Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
569 0 0 0 100% 1,691.26

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 87 0 0 0 100% 736.868
net.finmath.montecarlo.automaticdifferentiation 89 0 0 0 100% 48.486
net.finmath.rootfinder 1 0 0 0 100% 0.043
net.finmath.fouriermethod 7 0 0 0 100% 4.417
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.089
net.finmath.marketdata.products 3 0 0 0 100% 0.229
net.finmath.fouriermethod.calibration 1 0 0 0 100% 2.028
net.finmath.time 34 0 0 0 100% 1.531
net.finmath.integration 3 0 0 0 100% 0.205
net.finmath.stochastic 20 0 0 0 100% 0.318
net.finmath.modelling.descriptor.xmlparser 2 0 0 0 100% 0.433
net.finmath.convexityadjustment 1 0 0 0 100% 0.512
net.finmath.modelling 1 0 0 0 100% 7.028
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.523
net.finmath.optimizer 12 0 0 0 100% 1.283
net.finmath.montecarlo.automaticdifferentiation.backward 19 0 0 0 100% 124.688
net.finmath.randomnumbers 1 0 0 0 100% 1.379
net.finmath.marketdata.model.curves 18 0 0 0 100% 7.835
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 17.037
net.finmath.time.daycount 3 0 0 0 100% 0.097
net.finmath.fouriermethod.products 1 0 0 0 100% 0.103
net.finmath.information 2 0 0 0 100% 0.09
net.finmath.montecarlo.interestrate.products 13 0 0 0 100% 23.132
net.finmath.montecarlo.interestrate.products.indices 66 0 0 0 100% 188.15
net.finmath.modelling.descriptor 4 0 0 0 100% 14.692
net.finmath.montecarlo.assetderivativevaluation 68 0 0 0 100% 48.941
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 11.683
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 23.888
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 272.337
net.finmath.modelling.productfactory 2 0 0 0 100% 6.885
net.finmath.finitedifference 1 0 0 0 100% 0.53
net.finmath.montecarlo 67 0 0 0 100% 140.208
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.828
net.finmath.interpolation 1 0 0 0 100% 0.594
net.finmath.functions 14 0 0 0 100% 4.17

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% 2.355
LIBORMarketModelNormalAADSensitivitiesTest 15 0 0 0 100% 88.965
LIBORMarketModelCalibrationTest 2 0 0 0 100% 192.173
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 192.612
LIBORMarketModelInterpolationTest 3 0 0 0 100% 22.189
HullWhiteModelTest 9 0 0 0 100% 13.386
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 134.446
HullWhiteModelCalibrationTest 1 0 0 0 100% 0.725
LIBORMarketModelValuationTest 40 0 0 0 100% 90.017

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableTypePriorityTest 16 0 0 0 100% 0.077
RandomVariableDifferentiableArithmeticTest 20 0 0 0 100% 0.081
RandomVariableDifferentiableTest 52 0 0 0 100% 47.145
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 1.183

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.043

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.128
HestonModelCallOptionTest 2 0 0 0 100% 0.229
MertonJumpDiffusionCallOptionTest 3 0 0 0 100% 4.06

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.089

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.229

net.finmath.fouriermethod.calibration

Class Tests Errors Failures Skipped Success Rate Time
HestonDaxCalibrationTest 1 0 0 0 100% 2.028

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.055
ScheduleGeneratorTest 3 0 0 0 100% 0.066
FloatingpointDateTest 3 0 0 0 100% 1.316
TimeDiscretizationTest 20 0 0 0 100% 0.094

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.088
SimpsonRealIntegratorTest 2 0 0 0 100% 0.117

net.finmath.stochastic

Class Tests Errors Failures Skipped Success Rate Time
ScalarTest 20 0 0 0 100% 0.318

net.finmath.modelling.descriptor.xmlparser

Class Tests Errors Failures Skipped Success Rate Time
FIPXMLParserTest 1 0 0 0 100% 0.134
FPMLParserTest 1 0 0 0 100% 0.299

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.512

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 7.028

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.523

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.41
LevenbergMarquardtTest 6 0 0 0 100% 0.459
OptimizerFactoryTest 2 0 0 0 100% 0.246
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.168

