriptorTest 1 0 0 0 100% 2

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 1 83.333% 0.64
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 17.943
VarianceGammaModelTest 1 0 0 0 100% 2.071
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.189
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.392
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.092
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.186
MertonModelTest 1 0 0 0 100% 6.096

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 1.023

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 2.127
ForwardAgreementWithFundingRequirementTest 1 0 0 0 100% 0.203
EuropeanOptionVegaPathwiseTest 1 0 0 0 100% 1.611

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.042
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.068

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 3.748

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
ConstantElasticityOfVarianceThetaTest 2 0 0 0 100% 0.88
BlackScholesThetaTest 2 0 0 0 100% 0.217

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableFromDoubleArrayTest 9 0 0 0 100% 0.02
GammaProcessTest 1 0 0 0 100% 3.911
VarianceGammaTest 1 0 0 0 100% 1.084

net.finmath.marketdata.model.cds

Class Tests Errors Failures Skipped Success Rate Time
CDSTest 1 0 0 0 100% 0.06

net.finmath.singleswaprate.data

Class Tests Errors Failures Skipped Success Rate Time
DataTablesTest 1 0 0 0 100% 0.046

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
TestCurvesFromLIBORModel 1 0 0 0 100% 0.432

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.034

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.032
JarqueBeraTestTest 1 0 0 0 100% 0.025
LinearAlgebraTest 6 0 0 0 100% 0.026
BachelierModelTest 8 0 0 0 100% 0.054
BarrierOptionsTest 8 0 0 0 100% 0.031
AnalyticFormulasTest 11 0 0 0 100% 4.514

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

testExceptions 0.003
testIntegralErrorCorrection 0
testValuation 0
testIntegralOfSquares 0
testIntegral 0

CapValuationTest

testCap 3.729

NormalDistributionTest

testCumulativeDistribution 0.018
testInverseCumulativeDistribution 0.01

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.076
testEuropeanCallVega 0.274
testEuropeanCallDelta 0.202
testEuropeanCall 0.035
testModelProperties 0.047

MertonModelDescriptorTest

test 28.821

DayCountConvention_30E_360Test

test 0.006

JarqueBeraTestTest

test 0.021

BrownianMotionTest

testBrownianIncrementSquaredDrift 2.465
testBrownianIncrementSquaredDrift 4.343
testBrownianIncrementSquaredDrift 4.124
testBrownianIncrementSquaredDrift 4.2
testSerialization 0.033
testSerialization 0.023
testSerialization 0.021
testSerialization 0.022
testScalarValuedBrownianMotionTerminalDistribution 4.161
testScalarValuedBrownianMotionTerminalDistribution 4.103
testScalarValuedBrownianMotionTerminalDistribution 4.042
testScalarValuedBrownianMotionTerminalDistribution 4.047
testScalarValuedBrownianMotionWithJarqueBeraTest 8.277
testScalarValuedBrownianMotionWithJarqueBeraTest 8.488
testScalarValuedBrownianMotionWithJarqueBeraTest 8.412
testScalarValuedBrownianMotionWithJarqueBeraTest 8.442
testDensity 9.357
testDensity 9.45
testDensity 9.142
testDensity 9.211

RandomVariableDifferentiableTypePriorityTest

testTypePriorityAdd 0.007
testTypePriorityAdd 0
testTypePriorityAdd 0.002
testTypePriorityAdd 0
testTypePriorityCap 0.001
testTypePriorityCap 0
testTypePriorityCap 0
testTypePriorityCap 0
testTypePriorityMult 0
testTypePriorityMult 0
testTypePriorityMult 0.001
testTypePriorityMult 0
testTypePriorityFloor 0.001
testTypePriorityFloor 0
testTypePriorityFloor 0
testTypePriorityFloor 0

RandomVariableFromDoubleArrayTest

testAdd 0.009
testDiv 0
testGet 0
testApply 0.001
testMult 0
testSize 0
testAverage 0.001
testVariance 0
testGetRealizations 0.001

RandomVariableDifferentiableArithmeticTest

testArithmeticExpLog 0.006
testArithmeticExpLog 0
testArithmeticExpLog 0.004
testArithmeticExpLog 0
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0
testArithmeticSqrtSquared 0.001
testArithmeticDivSelf 0
testArithmeticDivSelf 0
testArithmeticDivSelf 0.001
testArithmeticDivSelf 0
testArithmeticSubSelf 0
testArithmeticSubSelf 0
testArithmeticSubSelf 0
testArithmeticSubSelf 0

