Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
495 0 0 0 100% 1,109.432

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


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
net.finmath.montecarlo.interestrate 72 0 0 0 100% 355.816
net.finmath.montecarlo.automaticdifferentiation 37 0 0 0 100% 1.293
net.finmath.rootfinder 1 0 0 0 100% 0.043
net.finmath.fouriermethod 4 0 0 0 100% 0.3
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.079
net.finmath.marketdata.products 3 0 0 0 100% 0.06
net.finmath.time 34 0 0 0 100% 1.443
net.finmath.integration 3 0 0 0 100% 0.093
net.finmath.modelling.descriptor.xmlparser 2 0 0 0 100% 0.191
net.finmath.convexityadjustment 1 0 0 0 100% 0.515
net.finmath.modelling 1 0 0 0 100% 2.768
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.119
net.finmath.optimizer 12 0 0 0 100% 0.519
net.finmath.montecarlo.automaticdifferentiation.backward 45 0 0 0 100% 211.979
net.finmath.randomnumbers 1 0 0 0 100% 1.242
net.finmath.marketdata.model.curves 17 0 0 0 100% 1.383
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 15.738
net.finmath.time.daycount 3 0 0 0 100% 0.088
net.finmath.information 2 0 0 0 100% 0.04
net.finmath.montecarlo.interestrate.products 13 0 0 0 100% 22.177
net.finmath.montecarlo.interestrate.products.indices 66 0 0 0 100% 152.374
net.finmath.modelling.descriptor 4 0 0 0 100% 7.266
net.finmath.montecarlo.assetderivativevaluation 68 0 0 0 100% 40.582
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 11.51
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 20.884
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 128.129
net.finmath.modelling.productfactory 2 0 0 0 100% 2.911
net.finmath.finitedifference 1 0 0 0 100% 0.171
net.finmath.montecarlo 62 0 0 0 100% 122.465
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.787
net.finmath.interpolation 1 0 0 0 100% 1.337
net.finmath.functions 12 0 0 0 100% 5.13

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% 1.966
LIBORMarketModelNormalAADSensitivitiesTest 4 0 0 0 100% 33.625
LIBORMarketModelCalibrationTest 2 0 0 0 100% 126.3
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 71.553
HullWhiteModelTest 9 0 0 0 100% 11.572
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 37.311
LIBORMarketModelValuationTest 40 0 0 0 100% 73.489

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableInterfaceTypePriorityTest 16 0 0 0 100% 0.079
RandomVariableDifferentiableInterfaceArithmeticTest 20 0 0 0 100% 0.091
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 1.123

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% 0.113
HestonModelCallOptionTest 2 0 0 0 100% 0.187

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.079

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.06

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.049
ScheduleGeneratorTest 3 0 0 0 100% 0.067
FloatingpointDateTest 3 0 0 0 100% 1.249
TimeDiscretizationTest 20 0 0 0 100% 0.078

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.045
SimpsonRealIntegratorTest 2 0 0 0 100% 0.048

net.finmath.modelling.descriptor.xmlparser

Class Tests Errors Failures Skipped Success Rate Time
FIPXMLParserTest 1 0 0 0 100% 0.067
FPMLParserTest 1 0 0 0 100% 0.124

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.515

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 2.768

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.119

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.152
LevenbergMarquardtTest 6 0 0 0 100% 0.13
OptimizerFactoryTest 2 0 0 0 100% 0.143
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.094

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableInterfaceTest 26 0 0 0 100% 94.717
RandomVariableDifferentiableAADTest 1 0 0 0 100% 0.061
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 117.201

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 1.242

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.258
CalibrationMultiCurveTest 1 0 0 0 100% 0.742
CurveTest 1 0 0 0 100% 0.078
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.054
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.192
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.059

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 15.738

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.042
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.046

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.04

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 2.311
SwapLegTest 5 0 0 0 100% 7.721
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 6.063
SwaptionNormalTest 1 0 0 0 100% 2.125
InterestRateProductTest 3 0 0 0 100% 3.957

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexMultiCurveTest 6 0 0 0 100% 33.317
LIBORIndexTest 60 0 0 0 100% 119.057