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableAADTest 1 0 0 0 100% 0.065
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 124.623

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 1.379

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 3.819
CalibrationMultiCurveTest 1 0 0 0 100% 3.011
CurveTest 1 0 0 0 100% 0.185
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.086
DiscountCurveSerializationTest 1 0 0 0 100% 0.132
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.411
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.191

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 17.037

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.048
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.049

net.finmath.fouriermethod.products

Class Tests Errors Failures Skipped Success Rate Time
TestCarrMadan 1 0 0 0 100% 0.103

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.09

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 2.625
SwapLegTest 5 0 0 0 100% 8.041
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 6.234
SwaptionNormalTest 1 0 0 0 100% 2.157
InterestRateProductTest 3 0 0 0 100% 4.075

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexMultiCurveTest 6 0 0 0 100% 36.889
LIBORIndexTest 60 0 0 0 100% 151.261

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 7.899
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 2.611
HestonModelDescriptorTest 1 0 0 0 100% 4.182

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.997
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 7.07
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.278
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.526
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.838
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.15
BachelierModelMonteCarloValuationTest 24 0 0 0 100% 11.736
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 12.907
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.19
MertonModelTest 1 0 0 0 100% 4.186
HestonModelTest 2 0 0 0 100% 4.707
DisplacedLognomalModelTest 1 0 0 0 100% 2.356

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 11.683

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 2.156
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 21.732

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 1.213
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 270.29
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.834

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 6.885

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesThetaTest 1 0 0 0 100% 0.53

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 20 0 0 0 100% 106.024
GammaProcessTest 1 0 0 0 100% 7.058
RandomVariableTest 45 0 0 0 100% 25.54
VarianceGammaTest 1 0 0 0 100% 1.586

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.207
TestCurvesFromLIBORModel 1 0 0 0 100% 0.621

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.594

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.307
JarqueBeraTestTest 1 0 0 0 100% 0.085
LinearAlgebraTest 3 0 0 0 100% 0.067
AnalyticFormulasTest 8 0 0 0 100% 3.711

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 2.23

NormalDistributionTest

testCumulativeDistribution 0.089
testInverseCumulativeDistribution 0.18

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.717
testModelRandomVariable 0.018
testEuropeanCallVega 0.089
testEuropeanCallDelta 0.092
testEuropeanCall 0.019
testModelProperties 0.017

DayCountConvention_30E_360Test

test 0.002

JarqueBeraTestTest

test 0.043

BrownianMotionTest

testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 3.326
testSerialization[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.04
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 5.673
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 5.091
testDensity[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 11.956
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@136432db] 3.67
testSerialization[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.037
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@136432db] 5.443
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@136432db] 5.069
testDensity[net.finmath.montecarlo.RandomVariableFactory@136432db] 12.73
testBrownianIncrementSquaredDrift[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 3.174
testSerialization[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.03
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 5.772
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 5.067
testDensity[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 12.713
testBrownianIncrementSquaredDrift[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.957
testSerialization[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.038
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 5.685
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 4.769
testDensity[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 11.732

RandomVariableDifferentiableTypePriorityTest

testTypePriorityAdd[0] 0.012
testTypePriorityCap[0] 0.001
testTypePriorityMult[0] 0.001
testTypePriorityFloor[0] 0
testTypePriorityAdd[1] 0.001
testTypePriorityCap[1] 0.001
testTypePriorityMult[1] 0.001
testTypePriorityFloor[1] 0.001
testTypePriorityAdd[2] 0.002
testTypePriorityCap[2] 0
testTypePriorityMult[2] 0.001
testTypePriorityFloor[2] 0
testTypePriorityAdd[3] 0.001
testTypePriorityCap[3] 0.001
testTypePriorityMult[3] 0
testTypePriorityFloor[3] 0.001

