Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
564 0 0 0 100% 1,204.237

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


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
net.finmath.marketdata.model.curves 17 0 0 0 100% 164.994
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 17.643
net.finmath.montecarlo.interestrate 36 0 0 0 100% 234.957
net.finmath.time.daycount 3 0 0 0 100% 0
net.finmath.fouriermethod 4 0 0 0 100% 0.042
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.022
net.finmath.marketdata.products 3 0 0 0 100% 0
net.finmath.montecarlo.interestrate.products 13 0 0 0 100% 18.381
net.finmath.montecarlo.interestrate.products.indices 378 0 0 0 100% 554.991
net.finmath.modelling.descriptor 1 0 0 0 100% 1.69
net.finmath.montecarlo.assetderivativevaluation 24 0 0 0 100% 16.538
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 1.953
net.finmath.montecarlo.assetderivativevaluation.products 1 0 0 0 100% 0.845
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 138.083
net.finmath.time 12 0 0 0 100% 0.017
net.finmath.montecarlo 25 0 0 0 100% 47.354
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.333
net.finmath.integration 3 0 0 0 100% 0.002
net.finmath.interpolation 1 0 0 0 100% 1.497
net.finmath.functions 7 0 0 0 100% 4.648
net.finmath.convexityadjustment 1 0 0 0 100% 0.125
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.039
net.finmath.optimizer 10 0 0 0 100% 0.083

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

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.203
CalibrationMultiCurveTest 1 0 0 0 100% 164.786
CurveTest 1 0 0 0 100% 0.004
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.001
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 17.643

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 1.717
LIBORMarketModelCalibrationTest 2 0 0 0 100% 146.295
HullWhiteModelTest 9 0 0 0 100% 11.958
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 56.381
LIBORMarketModelValuationTest 10 0 0 0 100% 18.606

net.finmath.time.daycount

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

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.019
HestonModelCallOptionTest 2 0 0 0 100% 0.023

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.022

net.finmath.marketdata.products

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

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 0.047
SwapLegTest 5 0 0 0 100% 12.768
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 4.819
SwaptionNormalTest 1 0 0 0 100% 0.696
InterestRateProductTest 3 0 0 0 100% 0.051

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexTest 378 0 0 0 100% 554.991

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
HestonModelDescriptorTest 1 0 0 0 100% 1.69

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.869
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.032
BachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.657
BlackScholesMonteCarloValuationTest 6 0 0 0 100% 2.91
MertonModelTest 1 0 0 0 100% 3.236
HestonModelTest 2 0 0 0 100% 3.188
DisplacedLognomalModelTest 1 0 0 0 100% 1.646

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 1.953

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 0.845

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.009
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 137.417
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.657

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0
ScheduleGeneratorTest 3 0 0 0 100% 0.017
FloatingpointDateTest 1 0 0 0 100% 0

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 6 0 0 0 100% 26.159
GammaProcessTest 1 0 0 0 100% 6.677
RandomVariableTest 18 0 0 0 100% 14.518

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.172
TestCurvesFromLIBORModel 1 0 0 0 100% 0.161

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.001
SimpsonRealIntegratorTest 2 0 0 0 100% 0.001

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 1.497

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
JarqueBeraTestTest 1 0 0 0 100% 0.001
AnalyticFormulasTest 6 0 0 0 100% 4.647

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.125

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.039

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
LevenbergMarquardtTest 6 0 0 0 100% 0.013
OptimizerFactoryTest 2 0 0 0 100% 0.051
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.019

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 1.717

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.711
testModelRandomVariable 0.012
testEuropeanCallVega 0.06
testEuropeanCallDelta 0.064
testEuropeanCall 0.01
testModelProperties 0.012

DayCountConvention_30E_360Test

test 0

JarqueBeraTestTest

test 0.001

BrownianMotionTest

testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@6e91893] 2.967
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@6e91893] 4.974
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@6e91893] 4.746
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@3c0fbd3a] 3.365
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@3c0fbd3a] 5.057
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@3c0fbd3a] 5.049