SwaptionAnalyticApproximationTest

testMultiCurveModel 0.86
testSingleCurveModel 0.577

CalibrationTest

testCurvesAndCalibration 0.054
testCurvesAndCalibration 0.007
testCurvesAndCalibration 0.013
testCurvesAndCalibration 0.005
testCurvesAndCalibration 0.005
testCurvesAndCalibration 0.004
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0
testForwardCurveFromDiscountCurve 0
testForwardCurveFromDiscountCurve 0

GammaProcessTest

testScaling 3.907

LIBORMarketModelNormalAADSensitivitiesTest

testDelta 1.714
testDelta 1.55
testDelta 1.606
testDelta 1.704
testDelta 2.401
testVega 1.53
testVega 1.546
testVega 1.765
testVega 1.938
testVega 2.918
testGenericDelta 0.779
testGenericDelta 0.785
testGenericDelta 0.906
testGenericDelta 1.056
testGenericDelta 1.868

CurveEstimationTest

testRegressionMatrix 0.016
testLinearInterpolation 0.007

LIBORMarketModelCalibrationTest

testATMSwaptionCalibration 37.944
testATMSwaptionCalibration 4.568
testATMSwaptionCalibration 80.201

ScalarTest

testAbs 0.003
testAdd 0
testCap 0
testDiv 0
testSub 0.001
testSubRatio 0
testFloor 0
testIsNaN 0
testMult 0
testSqrt 0.001
testArrayOf 0
testAddRatio 0
testGetAverage 0
testAddProduct 0
testDiscount 0
testAccrue 0
testChoose 0
testEquals 0
testInvert 0
testSquared 0.001

PdeOptionPricerTest

Test_pricer_american 0.094
Test_noArbitrage 0.021
Test_pricer_americanCall 0.009
Test_pricer_european 0.005
Test_europeanSensis 0.007
Test_pricer_americanPut 0.014
Test_impliedVol 0.091
Test_pricer_lv 0.333

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 7.027
testProductAADSensitivities 10.913

AffineDividendStreamTest

Test_affineDividendConversion 0.016
Test_sorting 0.001

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.007
testOperatorMult1 0
testOperatorMult2 0
testVariance 0.001
testOperatorExp 0
testOperatorLog 0.001
testExpectation 0
testOperatorAdd1 0
testOperatorAdd2 0
testOperatorDiv1 0.001
testOperatorDiv2 0
testOperatorSub1 0
testOperatorSub2 0

HestonDaxCalibrationTest

test 1.357

SwapLegTest

testFloatLeg 1.276
testCMSSpreadLeg 1.303
testFixLeg 0.938
testLIBORInArrearsFloatLeg 1.003
testCMSFloatLeg 1.361

FIPXMLParserTest

testGetSwapProductDescriptor 0.014

AnalyticOptionValuationTest

Test_noArbitrage 0.029
Test_sensis 0.003

RandomVariableDifferentiableTest

testRandomVariableExpectation 0.042
testRandomVariableExpectation 0.006
testRandomVariableExpectation 0.007
testRandomVariableExpectation 0.005
testRandomVariableSimpleGradient2 0.001
testRandomVariableSimpleGradient2 0.001
testRandomVariableSimpleGradient2 0
testRandomVariableSimpleGradient2 0
testRandomVariableSimpleGradient 0
testRandomVariableSimpleGradient 0
testRandomVariableSimpleGradient 0
testRandomVariableSimpleGradient 0
testRandomVariableGradientBiggerSum 0.586
testRandomVariableGradientBiggerSum 0.26
testRandomVariableGradientBiggerSum 0.512
testRandomVariableGradientBiggerSum 0.293
testRandomVariableGradientBigSumWithConstants 0.079
testRandomVariableGradientBigSumWithConstants 0.041
testRandomVariableGradientBigSumWithConstants 0.032
testRandomVariableGradientBigSumWithConstants 0.024
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableGradientBigSum2 0.037
testRandomVariableGradientBigSum2 0.009
testRandomVariableGradientBigSum2 0.016
testRandomVariableGradientBigSum2 0.008
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableGradientBigSum 0.065
testRandomVariableGradientBigSum 0.02
testRandomVariableGradientBigSum 0.045
testRandomVariableGradientBigSum 0.024
testRandomVariableStochastic 0.001
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0.001
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 33.964
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 33.891
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 34.12
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 33.875
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration 18.681
testATMSwaptionCalibration 62.763

