Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
219 0 0 0 100% 742.714

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.marketdata.model.curves 16 0 0 0 100% 0.337
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 15.248
net.finmath.montecarlo.interestrate 35 0 0 0 100% 162.487
net.finmath.time.daycount 3 0 0 0 100% 0.001
net.finmath.fouriermethod 4 0 0 0 100% 0.177
net.finmath.marketdata.products 3 0 0 0 100% 0.001
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.034
net.finmath.montecarlo.interestrate.products.indices 60 0 0 0 100% 164.365
net.finmath.montecarlo.interestrate.products 9 0 0 0 100% 23.296
net.finmath.montecarlo.assetderivativevaluation 23 0 0 0 100% 17.771
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 1.844
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 323.376
net.finmath.montecarlo.assetderivativevaluation.products 1 0 0 0 100% 2.372
net.finmath.time 12 0 0 0 100% 0.026
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.867
net.finmath.montecarlo 9 0 0 0 100% 25.069
net.finmath.integration 3 0 0 0 100% 0
net.finmath.convexityadjustment 1 0 0 0 100% 0.291
net.finmath.functions 7 0 0 0 100% 5.116
net.finmath.optimizer 10 0 0 0 100% 0.036

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

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.053
CurveTest 1 0 0 0 100% 0
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.001
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.283

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 15.248

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 1.511
HullWhiteModelTest 9 0 0 0 100% 12.467
LIBORMarketModelCalibrationTest 2 0 0 0 100% 73.582
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 59.936
LIBORMarketModelValuationTest 9 0 0 0 100% 14.991

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0
DayCountConvention_30E_360Test 1 0 0 0 100% 0.001

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.068
HestonModelCallOptionTest 2 0 0 0 100% 0.109

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.001

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.034

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexTest 60 0 0 0 100% 164.365

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 7.479
SwapLegTest 5 0 0 0 100% 13.177
SwaptionAnalyticApproximationTest 2 0 0 0 100% 2.64

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
BachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.864
BlackScholesMonteCarloValuationTest 6 0 0 0 100% 2.942
DisplacedLognomalModelTest 1 0 0 0 100% 2.381
HestonModelTest 1 0 0 0 100% 2.237
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.828
MertonModelTest 1 0 0 0 100% 4.481
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.038

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 1.844

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 323.242
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.101
CapletVolatilitiesTest 1 0 0 0 100% 0.033

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 2.372

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.001
FloatingpointDateTest 1 0 0 0 100% 0
ScheduleGeneratorTest 3 0 0 0 100% 0.025

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.359
TestCurvesFromLIBORModel 1 0 0 0 100% 0.508

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 3 0 0 0 100% 19.178
GammaProcessTest 1 0 0 0 100% 5.89
RandomVariableTest 5 0 0 0 100% 0.001

net.finmath.integration

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

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.291

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
AnalyticFormulasTest 6 0 0 0 100% 5.116
JarqueBeraTestTest 1 0 0 0 100% 0

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
LevenbergMarquardtTest 6 0 0 0 100% 0.001
OptimizerFactoryTest 2 0 0 0 100% 0.033
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.002

Test Cases

[Summary] [Package List] [Test Cases]

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.121
testForwardCurveFromDiscountCurve[LINEAR] 0.001
testCurvesAndCalibration[HARMONIC_SPLINE] 0.013
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.001
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.014
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.001

TestCurvesFromLIBORModel

testStochasticCurves 0.508

CMSOptionTest

testCMSOption 0.291

BlackScholesCallOptionTest

test 0.044
testDigitalOption 0.024

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@57d5872c] 0.076
test[net.finmath.fouriermethod.products.DigitalOption@667a738] 0.032

AnalyticFormulasTest

testSABRSkewApproximation 0
testBlackScholesPutCallParityATM 0
testBachelierOptionImpliedVolatility 1.222
testSABRCurvatureApproximation 0.001
testBachelierRiskNeutralProbabilities 0.002
testSABRCalibration 3.891

