Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
337 0 0 0 100% 1,272.21

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 52 0 0 0 100% 482.065
net.finmath.rootfinder 1 0 0 0 100% 0.04
net.finmath.fouriermethod 4 0 0 0 100% 0.341
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.077
net.finmath.marketdata.products 3 0 0 0 100% 0.058
net.finmath.time 32 0 0 0 100% 0.231
net.finmath.integration 3 0 0 0 100% 0.104
net.finmath.convexityadjustment 1 0 0 0 100% 0.509
net.finmath.modelling 1 0 0 0 100% 3.315
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.108
net.finmath.optimizer 12 0 0 0 100% 0.448
net.finmath.montecarlo.automaticdifferentiation.backward 32 0 0 0 100% 358.293
net.finmath.randomnumbers 1 0 0 0 100% 1.233
net.finmath.marketdata.model.curves 17 0 0 0 100% 1.616
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 15.416
net.finmath.time.daycount 3 0 0 0 100% 0.086
net.finmath.montecarlo.interestrate.products 13 0 0 0 100% 23.459
net.finmath.montecarlo.interestrate.products.indices 60 0 0 0 100% 115.466
net.finmath.modelling.descriptor 2 0 0 0 100% 2.915
net.finmath.montecarlo.assetderivativevaluation 31 0 0 0 100% 21.408
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 11.18
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 20.544
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 134.977
net.finmath.modelling.productfactory 2 0 0 0 100% 2.9
net.finmath.finitedifference 1 0 0 0 100% 0.129
net.finmath.montecarlo 27 0 0 0 100% 68.298
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.853
net.finmath.interpolation 1 0 0 0 100% 1.339
net.finmath.functions 10 0 0 0 100% 4.802

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% 2.267
LIBORMarketModelNormalAADSensitivitiesTest 14 0 0 0 100% 82.751
LIBORMarketModelCalibrationTest 2 0 0 0 100% 126.279
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 207.54
HullWhiteModelTest 9 0 0 0 100% 11.528
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 37.262
LIBORMarketModelValuationTest 10 0 0 0 100% 14.438

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.04

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.137
HestonModelCallOptionTest 2 0 0 0 100% 0.204

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.077

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.058

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.046
ScheduleGeneratorTest 3 0 0 0 100% 0.067
FloatingpointDateTest 1 0 0 0 100% 0.042
TimeDiscretizationTest 20 0 0 0 100% 0.076

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.052
SimpsonRealIntegratorTest 2 0 0 0 100% 0.052

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.509

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 3.315

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.108

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.128
LevenbergMarquardtTest 6 0 0 0 100% 0.111
OptimizerFactoryTest 2 0 0 0 100% 0.12
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.089

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableInterfaceTest 13 0 0 0 100% 65
RandomVariableDifferentiableAADTest 1 0 0 0 100% 0.048
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 293.245

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AccceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 1.233

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.261
CalibrationMultiCurveTest 1 0 0 0 100% 0.951
CurveTest 1 0 0 0 100% 0.079
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.049
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.215
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.061

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 15.416

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.041
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.045

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 2.419
SwapLegTest 5 0 0 0 100% 8.725
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 6.144
SwaptionNormalTest 1 0 0 0 100% 2.228
InterestRateProductTest 3 0 0 0 100% 3.943

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexTest 60 0 0 0 100% 115.466

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.223
HestonModelDescriptorTest 1 0 0 0 100% 1.692

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.647
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 1 0 0 0 100% 1.889
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.17
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.377
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.735
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.132
BachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.682
BlackScholesMonteCarloValuationTest 6 0 0 0 100% 2.732
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.182
MertonModelTest 1 0 0 0 100% 3.348
HestonModelTest 2 0 0 0 100% 3.382
DisplacedLognomalModelTest 1 0 0 0 100% 2.132

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 11.18

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 1.983
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 18.561

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.097
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 134.391
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.489

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 2.9

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesThetaTest 1 0 0 0 100% 0.129

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 8 0 0 0 100% 48.204
GammaProcessTest 1 0 0 0 100% 6.402
RandomVariableTest 18 0 0 0 100% 13.692

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.253
TestCurvesFromLIBORModel 1 0 0 0 100% 0.6

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 1.339

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.571
JarqueBeraTestTest 1 0 0 0 100% 0.072
AnalyticFormulasTest 7 0 0 0 100% 4.159

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 2.152

NormalDistributionTest

testCumulativeDistribution 0.126
testInverseCumulativeDistribution 0.414

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.406
testModelRandomVariable 0.016
testEuropeanCallVega 0.092
testEuropeanCallDelta 0.073
testEuropeanCall 0.012
testModelProperties 0.013