SwaptionAnalyticApproximationTest

testMultiCurveModel 0.039
testSingleCurveModel 0.008

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.044
testForwardCurveFromDiscountCurve[LINEAR] 0.003
testCurvesAndCalibration[CUBIC_SPLINE] 0.008
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0.036
testCurvesAndCalibration[AKIMA] 0.007
testForwardCurveFromDiscountCurve[AKIMA] 0.002
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.048
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE] 0.006
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.034
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.009
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.002

GammaProcessTest

testScaling 6.677

CurveEstimationTest

testRegressionMatrix 0
testLinearInterpolation 0

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 44.415
testATMSwaptionCalibration 101.88

SwapLegTest

testFloatLeg 1.61
testCMSSpreadLeg 6.505
testFixLeg 0.095
testLIBORInArrearsFloatLeg 0.417
testCMSFloatLeg 4.141

TrapezoidalRealIntegratorTest

test 0

ExposureTest

testExpectedPositiveExposure 17.596
testAgainstSwaption 0.046

BusinessdayCalendarTest

testNycCalendar 0.016
testCreateDateFromDateAndOffsetCode 0.001
testCombinedCalendar 0.005
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 0.845

DepositTest

testRateValueConsistency 0
testEvaluationTime 0
testDepositValue 0

DayCountConventionTest

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

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.003
testBoothFunctionWithAnalyticDerivative 0.002
testRosenbrockFunctionWithList 0.002
testBoothFunction 0.001
testRosenbrockFunction 0.003
testSmallLinearSystem 0.001

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 0.744
test[TERMINAL] 4.074

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.042
testRosenbrockFunctionWithLevenbergMarquard 0.009

MonteCarloBlackScholesModelTest

testDirectValuation 0
testProductImplementation 0.031

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.469
testModelRandomVariable 0.013
testEuropeanCallVega 0.073
testEuropeanCallDelta 0.075
testEuropeanCall 0.013
testModelProperties 0.013

ScheduleGeneratorTest

testPeriodLength 0.016
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0.001

BiLinearInterpolationTest

test 1.497

CapletVolatilitiesTest

testConversions 0.009

CalibrationMultiCurveTest

testMultiCurveCalibration 164.786

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0
testAssumingEndDateIsNotATerminationDate 0

CMSOptionTest

testCMSOption 0.125

BlackScholesCallOptionTest

test 0.012
testDigitalOption 0.007

SwaptionNormalTest

testSwaption 0.696

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 1.952

CurveTest

testCurveFitting 0.003

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.452
testModelRandomVariable 0.054
testEuropeanCallVega 0.142
testEuropeanCallDelta 0.188
testEuropeanCall 0.073
testModelProperties 0.001