JarqueBeraTestTest

test 0

SimpsonRealIntegratorTest

testCos 0
testCubic 0

TrapezoidalRealIntegratorTest

test 0

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.017
testForwardCurveFromDiscountCurve[LINEAR] 0.001
testCurvesAndCalibration[CUBIC_SPLINE] 0.006
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0
testCurvesAndCalibration[AKIMA] 0.007
testForwardCurveFromDiscountCurve[AKIMA] 0
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.007
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0
testCurvesAndCalibration[HARMONIC_SPLINE] 0.007
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.007
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0

CurveTest

testCurveFitting 0

DiscountCurveNelsonSiegelSvenssonTest

test 0

ForwardCurveNelsonSiegelSvenssonTest

test 0

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.282

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[{1}] 121.06
testVolatilityCalibration[{1}] 202.182

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.092
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.009
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

CapletVolatilitiesTest

testConversions 0.033

DepositTest

testRateValueConsistency 0
testEvaluationTime 0
testDepositValue 0

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.594
testModelRandomVariable 0.047
testEuropeanCallVega 0.097
testEuropeanCallDelta 0.088
testEuropeanCall 0.018
testModelProperties 0.02

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.544
testModelRandomVariable 0.028
testEuropeanCallVega 0.175
testEuropeanCallDelta 0.156
testEuropeanCall 0.02
testModelProperties 0.019

DisplacedLognomalModelTest

testProductImplementation 2.381

HestonModelTest

test 2.237

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.601
testModelRandomVariable 0.013
testEuropeanCallVega 0.094
testEuropeanCallDelta 0.084
testEuropeanCall 0.017
testModelProperties 0.019

MertonModelTest

test 4.481

MonteCarloBlackScholesModelTest

testDirectValuation 0.015
testProductImplementation 0.023

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 2.372

BrownianMotionTest

testBrownianIncrementSquaredDrift 5.381
testScalarValuedBrownianMotionTerminalDistribution 8.035
testScalarValuedBrownianMotionWithJarqueBeraTest 5.762

GammaProcessTest

testScaling 5.89

CapValuationTest

testCap 1.511

HullWhiteModelTest

testBermudanSwaption 5.352
testZeroCMSSwap 2.354
testBond 0.608
testSwap 1.047
testSwaption 0.771
testCaplet 0.681
testCapletSmile 0.511
testLIBORInArrearsFloatLeg 0.588
testPutOnMoneyMarketAccount 0.535

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 22.369
testATMSwaptionCalibration 51.213

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 3.787
testSwap[SPOT] 3.904
testSwaptionSmile[SPOT] 3.974
testSwaption[SPOT] 4.319
testDigitalCaplet[SPOT] 4.777
testCaplet[SPOT] 4.724
testSwaptionCalibration[SPOT] 0.283
testBond[TERMINAL] 7.776
testSwap[TERMINAL] 5.598
testSwaptionSmile[TERMINAL] 6.422
testSwaption[TERMINAL] 5.505
testDigitalCaplet[TERMINAL] 4.226
testCaplet[TERMINAL] 4.403
testSwaptionCalibration[TERMINAL] 0.222

LIBORMarketModelValuationTest

testFRA 1.902
testBond 1.983
testSwap 2.193
testSwaptionSmile 1.801
testSwaption 1.949
testDigitalCaplet 1.679
testCaplet 1.735
testCapletSmile 1.617
testSwaptionCalibration 0.125