DICEModelTest

testTimeStep1Y 0.046
testTimeStep5Y 0.003
testTimeStep6M 0.009

TrapezoidalRealIntegratorTest

test 0.006

LIBORMarketModelInterpolationTest

testInterpolatedLastLIBOR 9.814
testInterpolatedLastLIBOR 10.045
testInterpolatedLastLIBOR 9.585

ExposureTest

testExpectedPositiveExposure 9.865
testAgainstSwaption 7.662

VarianceGammaModelTest

test 2.068

RootFindersTest

testRootFinders 0.017

CashSettledSwaptionTest

a_testSimplifiedLinear 0.447
b_testBasicPiterbarg 3.973
c_testMultiPiterbarg 3.907

FPMLParserTest

testGetSwapProductDescriptor 0.024

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.187

BusinessdayCalendarTest

testNycCalendar 0.014
testCreateDateFromDateAndOffsetCode 0.01
testCombinedCalendar 0.003
testTargetCalendar 0.001
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 2.123

DepositTest

testRateValueConsistency 0.014
testEvaluationTime 0
testDepositValue 0

InterestRateSwapLegDescriptorTest

testFloatLeg 1.349
testFixLeg 0.988

FundingCapacityTest

test 0.01

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

test 1.373

VarianceGammaModelDescriptorTest

test 28.073

NormalizingFunctionTest

testExpectation 0.023

ConstantMaturitySwapTest

testSimplifiedLinear 0.469
testBasicPiterbarg 8.067
testMultiPiterbarg 7.945

AnnuityDummyTest

testSimplified 0.119
testBasic 0.076
testMulti 0.066

SABRCubeParallelCalibrationTest

testCalibration 7.035

StaticCubeCalibrationTest

testStaticCubeCalibration 6.438

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.034
test 0.023

AcceptanceRejectionRandomNumberGeneratorTest

test 0.624

DayCountConventionTest

testDayCountConvention_30E_360 0.004
testDayCountConvention_ACT_360 0.001
testDayCountConvention_ACT_365 0
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.002
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 0.388

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities 1.507
testProductAADSensitivities 1.443
testProductAADSensitivities 1.67

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic 2.233
testFRAMonteCarloVersusAnalytic 2.898
testFRAMonteCarloVersusAnalytic 5.491
testFRAMonteCarloVersusAnalytic 1.198
testFRAMonteCarloVersusAnalytic 2.966
testFRAMonteCarloVersusAnalytic 5.603

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.028
testBoothFunctionWithAnalyticDerivative 0.006
testRosenbrockFunctionWithList 0.002
testBoothFunction 0.003
testRosenbrockFunction 0.004
testSmallLinearSystem 0.001

CDSTest

testCDS 0.056

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse0 0.019
testSolveLinearEquationLeastSquarePseudoInverse1 0
testSolveLinearEquationLeastSquarePseudoInverse2 0
testSolveLinearEquationLeastSquarePseudoInverse3 0
testMatrixPowerNonSymmetric 0.003
testMatrixPowerSymmetric 0.001

SimpleCappedFlooredFloatingRateBondTest

test 3.556
test 3.364

CrossCurrencyLIBORMarketModelFromModelsTest

testForeignBond 11.689
testProperties 6.479
testForeignCaplet 10.943
testForeignFRA 11.101

FundingCapacityTest

testBond 3.965
testBond 3.639
testSwap 3.66
testSwap 3.723
testSwaptionSmile 3.6
testSwaptionSmile 3.571
testSwaption 3.553
testSwaption 3.686
testDigitalCaplet 3.626
testDigitalCaplet 3.662
testCaplet 3.564
testCaplet 3.654
testSwaptionCalibration 14.046
testSwaptionCalibration 14.7

TestCarrMadan

test 0.029

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.046
testRosenbrockFunctionWithLevenbergMarquard 0.004

AnnuityMappingTest

a_testMappings 0.003
b_testSeq 0.003
c_testFirstDerivative 0.002
d_testSecondDerivative 0.001