DayCountConvention_30E_360Test

test 0.001

JarqueBeraTestTest

test 0.037

BrownianMotionTest

testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 3.101
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 5.243
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.528
testDensity[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 11.234
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@136432db] 3.521
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@136432db] 4.98
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@136432db] 4.435
testDensity[net.finmath.montecarlo.RandomVariableFactory@136432db] 11.118

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.411
testSingleCurveModel 0.971

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.106
testForwardCurveFromDiscountCurve[LINEAR] 0.003
testCurvesAndCalibration[CUBIC_SPLINE] 0.006
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0.002
testCurvesAndCalibration[AKIMA] 0.005
testForwardCurveFromDiscountCurve[AKIMA] 0.034
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.008
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0.002
testCurvesAndCalibration[HARMONIC_SPLINE] 0.005
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.002
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.039
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.002

GammaProcessTest

testScaling 6.365

RandomVariableDifferentiableInterfaceTest

testRandomVariableExpectation[0] 0.064
testRandomVariableSimpleGradient2[0] 0.001
testRandomVariableSimpleGradient[0] 0.001
testRandomVariableGradientBiggerSum[0] 56.236
testRandomVariableGradientBigSumWithConstants[0] 0.44
testRandomVariableArithmeticSqrtPow[0] 0
testRandomVariableStandardDeviation[0] 0
testRandomVariableGradientBigSum2[0] 0.093
testRandomVariableArithmeticSquaredPow[0] 0
testRandomVariableGradientBigSum[0] 0.013
testRandomVariableStochastic[0] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[0] 8.108
testRandomVariableDeterministc[0] 0

LIBORMarketModelNormalAADSensitivitiesTest

testVega[Caplet maturity 30.0] 6.391
testVega[Caplet maturity 30.0] 4.645
testVega[Caplet maturity 5.0] 3.398
testVega[Caplet maturity 5.0] 3.407
testVega[Bermudan Swaption 30.0 in 40.0] 6.9
testVega[Bermudan Swaption 30.0 in 40.0] 6.383
testVega[Bermudan Swaption 30.0 in 40.0] 6.308
testVega[Bermudan Swaption 30.0 in 40.0] 6.531
testVega[Bermudan Swaption 30.0 in 40.0] 6.404
testVega[Bermudan Swaption 30.0 in 40.0] 6.579
testVega[Bermudan Swaption 30.0 in 40.0] 6.563
testVega[Bermudan Swaption 30.0 in 40.0] 6.454
testVega[Bermudan Swaption 30.0 in 40.0] 6.326
testVega[Swaption 30.0 in 40.0] 6.376

CurveEstimationTest

testRegressionMatrix 0.001
testLinearInterpolation 0.016

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 38.706
testATMSwaptionCalibration 87.528

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testProductAADSensitivities 1.851

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.012

SwapLegTest

testFloatLeg 2.826
testCMSSpreadLeg 1.879
testFixLeg 1.228
testLIBORInArrearsFloatLeg 1.229
testCMSFloatLeg 1.517

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-FINITE_DIFFERENCES] 69.982
testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-ADJOINT_AUTOMATIC_DIFFERENTIATION] 137.504

TrapezoidalRealIntegratorTest

test 0.011

ExposureTest

testExpectedPositiveExposure 8.956
testAgainstSwaption 6.417

RootFindersTest

testRootFinders 0.005

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.132

BusinessdayCalendarTest

testNycCalendar 0.03
testCreateDateFromDateAndOffsetCode 0.006
testCombinedCalendar 0.005
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 1.924

DepositTest

testRateValueConsistency 0.003
testEvaluationTime 0
testDepositValue 0.001

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.047
test 0.044

DayCountConventionTest

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

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.34

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities[0] 0.535
testProductAADSensitivities[1] 0.44
testProductAADSensitivities[2] 0.7

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.037
testBoothFunctionWithAnalyticDerivative 0.01
testRosenbrockFunctionWithList 0.003
testBoothFunction 0.003
testRosenbrockFunction 0.018
testSmallLinearSystem 0.001

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 3.548
test[TERMINAL] 2.546

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.072
testRosenbrockFunctionWithLevenbergMarquard 0.009

MonteCarloBlackScholesModelTest

testDirectValuation 0.073
testProductImplementation 0.021

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.433
testModelRandomVariable 0.016
testEuropeanCallVega 0.094
testEuropeanCallDelta 0.074
testEuropeanCall 0.012
testModelProperties 0.014

ScheduleGeneratorTest

testPeriodLength 0.031
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0.001

BiLinearInterpolationTest

test 1.304

CapletVolatilitiesTest

testConversions 0.06

CalibrationMultiCurveTest

testMultiCurveCalibration 0.913

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.004
testAssumingEndDateIsNotATerminationDate 0

CMSOptionTest

testCMSOption 0.471

DeltaHedgedPortfolioWithAADTest

testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@198e2867-AbstractMonteCarloProduct [currency=null]] 9.066
testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@198e2867-AbstractMonteCarloProduct [currency=null]] 9.42