RandomVariableDifferentiableArithmeticTest

testArithmeticExpLog[0] 0.015
testArithmeticSqrtMultSqrt[0] 0
testArithmeticSqrtSquared[0] 0
testArithmeticDivSelf[0] 0
testArithmeticSubSelf[0] 0.001
testArithmeticExpLog[1] 0
testArithmeticSqrtMultSqrt[1] 0
testArithmeticSqrtSquared[1] 0.001
testArithmeticDivSelf[1] 0
testArithmeticSubSelf[1] 0
testArithmeticExpLog[2] 0.007
testArithmeticSqrtMultSqrt[2] 0
testArithmeticSqrtSquared[2] 0
testArithmeticDivSelf[2] 0
testArithmeticSubSelf[2] 0.001
testArithmeticExpLog[3] 0.001
testArithmeticSqrtMultSqrt[3] 0
testArithmeticSqrtSquared[3] 0
testArithmeticDivSelf[3] 0
testArithmeticSubSelf[3] 0

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.54
testSingleCurveModel 1.035

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.895
testForwardCurveFromDiscountCurve[LINEAR] 0.029
testCurvesAndCalibration[CUBIC_SPLINE] 0.667
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0.034
testCurvesAndCalibration[AKIMA] 0.503
testForwardCurveFromDiscountCurve[AKIMA] 0.003
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.444
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE] 0.908
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.039
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.055
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.003

GammaProcessTest

testScaling 6.987

LIBORMarketModelNormalAADSensitivitiesTest

testDelta[Caplet maturity 5.0] 5.304
testVega[Caplet maturity 5.0] 4.74
testGenericDelta[Caplet maturity 5.0] 2.368
testDelta[Caplet maturity 10.0] 3.888
testVega[Caplet maturity 10.0] 5.134
testGenericDelta[Caplet maturity 10.0] 2.432
testDelta[Caplet maturity 30.0] 5.168
testVega[Caplet maturity 30.0] 6.715
testGenericDelta[Caplet maturity 30.0] 3.434
testDelta[Swaption 30.0 in 40.0] 5.862
testVega[Swaption 30.0 in 40.0] 7.117
testGenericDelta[Swaption 30.0 in 40.0] 3.858
testDelta[Bermudan Swaption 30.0 in 40.0] 9.142
testVega[Bermudan Swaption 30.0 in 40.0] 14.246
testGenericDelta[Bermudan Swaption 30.0 in 40.0] 9.433

CurveEstimationTest

testRegressionMatrix 0.002
testLinearInterpolation 0.272

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 48.951
testATMSwaptionCalibration 143.154

ScalarTest

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

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 3.244
testProductAADSensitivities 3.76

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.024

HestonDaxCalibrationTest

test 1.983

SwapLegTest

testFloatLeg 2.244
testCMSSpreadLeg 1.634
testFixLeg 1.251
testLIBORInArrearsFloatLeg 1.284
testCMSFloatLeg 1.58

FIPXMLParserTest

testGetSwapProductDescriptor[file=test.xml}] 0.038

RandomVariableDifferentiableTest

testRandomVariableExpectation[0] 0.104
testRandomVariableSimpleGradient2[0] 0.001
testRandomVariableSimpleGradient[0] 0
testRandomVariableGradientBiggerSum[0] 2.991
testRandomVariableGradientBigSumWithConstants[0] 0.101
testRandomVariableArithmeticSqrtPow[0] 0
testRandomVariableStandardDeviation[0] 0
testRandomVariableGradientBigSum2[0] 0.045
testRandomVariableArithmeticSquaredPow[0] 0
testRandomVariableGradientBigSum[0] 0.286
testRandomVariableStochastic[0] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[0] 8.341
testRandomVariableDeterministc[0] 0
testRandomVariableExpectation[1] 0.009
testRandomVariableSimpleGradient2[1] 0.002
testRandomVariableSimpleGradient[1] 0.001
testRandomVariableGradientBiggerSum[1] 3.042
testRandomVariableGradientBigSumWithConstants[1] 0.234
testRandomVariableArithmeticSqrtPow[1] 0.001
testRandomVariableStandardDeviation[1] 0
testRandomVariableGradientBigSum2[1] 0.07
testRandomVariableArithmeticSquaredPow[1] 0
testRandomVariableGradientBigSum[1] 0.178
testRandomVariableStochastic[1] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[1] 8.716
testRandomVariableDeterministc[1] 0
testRandomVariableExpectation[2] 0.014
testRandomVariableSimpleGradient2[2] 0.001
testRandomVariableSimpleGradient[2] 0
testRandomVariableGradientBiggerSum[2] 2.261
testRandomVariableGradientBigSumWithConstants[2] 0.11
testRandomVariableArithmeticSqrtPow[2] 0
testRandomVariableStandardDeviation[2] 0
testRandomVariableGradientBigSum2[2] 0.051
testRandomVariableArithmeticSquaredPow[2] 0
testRandomVariableGradientBigSum[2] 0.142
testRandomVariableStochastic[2] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[2] 8.502
testRandomVariableDeterministc[2] 0.001
testRandomVariableExpectation[3] 0.007
testRandomVariableSimpleGradient2[3] 0
testRandomVariableSimpleGradient[3] 0
testRandomVariableGradientBiggerSum[3] 3.003
testRandomVariableGradientBigSumWithConstants[3] 0.217
testRandomVariableArithmeticSqrtPow[3] 0
testRandomVariableStandardDeviation[3] 0
testRandomVariableGradientBigSum2[3] 0.072
testRandomVariableArithmeticSquaredPow[3] 0.001
testRandomVariableGradientBigSum[3] 0.178
testRandomVariableStochastic[3] 0.001
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[3] 8.398
testRandomVariableDeterministc[3] 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-ADJOINT_AUTOMATIC_DIFFERENTIATION] 108.79
testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-FINITE_DIFFERENCES] 83.663