MonteCarloBlackScholesModelTest

testDirectValuation 0.053
testProductImplementation 0.037

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.078
testModelRandomVariable 0.045
testModelRandomVariable 0.033
testModelRandomVariable 0.031
testEuropeanCallVega 0.242
testEuropeanCallVega 0.216
testEuropeanCallVega 0.188
testEuropeanCallVega 0.191
testEuropeanCallDelta 0.163
testEuropeanCallDelta 0.192
testEuropeanCallDelta 0.168
testEuropeanCallDelta 0.179
testEuropeanCall 0.045
testEuropeanCall 0.032
testEuropeanCall 0.033
testEuropeanCall 0.034
testModelProperties 0.047
testModelProperties 0.047
testModelProperties 0.046
testModelProperties 0.094

ScheduleGeneratorTest

testPeriodLength 0.013
testPeriodStartPeriodEnd 0.001
testScheduleGeneratorMetaData 0.001

BiLinearInterpolationTest

test 0.03

CapletVolatilitiesTest

testConversions 0.039

VarianceGammaDaxCalibrationTest

test 0.949

CalibrationMultiCurveTest

testMultiCurveCalibration 0.66

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.008
testAssumingEndDateIsNotATerminationDate 0

CMSOptionTest

testCMSOption 0.297

DeltaHedgedPortfolioWithAADTest

testHedgePerformance 6.941
testHedgePerformance 6.268

BlackScholesCallOptionTest

test 0.038
testDigitalOption 0.013

BachelierModelTest

testInhomogeneousImpliedVolatility 0.036
testHomogeneousRandomVariableImplementations 0.002
testDelta 0.003
testVega 0.001
testInhomogeneousRandomVariableImplementations 0.001
testInhomogenousDelta 0.001
testInhomogenousVega 0.001
testImpliedVolatility 0.006

SwaptionNormalTest

testSwaption 0.713

LIBORMarketModelWithTenorRefinementCalibrationTest

testSwaptionSmileCalibration 201.974
testATMSwaptionCalibration 230.833

LIBORMarketModelCalibrationSmileTest

testSwaptionSmileCalibration 17.584

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 1.02

CurveTest

testCurveFitting 0.031

HighEntropyRandomNumberGeneratorTest

distributionTest 0.032
testRNGWithConcurrency 0.028

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 0.565

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 0.347
testEuropeanAsianBermudanOption 0.23
testEuropeanAsianBermudanOption 0.232
testEuropeanAsianBermudanOption 0.231
testModelRandomVariable 0.036
testModelRandomVariable 0.033
testModelRandomVariable 0.031
testModelRandomVariable 0.03
testEuropeanCallVega 1.047
testEuropeanCallVega 1.034
testEuropeanCallVega 1.137
testEuropeanCallVega 1.003
testEuropeanCallDelta 1.193
testEuropeanCallDelta 1.219
testEuropeanCallDelta 1.258
testEuropeanCallDelta 1.165
testEuropeanCall 0.034
testEuropeanCall 0.033
testEuropeanCall 0.047
testEuropeanCall 0.034
testModelProperties 0.036
testModelProperties 0.036
testModelProperties 0.035
testModelProperties 0.036

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.034
test 0.004

SABRCubeCalibrationTest

testSABRCubeCalibration 14.735

LIBORIndexTest

testSinglePeriods 0.136
testSinglePeriods 0.08
testSinglePeriods 0.142
testSinglePeriods 0.238
testSinglePeriods 0.289
testSinglePeriods 0.56
testSinglePeriods 1.095
testSinglePeriods 2.171
testSinglePeriods 2.831
testSinglePeriods 5.37
testSinglePeriods 0.038
testSinglePeriods 0.061
testSinglePeriods 0.114
testSinglePeriods 0.221
testSinglePeriods 0.276
testSinglePeriods 0.544
testSinglePeriods 1.078
testSinglePeriods 2.178
testSinglePeriods 2.778
testSinglePeriods 5.543
testMultiPeriodFloater 0.05
testMultiPeriodFloater 0.085
testMultiPeriodFloater 0.126
testMultiPeriodFloater 0.275
testMultiPeriodFloater 0.274
testMultiPeriodFloater 0.54
testMultiPeriodFloater 1.108
testMultiPeriodFloater 2.164
testMultiPeriodFloater 2.611
testMultiPeriodFloater 5.102
testMultiPeriodFloater 0.035
testMultiPeriodFloater 0.068
testMultiPeriodFloater 0.114
testMultiPeriodFloater 0.213
testMultiPeriodFloater 0.258
testMultiPeriodFloater 0.526
testMultiPeriodFloater 1.033
testMultiPeriodFloater 2.087
testMultiPeriodFloater 2.575
testMultiPeriodFloater 5.211
testUnalignedPeriods 0.054
testUnalignedPeriods 0.069
testUnalignedPeriods 0.113
testUnalignedPeriods 0.258
testUnalignedPeriods 0.263
testUnalignedPeriods 0.547
testUnalignedPeriods 1.081
testUnalignedPeriods 2.23
testUnalignedPeriods 2.595
testUnalignedPeriods 5.131
testUnalignedPeriods 0.033
testUnalignedPeriods 0.062
testUnalignedPeriods 0.112
testUnalignedPeriods 0.211
testUnalignedPeriods 0.257
testUnalignedPeriods 0.52
testUnalignedPeriods 1.058
testUnalignedPeriods 2.13
testUnalignedPeriods 2.746
testUnalignedPeriods 5.232