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.013
test 0.005

LIBORIndexTest

testSinglePeriods[Curve=NSS-Paths=1,000-IsVolatility=1] 0.058
testMultiPeriodFloater[Curve=NSS-Paths=1,000-IsVolatility=1] 0.063
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=1,000-IsVolatility=1] 0.067
testUnalignedPeriods[Curve=NSS-Paths=1,000-IsVolatility=1] 0.054
testAligedPeriod[Curve=NSS-Paths=1,000-IsVolatility=1] 0.052
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=1,000-IsVolatility=1] 0.048
testUnalignedPeriodsOnStart[Curve=NSS-Paths=1,000-IsVolatility=1] 0.041
testSinglePeriods[Curve=NSS-Paths=1,000-IsVolatility=0] 0.044
testMultiPeriodFloater[Curve=NSS-Paths=1,000-IsVolatility=0] 0.038
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=1,000-IsVolatility=0] 0.053
testUnalignedPeriods[Curve=NSS-Paths=1,000-IsVolatility=0] 0.049
testAligedPeriod[Curve=NSS-Paths=1,000-IsVolatility=0] 0.046
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=1,000-IsVolatility=0] 0.055
testUnalignedPeriodsOnStart[Curve=NSS-Paths=1,000-IsVolatility=0] 0.046
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=1] 0.052
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=1] 0.075
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=1] 0.114
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=1] 0.002
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=1] 0.039
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=1] 0.147
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=1] 0.02
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=0] 0.017
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=0] 0.039
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=0] 0.081
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=0] 0.007
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=0] 0.038
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=0] 0.06
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=1,000-IsVolatility=0] 0.045
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=1] 0.028
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=1] 0.04
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=1] 0.043
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=1] 0.041
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=1] 0.036
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=1] 0.041
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=1] 0.05
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=0] 0.043
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=0] 0.047
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=0] 0.05
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=0] 0.044
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=0] 0.05
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=0] 0.044
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=1,000-IsVolatility=0] 0.047
testSinglePeriods[Curve=NSS-Paths=2,000-IsVolatility=1] 0.099
testMultiPeriodFloater[Curve=NSS-Paths=2,000-IsVolatility=1] 0.082
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=2,000-IsVolatility=1] 0.087
testUnalignedPeriods[Curve=NSS-Paths=2,000-IsVolatility=1] 0.079
testAligedPeriod[Curve=NSS-Paths=2,000-IsVolatility=1] 0.081
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=2,000-IsVolatility=1] 0.07
testUnalignedPeriodsOnStart[Curve=NSS-Paths=2,000-IsVolatility=1] 0.079
testSinglePeriods[Curve=NSS-Paths=2,000-IsVolatility=0] 0.084
testMultiPeriodFloater[Curve=NSS-Paths=2,000-IsVolatility=0] 0.091
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=2,000-IsVolatility=0] 0.087
testUnalignedPeriods[Curve=NSS-Paths=2,000-IsVolatility=0] 0.067
testAligedPeriod[Curve=NSS-Paths=2,000-IsVolatility=0] 0.085
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=2,000-IsVolatility=0] 0.095
testUnalignedPeriodsOnStart[Curve=NSS-Paths=2,000-IsVolatility=0] 0.084
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=1] 0.077
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=1] 0.092
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=1] 0.119
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=1] 0.072
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=1] 0.082
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=1] 0.108
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=1] 0.099
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=0] 0.081
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=0] 0.09
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=0] 0.109
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=0] 0.06
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=0] 0.078
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=0] 0.124
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=2,000-IsVolatility=0] 0.088
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=1] 0.078
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=1] 0.101
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=1] 0.112
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=1] 0.074
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=1] 0.075
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=1] 0.101
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=1] 0.076
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=0] 0.081
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=0] 0.091
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=0] 0.09
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=0] 0.076
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=0] 0.08
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=0] 0.09
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=2,000-IsVolatility=0] 0.078
testSinglePeriods[Curve=NSS-Paths=4,000-IsVolatility=1] 0.158
testMultiPeriodFloater[Curve=NSS-Paths=4,000-IsVolatility=1] 0.167
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=4,000-IsVolatility=1] 0.187
testUnalignedPeriods[Curve=NSS-Paths=4,000-IsVolatility=1] 0.15
testAligedPeriod[Curve=NSS-Paths=4,000-IsVolatility=1] 0.163
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=4,000-IsVolatility=1] 0.213
testUnalignedPeriodsOnStart[Curve=NSS-Paths=4,000-IsVolatility=1] 0.178
testSinglePeriods[Curve=NSS-Paths=4,000-IsVolatility=0] 0.166
testMultiPeriodFloater[Curve=NSS-Paths=4,000-IsVolatility=0] 0.166
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=4,000-IsVolatility=0] 0.176