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 4.082
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.368
HestonModelDescriptorTest 1 0 0 0 100% 1.816

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.68
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 5.375
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.17
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.379
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.69
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.147
BachelierModelMonteCarloValuationTest 24 0 0 0 100% 10.334
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 10.55
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.177
MertonModelTest 1 0 0 0 100% 3.516
HestonModelTest 2 0 0 0 100% 3.473
DisplacedLognomalModelTest 1 0 0 0 100% 2.091

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 11.51

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 1.932
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 18.952

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.099
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 127.535
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.495

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 2.911

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesThetaTest 1 0 0 0 100% 0.171

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 16 0 0 0 100% 93.615
GammaProcessTest 1 0 0 0 100% 5.732
RandomVariableTest 45 0 0 0 100% 23.118

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.231
TestCurvesFromLIBORModel 1 0 0 0 100% 0.556

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 1.337

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.661
JarqueBeraTestTest 1 0 0 0 100% 0.081
LinearAlgebraTest 2 0 0 0 100% 0.06
AnalyticFormulasTest 7 0 0 0 100% 4.328

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 1.853

NormalDistributionTest

testCumulativeDistribution 0.126
testInverseCumulativeDistribution 0.499

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.432
testModelRandomVariable 0.019
testEuropeanCallVega 0.089
testEuropeanCallDelta 0.074
testEuropeanCall 0.012
testModelProperties 0.014

DayCountConvention_30E_360Test

test 0.004

JarqueBeraTestTest

test 0.044

BrownianMotionTest

testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 3.22
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 5.167
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.576
testDensity[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 11.049
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@136432db] 3.286
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@136432db] 4.869
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@136432db] 4.52
testDensity[net.finmath.montecarlo.RandomVariableFactory@136432db] 11.022
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 2.898
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 4.902
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 4.392
testDensity[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 10.892
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 2.684
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 4.889
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 4.389
testDensity[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 10.804

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.334
testSingleCurveModel 0.938

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.102
testForwardCurveFromDiscountCurve[LINEAR] 0.002
testCurvesAndCalibration[CUBIC_SPLINE] 0.007
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0.002
testCurvesAndCalibration[AKIMA] 0.039
testForwardCurveFromDiscountCurve[AKIMA] 0.003
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.006
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0.002
testCurvesAndCalibration[HARMONIC_SPLINE] 0.038
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.007
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.002

GammaProcessTest

testScaling 5.695

RandomVariableDifferentiableInterfaceTest

testRandomVariableExpectation[0] 0.064
testRandomVariableSimpleGradient2[0] 0.001
testRandomVariableSimpleGradient[0] 0
testRandomVariableGradientBiggerSum[0] 57.69
testRandomVariableGradientBigSumWithConstants[0] 0.415
testRandomVariableArithmeticSqrtPow[0] 0
testRandomVariableStandardDeviation[0] 0
testRandomVariableGradientBigSum2[0] 0.082
testRandomVariableArithmeticSquaredPow[0] 0
testRandomVariableGradientBigSum[0] 0.012
testRandomVariableStochastic[0] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[0] 8.529
testRandomVariableDeterministc[0] 0
testRandomVariableExpectation[1] 0.026
testRandomVariableSimpleGradient2[1] 0.001
testRandomVariableSimpleGradient[1] 0
testRandomVariableGradientBiggerSum[1] 19.928
testRandomVariableGradientBigSumWithConstants[1] 0.095
testRandomVariableArithmeticSqrtPow[1] 0
testRandomVariableStandardDeviation[1] 0
testRandomVariableGradientBigSum2[1] 0.034
testRandomVariableArithmeticSquaredPow[1] 0
testRandomVariableGradientBigSum[1] 0.012
testRandomVariableStochastic[1] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[1] 7.775
testRandomVariableDeterministc[1] 0