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.183

HullWhiteModelTest

testBermudanSwaption 3.189
testZeroCMSSwap 4.927
testBond 0.213
testSwap 5.189
testSwaption 0.544
testCaplet 0.265
testCapletSmile 0.168
testLIBORInArrearsFloatLeg 0.002
testPutOnMoneyMarketAccount 0.148

RandomVariableDifferentiableAADPerformanceTest

test 1.244
test 1.159
test 5.526
test 4.492
test 1.13
test 1.082
test 1.646
test 1.119
test 1.392
test 1.098
test 1.249
test 1.074
test 58.076
test 12.917
test 59.732
test 13.358
test 42.39
test 8.7

NelsonSiegelSvenssonBondCalibrationTest

testBondNSSCurveCalibration 0.052

MertonModelTest

test 6.094

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration 50.035
testVolatilityCalibration 86.109

ModelWithProductFactoryTest

bsTest 1.884
hTest 1.861

DiscountCurveNelsonSiegelSvenssonTest

test 0.003

SimpsonRealIntegratorTest

testCos 0.009
testCubic 0.001

ForwardAgreementWithFundingRequirementTest

test 0.196

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.051
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.009
testFlatVolatilityUsingA 0.001
testFlatVolatilityUsingD 0

DataTablesTest

testTables 0.041

HestonModelCallOptionTest

test 0.075
test 0.032

FloatingpointDateTest

testLocalDateTime 0.725
test 0.001
testLocalDateLocalDateTimeConsistency 0.001

SviVolatiltitySurfaceTest

Test_noArbitrage 0.019
Test_calibration 0.015
Test_stickyness 0.001

RandomVariableTest

testAdd 0.003
testAdd 0.001
testAdd 0.006
testAdd 0.001
testAdd 0.001
testCap 0
testCap 0
testCap 0
testCap 0.001
testCap 0
testApply 0
testApply 0
testApply 0.001
testApply 0
testApply 0.001
testFloor 0
testFloor 0
testFloor 0
testFloor 0
testFloor 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableStandardDeviation 0.001
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testGetQuantile 4.139
testGetQuantile 4.063
testGetQuantile 4.054
testGetQuantile 4.04
testGetQuantile 4.111
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testApply2 0
testApply2 0
testApply2 0.002
testApply2 0
testApply2 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0.001
testRandomVariableStochastic 0
testRandomVariableStochastic 0.001
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0

HestonModelTest

test 3.316
test 3.176

LibraryTest

testVersionString 0.002
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 0.412
testProductImplementation 0.348
testProductImplementation 0.399

InterestRateProductTest

testBond 1.158
testSwap 1.008
testSwaption 1.097

DiscountCurveSerializationTest

test 0.025

AssetBlackScholesModelDescriptorTest

test 1.966

BarrierOptionsTest

testDownAndInCall 0.024
testDownAndOutPut 0.001
testDownAndInPut 0
testUpAndInPut 0.001
testUpAndInCall 0
testUpAndOutPut 0.001
testUpAndOutCall 0
testDownAndOutCall 0.001

LIBORMarketModelHierarchyTest

testModelHierarchy 1.504

SABRVolatilityCubeSharedParametersTest

a_cubeATM 0.009
b_strikeSlices 0.007

VarianceGammaCallOptionTest

testMartingalePropertyMonteCarlo 2.04
test 2.088
testMartingaleProperty 0.001

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.233

ForwardCurveNelsonSiegelSvenssonTest

test 0.006

LIBORMarketModelMultiCurveValuationTest

testBond 3.921
testBond 3.524
testSwap 3.656
testSwap 3.617
testSwaptionSmile 3.54
testSwaptionSmile 3.596
testSwaption 3.52
testSwaption 3.621
testDigitalCaplet 3.527
testDigitalCaplet 3.602
testCaplet 3.508
testCaplet 3.601
testSwaptionCalibration 13.474
testSwaptionCalibration 13.467