testUnalignedPeriods[Curve=NSS-Paths=4,000-IsVolatility=0] 0.155
testAligedPeriod[Curve=NSS-Paths=4,000-IsVolatility=0] 0.176
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=4,000-IsVolatility=0] 0.161
testUnalignedPeriodsOnStart[Curve=NSS-Paths=4,000-IsVolatility=0] 0.158
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=1] 0.162
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=1] 0.164
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=1] 0.181
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=1] 0.192
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=1] 0.148
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=1] 0.192
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=1] 0.207
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=0] 0.176
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=0] 0.207
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=0] 0.19
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=0] 0.158
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=0] 0.166
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=0] 0.187
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=4,000-IsVolatility=0] 0.159
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=1] 0.171
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=1] 0.159
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=1] 0.175
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=1] 0.153
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=1] 0.155
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=1] 0.182
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=1] 0.168
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=0] 0.15
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=0] 0.177
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=0] 0.188
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=0] 0.152
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=0] 0.172
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=0] 0.193
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=4,000-IsVolatility=0] 0.169
testSinglePeriods[Curve=NSS-Paths=8,000-IsVolatility=1] 0.348
testMultiPeriodFloater[Curve=NSS-Paths=8,000-IsVolatility=1] 0.377
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=8,000-IsVolatility=1] 0.382
testUnalignedPeriods[Curve=NSS-Paths=8,000-IsVolatility=1] 0.388
testAligedPeriod[Curve=NSS-Paths=8,000-IsVolatility=1] 0.441
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=8,000-IsVolatility=1] 0.349
testUnalignedPeriodsOnStart[Curve=NSS-Paths=8,000-IsVolatility=1] 0.323
testSinglePeriods[Curve=NSS-Paths=8,000-IsVolatility=0] 0.332
testMultiPeriodFloater[Curve=NSS-Paths=8,000-IsVolatility=0] 0.351
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=8,000-IsVolatility=0] 0.391
testUnalignedPeriods[Curve=NSS-Paths=8,000-IsVolatility=0] 0.356
testAligedPeriod[Curve=NSS-Paths=8,000-IsVolatility=0] 0.345
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=8,000-IsVolatility=0] 0.415
testUnalignedPeriodsOnStart[Curve=NSS-Paths=8,000-IsVolatility=0] 0.449
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=1] 0.464
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=1] 0.418
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=1] 0.488
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=1] 0.372
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=1] 0.43
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=1] 0.516
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=1] 0.43
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=0] 0.412
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=0] 0.392
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=0] 0.444
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=0] 0.409
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=0] 0.395
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=0] 0.468
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=8,000-IsVolatility=0] 0.38
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=1] 0.398
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=1] 0.452
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=1] 0.451
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=1] 0.361
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=1] 0.428
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=1] 0.458
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=1] 0.378
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=0] 0.365
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=0] 0.377
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=0] 0.353
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=0] 0.321
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=0] 0.367
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=0] 0.394
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=8,000-IsVolatility=0] 0.4
testSinglePeriods[Curve=NSS-Paths=10,000-IsVolatility=1] 0.489
testMultiPeriodFloater[Curve=NSS-Paths=10,000-IsVolatility=1] 0.41
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=10,000-IsVolatility=1] 0.533
testUnalignedPeriods[Curve=NSS-Paths=10,000-IsVolatility=1] 0.379
testAligedPeriod[Curve=NSS-Paths=10,000-IsVolatility=1] 0.38
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=10,000-IsVolatility=1] 0.416
testUnalignedPeriodsOnStart[Curve=NSS-Paths=10,000-IsVolatility=1] 0.439
testSinglePeriods[Curve=NSS-Paths=10,000-IsVolatility=0] 0.398
testMultiPeriodFloater[Curve=NSS-Paths=10,000-IsVolatility=0] 0.381
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=10,000-IsVolatility=0] 0.434
testUnalignedPeriods[Curve=NSS-Paths=10,000-IsVolatility=0] 0.437
testAligedPeriod[Curve=NSS-Paths=10,000-IsVolatility=0] 0.52
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=10,000-IsVolatility=0] 0.468
testUnalignedPeriodsOnStart[Curve=NSS-Paths=10,000-IsVolatility=0] 0.388
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=1] 0.396
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=1] 0.379
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=1] 0.516
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=1] 0.492
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=1] 0.41
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=1] 0.437
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=1] 0.45
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=0] 0.404