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 1.844

ExposureTest

testExpectedPositiveExposure 8.483
testAgainstSwaption 6.765

LIBORIndexTest

testSinglePeriods[NSS-1.000] 0.002
testMultiPeriodFloater[NSS-1.000] 0.008
testUnalignedPeriods[NSS-1.000] 0.043
testSinglePeriods[NSS-2.000] 0.075
testMultiPeriodFloater[NSS-2.000] 0.085
testUnalignedPeriods[NSS-2.000] 0.079
testSinglePeriods[NSS-4.000] 0.15
testMultiPeriodFloater[NSS-4.000] 0.149
testUnalignedPeriods[NSS-4.000] 0.159
testSinglePeriods[NSS-8.000] 0.32
testMultiPeriodFloater[NSS-8.000] 0.323
testUnalignedPeriods[NSS-8.000] 0.304
testSinglePeriods[NSS-10.000] 0.389
testMultiPeriodFloater[NSS-10.000] 0.4
testUnalignedPeriods[NSS-10.000] 0.379
testSinglePeriods[NSS-20.000] 0.766
testMultiPeriodFloater[NSS-20.000] 0.835
testUnalignedPeriods[NSS-20.000] 0.784
testSinglePeriods[NSS-40.000] 1.705
testMultiPeriodFloater[NSS-40.000] 1.747
testUnalignedPeriods[NSS-40.000] 1.706
testSinglePeriods[NSS-80.000] 3.942
testMultiPeriodFloater[NSS-80.000] 3.759
testUnalignedPeriods[NSS-80.000] 3.768
testSinglePeriods[NSS-100.000] 4.814
testMultiPeriodFloater[NSS-100.000] 4.862
testUnalignedPeriods[NSS-100.000] 4.772
testSinglePeriods[NSS-200.000] 13.494
testMultiPeriodFloater[NSS-200.000] 13.449
testUnalignedPeriods[NSS-200.000] 14.817
testSinglePeriods[DISCRETE-1.000] 0.055
testMultiPeriodFloater[DISCRETE-1.000] 0.04
testUnalignedPeriods[DISCRETE-1.000] 0.038
testSinglePeriods[DISCRETE-2.000] 0.071
testMultiPeriodFloater[DISCRETE-2.000] 0.078
testUnalignedPeriods[DISCRETE-2.000] 0.07
testSinglePeriods[DISCRETE-4.000] 0.142
testMultiPeriodFloater[DISCRETE-4.000] 0.157
testUnalignedPeriods[DISCRETE-4.000] 0.17
testSinglePeriods[DISCRETE-8.000] 0.372
testMultiPeriodFloater[DISCRETE-8.000] 0.355
testUnalignedPeriods[DISCRETE-8.000] 0.344
testSinglePeriods[DISCRETE-10.000] 0.404
testMultiPeriodFloater[DISCRETE-10.000] 0.405
testUnalignedPeriods[DISCRETE-10.000] 0.387
testSinglePeriods[DISCRETE-20.000] 0.932
testMultiPeriodFloater[DISCRETE-20.000] 0.918
testUnalignedPeriods[DISCRETE-20.000] 0.957
testSinglePeriods[DISCRETE-40.000] 2.213
testMultiPeriodFloater[DISCRETE-40.000] 2.267
testUnalignedPeriods[DISCRETE-40.000] 2.101
testSinglePeriods[DISCRETE-80.000] 4.972
testMultiPeriodFloater[DISCRETE-80.000] 4.832
testUnalignedPeriods[DISCRETE-80.000] 4.92
testSinglePeriods[DISCRETE-100.000] 6.188
testMultiPeriodFloater[DISCRETE-100.000] 5.863
testUnalignedPeriods[DISCRETE-100.000] 5.322
testSinglePeriods[DISCRETE-200.000] 12.218
testMultiPeriodFloater[DISCRETE-200.000] 14.735
testUnalignedPeriods[DISCRETE-200.000] 14.7

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 3.523
test[TERMINAL] 3.956

SwapLegTest

testFloatLeg 2.306
testCMSSpreadLeg 2.963
testFixLeg 2.406
testLIBORInArrearsFloatLeg 2.538
testCMSFloatLeg 2.964

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.333
testSingleCurveModel 1.307

RandomVariableTest

testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableStandardDeviation 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableStochastic 0
testRandomVariableDeterministc 0

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0
testBoothFunctionWithAnalyticDerivative 0
testRosenbrockFunctionWithList 0
testBoothFunction 0
testRosenbrockFunction 0.001
testSmallLinearSystem 0

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.032
testRosenbrockFunctionWithLevenbergMarquard 0.001

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0
test 0.002

BusinessdayCalendarTest

testNycCalendar 0.023
testCreateDateFromDateAndOffsetCode 0.003
testCombinedCalendar 0.008
testTargetCalendar 0
testLondonCalendar 0

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0
testAssumingEndDateIsNotATerminationDate 0

DayCountConvention_30E_360Test

test 0

DayCountConventionTest

testDayCountConvention_30E_360 0
testDayCountConvention_ACT_360 0
testDayCountConvention_ACT_365 0
testDayCountConventionAdditivity_ACT_ACT_ICMA 0
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

FloatingpointDateTest

test 0

ScheduleGeneratorTest

testPeriodLength 0.025
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0