RandomVariableDifferentiableInterfaceTypePriorityTest

testTypePriorityAdd[0] 0.012
testTypePriorityCap[0] 0.005
testTypePriorityMult[0] 0.001
testTypePriorityFloor[0] 0
testTypePriorityAdd[1] 0.002
testTypePriorityCap[1] 0
testTypePriorityMult[1] 0.001
testTypePriorityFloor[1] 0.001
testTypePriorityAdd[2] 0.004
testTypePriorityCap[2] 0.001
testTypePriorityMult[2] 0
testTypePriorityFloor[2] 0.001
testTypePriorityAdd[3] 0.001
testTypePriorityCap[3] 0
testTypePriorityMult[3] 0.001
testTypePriorityFloor[3] 0

LIBORMarketModelNormalAADSensitivitiesTest

testVega[Caplet maturity 5.0] 5.722
testVega[Caplet maturity 30.0] 7.036
testVega[Swaption 30.0 in 40.0] 7.915
testVega[Bermudan Swaption 30.0 in 40.0] 12.864

CurveEstimationTest

testRegressionMatrix 0.001
testLinearInterpolation 0.018

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 38.673
testATMSwaptionCalibration 87.566

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 2.524
testProductAADSensitivities 2.817

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.023

SwapLegTest

testFloatLeg 2.33
testCMSSpreadLeg 1.556
testFixLeg 1.163
testLIBORInArrearsFloatLeg 1.142
testCMSFloatLeg 1.484

FIPXMLParserTest

testGetSwapProductDescriptor[file=test.xml}] 0.02

RandomVariableDifferentiableInterfaceArithmeticTest

testArithmeticExpLog[0] 0.024
testArithmeticSqrtMultSqrt[0] 0.001
testArithmeticSqrtSquared[0] 0
testArithmeticDivSelf[0] 0.001
testArithmeticSubSelf[0] 0
testArithmeticExpLog[1] 0.002
testArithmeticSqrtMultSqrt[1] 0
testArithmeticSqrtSquared[1] 0
testArithmeticDivSelf[1] 0.001
testArithmeticSubSelf[1] 0
testArithmeticExpLog[2] 0.01
testArithmeticSqrtMultSqrt[2] 0
testArithmeticSqrtSquared[2] 0
testArithmeticDivSelf[2] 0
testArithmeticSubSelf[2] 0.001
testArithmeticExpLog[3] 0
testArithmeticSqrtMultSqrt[3] 0
testArithmeticSqrtSquared[3] 0
testArithmeticDivSelf[3] 0
testArithmeticSubSelf[3] 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-FINITE_DIFFERENCES] 34.561
testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-ADJOINT_AUTOMATIC_DIFFERENTIATION] 36.937

TrapezoidalRealIntegratorTest

test 0.01

ExposureTest

testExpectedPositiveExposure 9.288
testAgainstSwaption 6.406

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}] 0.073

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.133

BusinessdayCalendarTest

testNycCalendar 0.031
testCreateDateFromDateAndOffsetCode 0.007
testCombinedCalendar 0.006
testTargetCalendar 0
testLondonCalendar 0.001

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 1.87

DepositTest

testRateValueConsistency 0.003
testEvaluationTime 0
testDepositValue 0

InterestRateSwapLegDescriptorTest

testFloatLeg 2.572
testFixLeg 1.457

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.051
test 0.063

AcceptanceRejectionRandomNumberGeneratorTest

test 1.204

DayCountConventionTest

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

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.343

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities[0] 0.508
testProductAADSensitivities[1] 0.429
testProductAADSensitivities[2] 0.692

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic[forward-EUR-3M-40.000] 2.304
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-100.000] 4.689
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-200.000] 9.83
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-40.000] 1.652
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-100.000] 4.114
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-200.000] 9.6

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.04
testBoothFunctionWithAnalyticDerivative 0.011
testRosenbrockFunctionWithList 0.002
testBoothFunction 0.003
testRosenbrockFunction 0.003
testSmallLinearSystem 0.026

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse2 0.023
testSolveLinearEquationLeastSquarePseudoInverse 0

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 3.526
test[TERMINAL] 2.487

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.087
testRosenbrockFunctionWithLevenbergMarquard 0.012