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=0] 0.456
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=0] 0.498
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=0] 0.416
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=0] 0.395
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=0] 0.425
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=10,000-IsVolatility=0] 0.417
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=1] 0.437
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=1] 0.425
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=1] 0.453
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=1] 0.401
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=1] 0.445
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=1] 0.461
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=1] 0.495
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=0] 0.418
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=0] 0.392
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=0] 0.49
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=0] 0.429
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=0] 0.403
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=0] 0.395
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=10,000-IsVolatility=0] 0.419
testSinglePeriods[Curve=NSS-Paths=20,000-IsVolatility=1] 0.878
testMultiPeriodFloater[Curve=NSS-Paths=20,000-IsVolatility=1] 0.919
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=20,000-IsVolatility=1] 1.111
testUnalignedPeriods[Curve=NSS-Paths=20,000-IsVolatility=1] 0.865
testAligedPeriod[Curve=NSS-Paths=20,000-IsVolatility=1] 0.884
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=20,000-IsVolatility=1] 0.971
testUnalignedPeriodsOnStart[Curve=NSS-Paths=20,000-IsVolatility=1] 0.766
testSinglePeriods[Curve=NSS-Paths=20,000-IsVolatility=0] 0.784
testMultiPeriodFloater[Curve=NSS-Paths=20,000-IsVolatility=0] 0.839
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=20,000-IsVolatility=0] 0.947
testUnalignedPeriods[Curve=NSS-Paths=20,000-IsVolatility=0] 0.843
testAligedPeriod[Curve=NSS-Paths=20,000-IsVolatility=0] 0.81
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=20,000-IsVolatility=0] 0.98
testUnalignedPeriodsOnStart[Curve=NSS-Paths=20,000-IsVolatility=0] 1
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=1] 1.181
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=1] 0.699
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=1] 0.958
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=1] 0.834
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=1] 0.901
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=1] 0.872
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=1] 0.904
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=0] 0.835
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=0] 0.691
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=0] 0.827
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=0] 0.758
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=0] 0.78
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=0] 0.859
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=20,000-IsVolatility=0] 0.882
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=1] 0.83
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=1] 0.792
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=1] 0.992
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=1] 0.85
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=1] 0.829
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=1] 0.851
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=1] 0.868
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=0] 0.97
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=0] 0.834
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=0] 0.916
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=0] 0.811
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=0] 0.894
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=0] 0.882
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=20,000-IsVolatility=0] 0.95
testSinglePeriods[Curve=NSS-Paths=40,000-IsVolatility=1] 1.859
testMultiPeriodFloater[Curve=NSS-Paths=40,000-IsVolatility=1] 1.615
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=40,000-IsVolatility=1] 2.224
testUnalignedPeriods[Curve=NSS-Paths=40,000-IsVolatility=1] 1.745
testAligedPeriod[Curve=NSS-Paths=40,000-IsVolatility=1] 1.867
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=40,000-IsVolatility=1] 1.976
testUnalignedPeriodsOnStart[Curve=NSS-Paths=40,000-IsVolatility=1] 1.996
testSinglePeriods[Curve=NSS-Paths=40,000-IsVolatility=0] 1.807
testMultiPeriodFloater[Curve=NSS-Paths=40,000-IsVolatility=0] 1.87
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=40,000-IsVolatility=0] 2.175
testUnalignedPeriods[Curve=NSS-Paths=40,000-IsVolatility=0] 1.783
testAligedPeriod[Curve=NSS-Paths=40,000-IsVolatility=0] 1.897
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=40,000-IsVolatility=0] 2.067
testUnalignedPeriodsOnStart[Curve=NSS-Paths=40,000-IsVolatility=0] 2.052
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=1] 1.802
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=1] 1.923
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=1] 2.018
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=1] 1.518
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=1] 1.817
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=1] 1.989
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=1] 1.797
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=0] 1.749
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=0] 1.65
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=0] 2.18
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=0] 1.737
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=0] 1.722
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=0] 1.782
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=40,000-IsVolatility=0] 1.626
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=1] 1.716
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=1] 1.742
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=1] 1.93
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=1] 1.848
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=1] 1.932
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=1] 1.92