MertonJumpDiffusionCallOptionTest

testMartingalePropertyMonteCarlo 3.171
test 3.239
testMartingaleProperty 0.001

EuropeanOptionVegaPathwiseTest

test 1.607

CalibrationTest

testCurvesAndCalibration 0.067
testCurvesAndCalibration 0.007
testCurvesAndCalibration 0.01
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0
testForwardCurveFromDiscountCurve 0.001

AnalyticFormulasTest

testSABRSkewApproximation 0.012
testBlackScholesPutCallParityATM 0.006
testVolatilityConversionLognormalToNormal 0.002
testBlackModelCapletImpliedVol 0.001
testBlackModelDigitalCapletDelta 0
testBachelierOptionImpliedVolatility 0.416
testBlackScholesNegativeForward 0
testSABRCurvatureApproximation 0.001
testBachelierRiskNeutralProbabilities 0.007
testSABRCalibration 4.044
testBachelierOptionDelta 0.02

ConstantElasticityOfVarianceThetaTest

testEuropeanCallOption 0.473
testEuropeanPutOption 0.403

MonteCarloIntegratorTest

testCos 0.08
testCubic 0.027

MultiAssetBlackScholesModelTest

testModelWithFactorLoadings 6.011
testModelWithCloneModifiedVolatility 0.448
testModelCloneWithModifiedSeed 0.19
testModelWithVolatilityAndCorrelation 5.78

HestonModelDescriptorTest

test 1.996

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.006
constructWithSetAtDefaultTickSize 0.001
constructWithBoxedArrayAtSmallTickSize 0
testUnionWithSubTickDuplicates 0.001
testIntersectionWithNoDuplicates 0
constructWithUnboxedArrayAtDefaultTickSize 0
constructWithIntervalShortStubAtFront 0.002
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0
constructWithBoxedArrayAtBigTickSize 0.001
constructWithSetAtBigTickSize 0
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0
constructWithBoxedArrayAtDefaultTickSize 0.001
constructWithArrayListAtSmallTickSize 0
testUnionWithNoDuplicates 0
testUnionWithDifferentTickSizes 0
constructWithArrayListAtDefaultTickSize 0.001

Black76ModelTest

Test_black76_impliedVolatility 0.012
Test_black76_formula 0

SABRVolatilityCubeTest

a_cubeATM 0.014
b_strikeSlices 0.009
c_testAccessPerformance 0.04
d_testAccessPerformanceOnNodes 0.008

HullWhiteModelCalibrationTest

testATMSwaptionCalibration 0.559

BlackScholesThetaTest

testEuropeanCallOption 0.138
testEuropeanPutOption 0.076

SABRShiftedSmileCalibrationTest

testCalibration 3.547
testSingleSmile 0.018

TestCurvesFromLIBORModel

testStochasticCurves 0.428

LIBORMarketModelValuationTest

testFRA 2.885
testFRA 2.644
testFRA 2.813
testFRA 2.812
testBond 2.073
testBond 2.07
testBond 2.081
testBond 2.091
testSwap 1.795
testSwap 1.851
testSwap 1.836
testSwap 1.893
testSwaptionSmile 1.756
testSwaptionSmile 1.742
testSwaptionSmile 1.8
testSwaptionSmile 1.821
testSwaption 1.765
testSwaption 1.749
testSwaption 1.816
testSwaption 1.872
testDigitalCaplet 1.748
testDigitalCaplet 1.757
testDigitalCaplet 1.911
testDigitalCaplet 1.825
testLIBORInArrearsConvexity 1.759
testLIBORInArrearsConvexity 1.779
testLIBORInArrearsConvexity 1.807
testLIBORInArrearsConvexity 1.861
testCaplet 1.758
testCaplet 1.811
testCaplet 1.791
testCaplet 1.911
testCapletSmile 1.774
testCapletSmile 1.767
testCapletSmile 1.785
testCapletSmile 1.763
testSwaptionCalibration 0.099
testSwaptionCalibration 0.035
testSwaptionCalibration 0.036
testSwaptionCalibration 0.035

VarianceGammaTest

testCharacteristicFunction 1.081

Failure Details

[Summary] [Package List] [Test Cases]


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