TrapezoidalRealIntegratorTest

test 0.016

LIBORMarketModelInterpolationTest

testInterpolatedLastLIBOR[LINEAR] 8.219
testInterpolatedLastLIBOR[LOG_LINEAR_UNCORRECTED] 6.768
testInterpolatedLastLIBOR[LOG_LINEAR_CORRECTED] 7.073

ExposureTest

testExpectedPositiveExposure 9.841
testAgainstSwaption 7.149

RootFindersTest

testRootFinders 0.006

FPMLParserTest

testGetSwapProductDescriptor[file=/Users/fries/Documents/Development/Repositories/finmath lib/target/checkout/target/test-classes/fpml/ird-ex01-vanilla-swap.xml}] 0.192

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.211

BusinessdayCalendarTest

testNycCalendar 0.032
testCreateDateFromDateAndOffsetCode 0.008
testCombinedCalendar 0.007
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 2.103

DepositTest

testRateValueConsistency 0.005
testEvaluationTime 0.002
testDepositValue 0.001

InterestRateSwapLegDescriptorTest

testFloatLeg 5.148
testFixLeg 2.647

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.088
test 0.094

AcceptanceRejectionRandomNumberGeneratorTest

test 1.344

DayCountConventionTest

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

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.477

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities[0] 0.543
testProductAADSensitivities[1] 0.462
testProductAADSensitivities[2] 0.765

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic[forward-EUR-3M-40.000] 2.477
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-100.000] 4.961
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-200.000] 11.572
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-40.000] 1.578
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-100.000] 4.485
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-200.000] 10.394

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.12
testBoothFunctionWithAnalyticDerivative 0.017
testRosenbrockFunctionWithList 0.005
testBoothFunction 0.005
testRosenbrockFunction 0.003
testSmallLinearSystem 0.002

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse2 0.027
testSolveLinearEquationLeastSquarePseudoInverse3 0.001
testSolveLinearEquationLeastSquarePseudoInverse 0

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 3.634
test[TERMINAL] 2.536

TestCarrMadan

test 0.058

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.143
testRosenbrockFunctionWithLevenbergMarquard 0.021

MonteCarloBlackScholesModelTest

testDirectValuation 0.082
testProductImplementation 0.025

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.742
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.016
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.103
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.1
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.014
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.016
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.829
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.023
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.128
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.12
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.018
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.013
testEuropeanAsianBermudanOption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.601
testModelRandomVariable[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.014
testEuropeanCallVega[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.072
testEuropeanCallDelta[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.077
testEuropeanCall[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.026
testModelProperties[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.011
testEuropeanAsianBermudanOption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.501
testModelRandomVariable[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.015
testEuropeanCallVega[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.08
testEuropeanCallDelta[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.12
testEuropeanCall[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.014
testModelProperties[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.017

ScheduleGeneratorTest

testPeriodLength 0.025
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0.001