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=1] 2.187
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=0] 1.847
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=0] 1.654
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=0] 1.988
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=0] 1.672
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=0] 1.691
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=0] 1.943
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=40,000-IsVolatility=0] 1.722
testSinglePeriods[Curve=NSS-Paths=80,000-IsVolatility=1] 4.013
testMultiPeriodFloater[Curve=NSS-Paths=80,000-IsVolatility=1] 3.743
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=80,000-IsVolatility=1] 4.873
testUnalignedPeriods[Curve=NSS-Paths=80,000-IsVolatility=1] 3.984
testAligedPeriod[Curve=NSS-Paths=80,000-IsVolatility=1] 4.004
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=80,000-IsVolatility=1] 4.335
testUnalignedPeriodsOnStart[Curve=NSS-Paths=80,000-IsVolatility=1] 4.46
testSinglePeriods[Curve=NSS-Paths=80,000-IsVolatility=0] 4.859
testMultiPeriodFloater[Curve=NSS-Paths=80,000-IsVolatility=0] 4.74
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=80,000-IsVolatility=0] 5.104
testUnalignedPeriods[Curve=NSS-Paths=80,000-IsVolatility=0] 4.25
testAligedPeriod[Curve=NSS-Paths=80,000-IsVolatility=0] 3.896
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=80,000-IsVolatility=0] 4.226
testUnalignedPeriodsOnStart[Curve=NSS-Paths=80,000-IsVolatility=0] 4.004
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=1] 3.932
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=1] 3.879
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=1] 4.572
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=1] 4.25
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=1] 4.736
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=1] 4.836
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=1] 4.698
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=0] 4.373
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=0] 4.008
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=0] 4.197
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=0] 3.852
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=0] 3.787
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=0] 4.396
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=80,000-IsVolatility=0] 3.924
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=1] 4.29
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=1] 4.102
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=1] 4.544
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=1] 4.053
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=1] 4.056
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=1] 4.249
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=1] 4.29
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=0] 4.244
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=0] 4.249
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=0] 5.034
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=0] 3.962
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=0] 3.85
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=0] 4.011
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=80,000-IsVolatility=0] 4.197
testSinglePeriods[Curve=NSS-Paths=100,000-IsVolatility=1] 5.11
testMultiPeriodFloater[Curve=NSS-Paths=100,000-IsVolatility=1] 5.096
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=100,000-IsVolatility=1] 5.681
testUnalignedPeriods[Curve=NSS-Paths=100,000-IsVolatility=1] 5.139
testAligedPeriod[Curve=NSS-Paths=100,000-IsVolatility=1] 5.318
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=100,000-IsVolatility=1] 5.345
testUnalignedPeriodsOnStart[Curve=NSS-Paths=100,000-IsVolatility=1] 5.135
testSinglePeriods[Curve=NSS-Paths=100,000-IsVolatility=0] 5.042
testMultiPeriodFloater[Curve=NSS-Paths=100,000-IsVolatility=0] 4.927
testUnalignedPeriodsOnStartAndEnd[Curve=NSS-Paths=100,000-IsVolatility=0] 5.811
testUnalignedPeriods[Curve=NSS-Paths=100,000-IsVolatility=0] 4.907
testAligedPeriod[Curve=NSS-Paths=100,000-IsVolatility=0] 5.305
testUnalignedPeriodsOnEnd[Curve=NSS-Paths=100,000-IsVolatility=0] 5.445
testUnalignedPeriodsOnStart[Curve=NSS-Paths=100,000-IsVolatility=0] 5.326
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=1] 5.157
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=1] 5.106
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=1] 5.81
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=1] 5.046
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=1] 5.322
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=1] 5.437
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=1] 5.233
testSinglePeriods[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=0] 4.868
testMultiPeriodFloater[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=0] 4.974
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=0] 5.68
testUnalignedPeriods[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=0] 5.086
testAligedPeriod[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=0] 5.032
testUnalignedPeriodsOnEnd[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=0] 5.247
testUnalignedPeriodsOnStart[Curve=DISCRETE_FORWARDCURVE-Paths=100,000-IsVolatility=0] 5.2
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=1] 5.034
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=1] 4.833
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=1] 5.139
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=1] 4.343
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=1] 4.625
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=1] 4.781
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=1] 4.767
testSinglePeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=0] 4.581
testMultiPeriodFloater[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=0] 4.387
testUnalignedPeriodsOnStartAndEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=0] 4.933
testUnalignedPeriods[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=0] 4.406
testAligedPeriod[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=0] 4.525
testUnalignedPeriodsOnEnd[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=0] 4.902
testUnalignedPeriodsOnStart[Curve=DISCRETE_DISCOUNTCURVE-Paths=100,000-IsVolatility=0] 4.663