MonteCarloBlackScholesModelTest

testDirectValuation 0.084
testProductImplementation 0.022

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.448
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.016
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.09
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.073
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.013
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.013
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.408
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.032
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.106
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.112
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.016
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.019
testEuropeanAsianBermudanOption[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 2.276
testModelRandomVariable[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.024
testEuropeanCallVega[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.059
testEuropeanCallDelta[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.07
testEuropeanCall[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.012
testModelProperties[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.014
testEuropeanAsianBermudanOption[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 2.293
testModelRandomVariable[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.013
testEuropeanCallVega[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.07
testEuropeanCallDelta[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.073
testEuropeanCall[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.016
testModelProperties[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.017

ScheduleGeneratorTest

testPeriodLength 0.033
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0.001

BiLinearInterpolationTest

test 1.302

CapletVolatilitiesTest

testConversions 0.061

CalibrationMultiCurveTest

testMultiCurveCalibration 0.704

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.002
testAssumingEndDateIsNotATerminationDate 0

CMSOptionTest

testCMSOption 0.467

DeltaHedgedPortfolioWithAADTest

testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@198e2867-AbstractMonteCarloProduct [currency=null]] 9.586
testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@198e2867-AbstractMonteCarloProduct [currency=null]] 9.285

BlackScholesCallOptionTest

test 0.066
testDigitalOption 0.012

SwaptionNormalTest

testSwaption 2.014

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 11.474

CurveTest

testCurveFitting 0.04

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 1.081

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.377
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.019
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.172
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.16
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.018
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.015
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.163
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.019
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.162
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.162
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.017
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.021
testEuropeanAsianBermudanOption[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 2.2
testModelRandomVariable[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.016
testEuropeanCallVega[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.169
testEuropeanCallDelta[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.157
testEuropeanCall[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.016
testModelProperties[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.015
testEuropeanAsianBermudanOption[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 2.243
testModelRandomVariable[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.024
testEuropeanCallVega[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.158
testEuropeanCallDelta[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.154
testEuropeanCall[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.02
testModelProperties[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.019

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.05
test 0.006

LIBORIndexTest

testSinglePeriods[NSS-1.000] 0.165
testMultiPeriodFloater[NSS-1.000] 0.082
testUnalignedPeriods[NSS-1.000] 0.051
testSinglePeriods[NSS-2.000] 0.113
testMultiPeriodFloater[NSS-2.000] 0.087
testUnalignedPeriods[NSS-2.000] 0.132
testSinglePeriods[NSS-4.000] 0.144
testMultiPeriodFloater[NSS-4.000] 0.3
testUnalignedPeriods[NSS-4.000] 0.132
testSinglePeriods[NSS-8.000] 0.261
testMultiPeriodFloater[NSS-8.000] 0.489
testUnalignedPeriods[NSS-8.000] 0.248
testSinglePeriods[NSS-10.000] 0.452
testMultiPeriodFloater[NSS-10.000] 0.295
testUnalignedPeriods[NSS-10.000] 0.304
testSinglePeriods[NSS-20.000] 0.671
testMultiPeriodFloater[NSS-20.000] 0.731
testUnalignedPeriods[NSS-20.000] 0.604
testSinglePeriods[NSS-40.000] 1.443
testMultiPeriodFloater[NSS-40.000] 1.485
testUnalignedPeriods[NSS-40.000] 1.358
testSinglePeriods[NSS-80.000] 3.256
testMultiPeriodFloater[NSS-80.000] 3.333
testUnalignedPeriods[NSS-80.000] 3.161
testSinglePeriods[NSS-100.000] 4.145
testMultiPeriodFloater[NSS-100.000] 4.23
testUnalignedPeriods[NSS-100.000] 4.172
testSinglePeriods[NSS-200.000] 9.46
testMultiPeriodFloater[NSS-200.000] 9.432
testUnalignedPeriods[NSS-200.000] 9.234
testSinglePeriods[DISCRETE-1.000] 0.035
testMultiPeriodFloater[DISCRETE-1.000] 0.033
testUnalignedPeriods[DISCRETE-1.000] 0.066
testSinglePeriods[DISCRETE-2.000] 0.056
testMultiPeriodFloater[DISCRETE-2.000] 0.054
testUnalignedPeriods[DISCRETE-2.000] 0.059
testSinglePeriods[DISCRETE-4.000] 0.261
testMultiPeriodFloater[DISCRETE-4.000] 0.113
testUnalignedPeriods[DISCRETE-4.000] 0.109
testSinglePeriods[DISCRETE-8.000] 0.237
testMultiPeriodFloater[DISCRETE-8.000] 0.253
testUnalignedPeriods[DISCRETE-8.000] 0.244
testSinglePeriods[DISCRETE-10.000] 0.323
testMultiPeriodFloater[DISCRETE-10.000] 0.313
testUnalignedPeriods[DISCRETE-10.000] 0.293
testSinglePeriods[DISCRETE-20.000] 0.653
testMultiPeriodFloater[DISCRETE-20.000] 0.686
testUnalignedPeriods[DISCRETE-20.000] 0.668
testSinglePeriods[DISCRETE-40.000] 1.446
testMultiPeriodFloater[DISCRETE-40.000] 1.488
testUnalignedPeriods[DISCRETE-40.000] 1.401
testSinglePeriods[DISCRETE-80.000] 3.245
testMultiPeriodFloater[DISCRETE-80.000] 3.246
testUnalignedPeriods[DISCRETE-80.000] 3.01
testSinglePeriods[DISCRETE-100.000] 3.982
testMultiPeriodFloater[DISCRETE-100.000] 4.09
testUnalignedPeriods[DISCRETE-100.000] 4.015
testSinglePeriods[DISCRETE-200.000] 9.257
testMultiPeriodFloater[DISCRETE-200.000] 9.337
testUnalignedPeriods[DISCRETE-200.000] 9.868