BlackScholesCallOptionTest

test 0.087
testDigitalOption 0.011

SwaptionNormalTest

testSwaption 2.122

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 11.145

CurveTest

testCurveFitting 0.04

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.301
testModelRandomVariable 0.045
testEuropeanCallVega 0.145
testEuropeanCallDelta 0.159
testEuropeanCall 0.017
testModelProperties 0.027

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.046
test 0.005

LIBORIndexTest

testSinglePeriods[NSS-1,000] 0.164
testMultiPeriodFloater[NSS-1,000] 0.075
testUnalignedPeriods[NSS-1,000] 0.047
testSinglePeriods[NSS-2,000] 0.116
testMultiPeriodFloater[NSS-2,000] 0.062
testUnalignedPeriods[NSS-2,000] 0.145
testSinglePeriods[NSS-4,000] 0.134
testMultiPeriodFloater[NSS-4,000] 0.215
testUnalignedPeriods[NSS-4,000] 0.107
testSinglePeriods[NSS-8,000] 0.397
testMultiPeriodFloater[NSS-8,000] 0.268
testUnalignedPeriods[NSS-8,000] 0.221
testSinglePeriods[NSS-10,000] 0.535
testMultiPeriodFloater[NSS-10,000] 0.303
testUnalignedPeriods[NSS-10,000] 0.299
testSinglePeriods[NSS-20,000] 0.646
testMultiPeriodFloater[NSS-20,000] 0.673
testUnalignedPeriods[NSS-20,000] 0.649
testSinglePeriods[NSS-40,000] 1.504
testMultiPeriodFloater[NSS-40,000] 1.364
testUnalignedPeriods[NSS-40,000] 1.408
testSinglePeriods[NSS-80,000] 3.186
testMultiPeriodFloater[NSS-80,000] 3.244
testUnalignedPeriods[NSS-80,000] 3.222
testSinglePeriods[NSS-100,000] 4.09
testMultiPeriodFloater[NSS-100,000] 4.068
testUnalignedPeriods[NSS-100,000] 3.983
testSinglePeriods[NSS-200,000] 9.214
testMultiPeriodFloater[NSS-200,000] 8.998
testUnalignedPeriods[NSS-200,000] 8.941
testSinglePeriods[DISCRETE-1,000] 0.035
testMultiPeriodFloater[DISCRETE-1,000] 0.031
testUnalignedPeriods[DISCRETE-1,000] 0.03
testSinglePeriods[DISCRETE-2,000] 0.056
testMultiPeriodFloater[DISCRETE-2,000] 0.057
testUnalignedPeriods[DISCRETE-2,000] 0.171
testSinglePeriods[DISCRETE-4,000] 0.116
testMultiPeriodFloater[DISCRETE-4,000] 0.119
testUnalignedPeriods[DISCRETE-4,000] 0.116
testSinglePeriods[DISCRETE-8,000] 0.234
testMultiPeriodFloater[DISCRETE-8,000] 0.254
testUnalignedPeriods[DISCRETE-8,000] 0.226
testSinglePeriods[DISCRETE-10,000] 0.301
testMultiPeriodFloater[DISCRETE-10,000] 0.333
testUnalignedPeriods[DISCRETE-10,000] 0.298
testSinglePeriods[DISCRETE-20,000] 0.663
testMultiPeriodFloater[DISCRETE-20,000] 0.71
testUnalignedPeriods[DISCRETE-20,000] 0.654
testSinglePeriods[DISCRETE-40,000] 1.391
testMultiPeriodFloater[DISCRETE-40,000] 1.416
testUnalignedPeriods[DISCRETE-40,000] 1.395
testSinglePeriods[DISCRETE-80,000] 3.151
testMultiPeriodFloater[DISCRETE-80,000] 3.105
testUnalignedPeriods[DISCRETE-80,000] 3.128
testSinglePeriods[DISCRETE-100,000] 3.965
testMultiPeriodFloater[DISCRETE-100,000] 3.952
testUnalignedPeriods[DISCRETE-100,000] 3.859
testSinglePeriods[DISCRETE-200,000] 9.009
testMultiPeriodFloater[DISCRETE-200,000] 9.084
testUnalignedPeriods[DISCRETE-200,000] 9.106

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.144

HullWhiteModelTest

testBermudanSwaption 5.474
testZeroCMSSwap 2.173
testBond 0.519
testSwap 0.837
testSwaption 0.558
testCaplet 0.498
testCapletSmile 0.471
testLIBORInArrearsFloatLeg 0.442
testPutOnMoneyMarketAccount 0.429