BiLinearInterpolationTest

test 0.56

CapletVolatilitiesTest

testConversions 1.143

CalibrationMultiCurveTest

testMultiCurveCalibration 2.927

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.002
testAssumingEndDateIsNotATerminationDate 0.001

CMSOptionTest

testCMSOption 0.457

DeltaHedgedPortfolioWithAADTest

testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@4f47d241-AbstractMonteCarloProduct [currency=null]] 11.249
testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@4f47d241-AbstractMonteCarloProduct [currency=null]] 10.401

BlackScholesCallOptionTest

test 0.064
testDigitalOption 0.019

SwaptionNormalTest

testSwaption 2.039

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 11.645

CurveTest

testCurveFitting 0.093

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 1.139

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 2.641
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 0.022
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 0.199
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 0.281
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 0.022
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 0.02
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@7382f612] 2.897
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@7382f612] 0.022
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@7382f612] 0.376
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@7382f612] 0.346
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@7382f612] 0.032
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@7382f612] 0.023
testEuropeanAsianBermudanOption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.551
testModelRandomVariable[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.018
testEuropeanCallVega[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.183
testEuropeanCallDelta[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.177
testEuropeanCall[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.023
testModelProperties[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.018
testEuropeanAsianBermudanOption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 2.488
testModelRandomVariable[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.023
testEuropeanCallVega[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.251
testEuropeanCallDelta[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.172
testEuropeanCall[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.021
testModelProperties[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.017

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.082
test 0.006

LIBORIndexTest

testSinglePeriods[NSS-1.000] 0.233
testMultiPeriodFloater[NSS-1.000] 0.121
testUnalignedPeriods[NSS-1.000] 0.078
testSinglePeriods[NSS-2.000] 0.417
testMultiPeriodFloater[NSS-2.000] 0.242
testUnalignedPeriods[NSS-2.000] 0.3
testSinglePeriods[NSS-4.000] 0.253
testMultiPeriodFloater[NSS-4.000] 0.31
testUnalignedPeriods[NSS-4.000] 0.196
testSinglePeriods[NSS-8.000] 1.078
testMultiPeriodFloater[NSS-8.000] 0.373
testUnalignedPeriods[NSS-8.000] 0.973
testSinglePeriods[NSS-10.000] 0.483
testMultiPeriodFloater[NSS-10.000] 0.518
testUnalignedPeriods[NSS-10.000] 0.691
testSinglePeriods[NSS-20.000] 1.385
testMultiPeriodFloater[NSS-20.000] 0.922
testUnalignedPeriods[NSS-20.000] 1.333
testSinglePeriods[NSS-40.000] 2.999
testMultiPeriodFloater[NSS-40.000] 1.626
testUnalignedPeriods[NSS-40.000] 1.59
testSinglePeriods[NSS-80.000] 3.547
testMultiPeriodFloater[NSS-80.000] 3.709
testUnalignedPeriods[NSS-80.000] 3.634
testSinglePeriods[NSS-100.000] 5.646
testMultiPeriodFloater[NSS-100.000] 4.982
testUnalignedPeriods[NSS-100.000] 4.883
testSinglePeriods[NSS-200.000] 14.194
testMultiPeriodFloater[NSS-200.000] 14.448
testUnalignedPeriods[NSS-200.000] 11.691
testSinglePeriods[DISCRETE-1.000] 0.038
testMultiPeriodFloater[DISCRETE-1.000] 0.033
testUnalignedPeriods[DISCRETE-1.000] 0.065
testSinglePeriods[DISCRETE-2.000] 0.057
testMultiPeriodFloater[DISCRETE-2.000] 0.058
testUnalignedPeriods[DISCRETE-2.000] 0.056
testSinglePeriods[DISCRETE-4.000] 0.15
testMultiPeriodFloater[DISCRETE-4.000] 0.119
testUnalignedPeriods[DISCRETE-4.000] 0.148
testSinglePeriods[DISCRETE-8.000] 0.233
testMultiPeriodFloater[DISCRETE-8.000] 0.22
testUnalignedPeriods[DISCRETE-8.000] 0.228
testSinglePeriods[DISCRETE-10.000] 0.308
testMultiPeriodFloater[DISCRETE-10.000] 0.291
testUnalignedPeriods[DISCRETE-10.000] 0.297
testSinglePeriods[DISCRETE-20.000] 0.834
testMultiPeriodFloater[DISCRETE-20.000] 0.828
testUnalignedPeriods[DISCRETE-20.000] 0.741
testSinglePeriods[DISCRETE-40.000] 1.517
testMultiPeriodFloater[DISCRETE-40.000] 1.583
testUnalignedPeriods[DISCRETE-40.000] 1.588
testSinglePeriods[DISCRETE-80.000] 3.718
testMultiPeriodFloater[DISCRETE-80.000] 4.298
testUnalignedPeriods[DISCRETE-80.000] 3.677
testSinglePeriods[DISCRETE-100.000] 4.587
testMultiPeriodFloater[DISCRETE-100.000] 4.595
testUnalignedPeriods[DISCRETE-100.000] 5.044
testSinglePeriods[DISCRETE-200.000] 11.367
testMultiPeriodFloater[DISCRETE-200.000] 10.681
testUnalignedPeriods[DISCRETE-200.000] 10.626