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.138

HullWhiteModelTest

testBermudanSwaption 5.467
testZeroCMSSwap 2.214
testBond 0.457
testSwap 0.835
testSwaption 0.654
testCaplet 0.454
testCapletSmile 0.411
testLIBORInArrearsFloatLeg 0.471
testPutOnMoneyMarketAccount 0.474

RandomVariableDifferentiableAADPerformanceTest

test[RandomVariableFactory TestFunctionBigSum(10000,1,10000,0)] 1.49
test[RandomVariableDifferentiableAADFactory TestFunctionBigSum(10000,1,10000,0)] 1.208
test[RandomVariableFactory TestFunctionGeometricSum(10000,1,10000,0)] 12.542
test[RandomVariableDifferentiableAADFactory TestFunctionGeometricSum(10000,1,10000,0)] 9.709
test[RandomVariableFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.273
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.067
test[RandomVariableFactory TestFunctionSumOfProducts(10000,100,10000,100)] 4.317
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProducts(10000,100,10000,100)] 1.079
test[RandomVariableFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 3.109
test[RandomVariableDifferentiableAADFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 1.092
test[RandomVariableFactory TestFunctionAccrue(10000,100,1,100)] 1.493
test[RandomVariableDifferentiableAADFactory TestFunctionAccrue(10000,100,1,100)] 1.065
test[RandomVariableFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 19.769
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 4.538
test[RandomVariableFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 19.513
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 5.667
test[RandomVariableFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 22.959
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 5.243

MertonModelTest

test 3.477

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[VOLATILITYLOGNORMAL] 47.203
testVolatilityCalibration[VOLATILITYNORMAL] 80.282

ModelWithProductFactoryTest

bsTest 1.171
hTest 1.691

DiscountCurveNelsonSiegelSvenssonTest

test 0.015

SimpsonRealIntegratorTest

testCos 0.011
testCubic 0.001

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.254
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.202
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@7b3300e5] 0.109
test[net.finmath.fouriermethod.products.DigitalOption@7382f612] 0.033

FloatingpointDateTest

testLocalDateTime 1.208
test 0.002
testLocalDateLocalDateTimeConsistency 0.001

RandomVariableTest

testAdd[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.002
testCap[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.006
testFloor[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.656
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] 4.614
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testAdd[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.02
testCap[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testFloor[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.004
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 4.595
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.002
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.002
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testAdd[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@1055e4af] 0.006
testCap[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@1055e4af] 0
testFloor[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@1055e4af] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@1055e4af] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@1055e4af] 0
testGetQuantile[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@1055e4af] 4.555
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@1055e4af] 0
testRandomVariableStochastic[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@1055e4af] 0
testRandomVariableDeterministc[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@1055e4af] 0.001
testAdd[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@3caeaf62] 0.002
testCap[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@3caeaf62] 0
testFloor[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@3caeaf62] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@3caeaf62] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@3caeaf62] 0
testGetQuantile[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@3caeaf62] 4.588
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@3caeaf62] 0
testRandomVariableStochastic[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@3caeaf62] 0
testRandomVariableDeterministc[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@3caeaf62] 0.001