RandomVariableDifferentiableAADPerformanceTest

test[RandomVariableFactory TestFunctionBigSum(10000,1,10000,0)] 1.47
test[RandomVariableDifferentiableAADFactory TestFunctionBigSum(10000,1,10000,0)] 1.243
test[RandomVariableFactory TestFunctionGeometricSum(10000,1,10000,0)] 63.054
test[RandomVariableDifferentiableAADFactory TestFunctionGeometricSum(10000,1,10000,0)] 47.648
test[RandomVariableFactory TestFunctionSumOfProductsWithAddAndMult(100000,100,100000,100)] 50.645
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProductsWithAddAndMult(100000,100,100000,100)] 1.705
test[RandomVariableFactory TestFunctionSumOfProducts(100000,100,100000,100)] 33.347
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProducts(100000,100,100000,100)] 1.347
test[RandomVariableFactory TestFunctionAccrueWithAddAndMult(100000,100,1,100)] 7.389
test[RandomVariableDifferentiableAADFactory TestFunctionAccrueWithAddAndMult(100000,100,1,100)] 1.206
test[RandomVariableFactory TestFunctionAccrue(100000,100,1,100)] 5.58
test[RandomVariableDifferentiableAADFactory TestFunctionAccrue(100000,100,1,100)] 1.178
test[RandomVariableFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 18.829
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 4.332
test[RandomVariableFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 20.01
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 5.738
test[RandomVariableFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 23.061
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 5.399

MertonModelTest

test 3.31

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[VOLATILITYLOGNORMAL] 48.53
testVolatilityCalibration[VOLATILITYNORMAL] 85.814

ModelWithProductFactoryTest

bsTest 1.153
hTest 1.702

DiscountCurveNelsonSiegelSvenssonTest

test 0.015

SimpsonRealIntegratorTest

testCos 0.012
testCubic 0.001

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.246
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.21
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@6bc168e5] 0.136
test[net.finmath.fouriermethod.products.DigitalOption@136432db] 0.025

FloatingpointDateTest

test 0.011

RandomVariableTest

testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.002
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.001
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.617
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.001
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@136432db] 4.493
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.026
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 4.498
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.002
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.002
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0

HestonModelTest

test[xi=0}] 1.804
test[xi=0.5}] 1.527

DisplacedLognomalModelTest

testProductImplementation 2.095

InterestRateProductTest

testBond 1.468
testSwap 1.244
testSwaption 1.112

AssetBlackScholesModelDescriptorTest

test 1.184

LIBORMarketModelHierarchyTest

testModelHierarchy 3.258

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.178

ForwardCurveNelsonSiegelSvenssonTest

test 0.024

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 4.075
testSwap[SPOT] 3.147
testSwaptionSmile[SPOT] 2.917
testSwaption[SPOT] 2.998
testDigitalCaplet[SPOT] 2.9
testCaplet[SPOT] 2.945
testSwaptionCalibration[SPOT] 0.198
testBond[TERMINAL] 2.96
testSwap[TERMINAL] 3.053
testSwaptionSmile[TERMINAL] 2.916
testSwaption[TERMINAL] 2.98
testDigitalCaplet[TERMINAL] 2.934
testCaplet[TERMINAL] 3.018
testSwaptionCalibration[TERMINAL] 0.083

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.111
testForwardCurveFromDiscountCurve[LINEAR] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE] 0.044
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.008
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.036

AccceptanceRejectionRandomNumberGeneratorTest

test 1.197

AnalyticFormulasTest

testSABRSkewApproximation 0.002
testBlackScholesPutCallParityATM 0.019
testBachelierOptionImpliedVolatility 3.691
testBlackScholesNegativeForward 0
testSABRCurvatureApproximation 0
testBachelierRiskNeutralProbabilities 0.006
testSABRCalibration 0.401

HestonModelDescriptorTest

test 1.651

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.012
constructWithSetAtDefaultTickSize 0.004
constructWithBoxedArrayAtSmallTickSize 0
testUnionWithSubTickDuplicates 0.001
testIntersectionWithNoDuplicates 0.001
constructWithUnboxedArrayAtDefaultTickSize 0
constructWithIntervalShortStubAtFront 0.01
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0.001
constructWithBoxedArrayAtBigTickSize 0.001
constructWithSetAtBigTickSize 0
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0
constructWithBoxedArrayAtDefaultTickSize 0
constructWithArrayListAtSmallTickSize 0.001
testUnionWithNoDuplicates 0
testUnionWithDifferentTickSizes 0
constructWithArrayListAtDefaultTickSize 0

BlackScholesThetaTest

test 0.096

TestCurvesFromLIBORModel

testStochasticCurves 0.555

LIBORMarketModelValuationTest

testFRA 2.39
testBond 1.52
testSwap 1.452
testSwaptionSmile 1.418
testSwaption 1.47
testDigitalCaplet 1.501
testLIBORInArrearsConvexity 1.473
testCaplet 1.453
testCapletSmile 1.465
testSwaptionCalibration 0.135