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.149

HullWhiteModelTest

testBermudanSwaption 3.296
testZeroCMSSwap 2.666
testBond 0.509
testSwap 4.671
testSwaption 0.67
testCaplet 0.575
testCapletSmile 0.406
testLIBORInArrearsFloatLeg 0.001
testPutOnMoneyMarketAccount 0.431

RandomVariableDifferentiableAADPerformanceTest

test[RandomVariableFactory TestFunctionBigSum(10000,1,10000,0)] 1.512
test[RandomVariableDifferentiableAADFactory TestFunctionBigSum(10000,1,10000,0)] 1.263
test[RandomVariableFactory TestFunctionGeometricSum(10000,1,10000,0)] 13.342
test[RandomVariableDifferentiableAADFactory TestFunctionGeometricSum(10000,1,10000,0)] 10.293
test[RandomVariableFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.103
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.067
test[RandomVariableFactory TestFunctionSumOfProducts(10000,100,10000,100)] 4.401
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProducts(10000,100,10000,100)] 1.087
test[RandomVariableFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 1.604
test[RandomVariableDifferentiableAADFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 1.111
test[RandomVariableFactory TestFunctionAccrue(10000,100,1,100)] 1.64
test[RandomVariableDifferentiableAADFactory TestFunctionAccrue(10000,100,1,100)] 1.059
test[RandomVariableFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 21.548
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 4.823
test[RandomVariableFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 21.988
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 6.01
test[RandomVariableFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 25.031
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 5.673

MertonModelTest

test 4.141

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[VOLATILITYLOGNORMAL] 99.512
testVolatilityCalibration[VOLATILITYNORMAL] 170.437

ModelWithProductFactoryTest

bsTest 2.619
hTest 4.141

DiscountCurveNelsonSiegelSvenssonTest

test 0.025

SimpsonRealIntegratorTest

testCos 0.018
testCubic 0.002

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.597
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.168
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@383534aa] 0.118
test[net.finmath.fouriermethod.products.DigitalOption@2e5c649] 0.059

FloatingpointDateTest

testLocalDateTime 1.278
test 0.001
testLocalDateLocalDateTimeConsistency 0.002

RandomVariableTest

testAdd[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.002
testCap[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.008
testFloor[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.001
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 5.156
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.001
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testAdd[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.002
testCap[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testFloor[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@136432db] 5.006
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.001
testAdd[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.021
testCap[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testFloor[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.004
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 5.101
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.008
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testAdd[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.006
testCap[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testFloor[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testRandomVariableArithmeticSqrtPow[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testRandomVariableStandardDeviation[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testGetQuantile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 5.13
testRandomVariableArithmeticSquaredPow[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testRandomVariableStochastic[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.001
testRandomVariableDeterministc[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testAdd[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.003
testCap[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testFloor[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testRandomVariableArithmeticSqrtPow[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testRandomVariableStandardDeviation[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testGetQuantile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 5.02
testRandomVariableArithmeticSquaredPow[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testRandomVariableStochastic[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testRandomVariableDeterministc[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0