HestonModelTest

test[xi=0}] 1.87
test[xi=0,5}] 1.55

LibraryTest

testVersionString 0.002
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 2.053

InterestRateProductTest

testBond 1.512
testSwap 1.264
testSwaption 1.07

AssetBlackScholesModelDescriptorTest

test 1.312

LIBORMarketModelHierarchyTest

testModelHierarchy 2.715

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.155

ForwardCurveNelsonSiegelSvenssonTest

test 0.023

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 4.103
testSwap[SPOT] 3.123
testSwaptionSmile[SPOT] 3.039
testSwaption[SPOT] 2.967
testDigitalCaplet[SPOT] 2.996
testCaplet[SPOT] 2.921
testSwaptionCalibration[SPOT] 0.179
testBond[TERMINAL] 3.048
testSwap[TERMINAL] 3.114
testSwaptionSmile[TERMINAL] 2.848
testSwaption[TERMINAL] 2.791
testDigitalCaplet[TERMINAL] 2.979
testCaplet[TERMINAL] 2.995
testSwaptionCalibration[TERMINAL] 0.072

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.125
testForwardCurveFromDiscountCurve[LINEAR] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE] 0.008
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.036
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.01
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.002

AnalyticFormulasTest

testSABRSkewApproximation 0.002
testBlackScholesPutCallParityATM 0.024
testBachelierOptionImpliedVolatility 3.712
testBlackScholesNegativeForward 0
testSABRCurvatureApproximation 0
testBachelierRiskNeutralProbabilities 0.006
testSABRCalibration 0.545

HestonModelDescriptorTest

test 1.758

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.013
constructWithSetAtDefaultTickSize 0.004
constructWithBoxedArrayAtSmallTickSize 0.001
testUnionWithSubTickDuplicates 0.001
testIntersectionWithNoDuplicates 0.001
constructWithUnboxedArrayAtDefaultTickSize 0
constructWithIntervalShortStubAtFront 0.012
constructWithIntervalShortStubAtEnd 0
constructWithNumberOfSteps 0
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0.001
constructWithBoxedArrayAtBigTickSize 0
constructWithSetAtBigTickSize 0
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0.001
constructWithBoxedArrayAtDefaultTickSize 0.001
constructWithArrayListAtSmallTickSize 0
testUnionWithNoDuplicates 0.001
testUnionWithDifferentTickSizes 0
constructWithArrayListAtDefaultTickSize 0

BlackScholesThetaTest

test 0.135

TestCurvesFromLIBORModel

testStochasticCurves 0.51

LIBORMarketModelValuationTest

testFRA[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.98
testBond[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.803
testSwap[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.485
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.449
testSwaption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.561
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.449
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.458
testCaplet[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.536
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 1.467
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.131
testFRA[net.finmath.montecarlo.RandomVariableFactory@136432db] 3.63
testBond[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.673
testSwap[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.479
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.34
testSwaption[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.392
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.365
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.33
testCaplet[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.358
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.295
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.05
testFRA[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 2.561
testBond[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 2.408
testSwap[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 1.896
testSwaptionSmile[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 1.805
testSwaption[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 1.844
testDigitalCaplet[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 1.8
testLIBORInArrearsConvexity[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 1.629
testCaplet[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 1.852
testCapletSmile[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 1.985
testSwaptionCalibration[net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory@7382f612] 0.053
testFRA[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 2.29
testBond[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 1.918
testSwap[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 1.717
testSwaptionSmile[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 1.886
testSwaption[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 2.261
testDigitalCaplet[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 1.809
testLIBORInArrearsConvexity[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 1.859
testCaplet[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 1.764
testCapletSmile[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 1.718
testSwaptionCalibration[net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory@1055e4af] 0.054