HestonModelTest

test[xi=0}] 2.467
test[xi=0,5}] 2.166

LibraryTest

testVersionString 0.005
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 2.3

InterestRateProductTest

testBond 1.444
testSwap 1.334
testSwaption 1.161

DiscountCurveSerializationTest

test 0.054

AssetBlackScholesModelDescriptorTest

test 2.379

LIBORMarketModelHierarchyTest

testModelHierarchy 6.94

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.32

ForwardCurveNelsonSiegelSvenssonTest

test 0.111

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 9.745
testSwap[SPOT] 7.212
testSwaptionSmile[SPOT] 5.956
testSwaption[SPOT] 6.057
testDigitalCaplet[SPOT] 5.958
testCaplet[SPOT] 5.137
testSwaptionCalibration[SPOT] 25.097
testBond[TERMINAL] 7.096
testSwap[TERMINAL] 7.28
testSwaptionSmile[TERMINAL] 6.241
testSwaption[TERMINAL] 7.062
testDigitalCaplet[TERMINAL] 6.709
testCaplet[TERMINAL] 6.73
testSwaptionCalibration[TERMINAL] 27.561

MertonJumpDiffusionCallOptionTest

testMartingalePropertyMonteCarlo 1.959
test 2.051
testMartingaleProperty 0.007

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.119
testForwardCurveFromDiscountCurve[LINEAR] 0.004
testCurvesAndCalibration[HARMONIC_SPLINE] 0.012
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.005
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.011
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.004

AnalyticFormulasTest

testSABRSkewApproximation 0.003
testBlackScholesPutCallParityATM 0.027
testBachelierOptionImpliedVolatility 0.79
testBlackScholesNegativeForward 0.001
testSABRCurvatureApproximation 0
testBachelierRiskNeutralProbabilities 0.012
testSABRCalibration 2.793
testBachelierOptionDelta 0.025

HestonModelDescriptorTest

test 3.987

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.015
constructWithSetAtDefaultTickSize 0.006
constructWithBoxedArrayAtSmallTickSize 0
testUnionWithSubTickDuplicates 0.002
testIntersectionWithNoDuplicates 0.001
constructWithUnboxedArrayAtDefaultTickSize 0
constructWithIntervalShortStubAtFront 0.005
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0.001
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0.001
constructWithBoxedArrayAtBigTickSize 0
constructWithSetAtBigTickSize 0
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0
constructWithBoxedArrayAtDefaultTickSize 0.001
constructWithArrayListAtSmallTickSize 0.001
testUnionWithNoDuplicates 0
testUnionWithDifferentTickSizes 0
constructWithArrayListAtDefaultTickSize 0

HullWhiteModelCalibrationTest

testATMSwaptionCalibration 0.725

BlackScholesThetaTest

test 0.471

TestCurvesFromLIBORModel

testStochasticCurves 0.577

LIBORMarketModelValuationTest

testFRA[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 3.086
testBond[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.067
testSwap[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.615
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.64
testSwaption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.763
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.621
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.464
testCaplet[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.5
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.611
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.136
testFRA[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.141
testBond[net.finmath.montecarlo.RandomVariableFactory@136432db] 1.752
testSwap[net.finmath.montecarlo.RandomVariableFactory@136432db] 1.562
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@136432db] 1.486
testSwaption[net.finmath.montecarlo.RandomVariableFactory@136432db] 1.537
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@136432db] 1.619
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@136432db] 1.368
testCaplet[net.finmath.montecarlo.RandomVariableFactory@136432db] 1.669
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@136432db] 1.696
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.074
testFRA[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.57
testBond[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.432
testSwap[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.336
testSwaptionSmile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 1.959
testSwaption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 1.96
testDigitalCaplet[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.301
testLIBORInArrearsConvexity[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.148
testCaplet[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.667
testCapletSmile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 4.101
testSwaptionCalibration[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.127
testFRA[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 4.984
testBond[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 4.876
testSwap[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.996
testSwaptionSmile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.831
testSwaption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.813
testDigitalCaplet[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.776
testLIBORInArrearsConvexity[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.585
testCaplet[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.634
testCapletSmile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.159
testSwaptionCalibration[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.12

VarianceGammaTest

testCharacteristicFunction 1.534