HullWhiteModelTest

testBermudanSwaption 5.295
testZeroCMSSwap 2.37
testBond 0.528
testSwap 0.959
testSwaption 0.704
testCaplet 0.575
testCapletSmile 0.491
testLIBORInArrearsFloatLeg 0.549
testPutOnMoneyMarketAccount 0.475

MertonModelTest

test 3.236

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[VOLATILITYLOGNORMAL] 49.729
testVolatilityCalibration[VOLATILITYNORMAL] 87.687

DiscountCurveNelsonSiegelSvenssonTest

test 0

SimpsonRealIntegratorTest

testCos 0
testCubic 0

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.352
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.305
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@56ac5c80] 0.011
test[net.finmath.fouriermethod.products.DigitalOption@69e49a81] 0.012

FloatingpointDateTest

test 0

RandomVariableTest

testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@3cec79d3] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@3cec79d3] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@3cec79d3] 4.769
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@3cec79d3] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@3cec79d3] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@3cec79d3] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@64b70919] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@64b70919] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@64b70919] 4.858
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@64b70919] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@64b70919] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@64b70919] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@4e31c3ec] 0.016
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@4e31c3ec] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@4e31c3ec] 4.863
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@4e31c3ec] 0.001
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@4e31c3ec] 0.001
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@4e31c3ec] 0

HestonModelTest

test[xi=0}] 1.55
test[xi=0.5}] 1.637

DisplacedLognomalModelTest

testProductImplementation 1.646

InterestRateProductTest

testBond 0.038
testSwap 0.005
testSwaption 0.008

NelsonSiegelSvenssonCalibrationTest

testCalibration 0

ForwardCurveNelsonSiegelSvenssonTest

test 0

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 0.017
testSwap[SPOT] 0.002
testSwaptionSmile[SPOT] 3.283
testSwaption[SPOT] 4.323
testDigitalCaplet[SPOT] 4.182
testCaplet[SPOT] 4.578
testSwaptionCalibration[SPOT] 0.192
testBond[TERMINAL] 5.952
testSwap[TERMINAL] 6.326
testSwaptionSmile[TERMINAL] 6.332
testSwaption[TERMINAL] 6.68
testDigitalCaplet[TERMINAL] 7.691
testCaplet[TERMINAL] 6.74
testSwaptionCalibration[TERMINAL] 0.071

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.07
testForwardCurveFromDiscountCurve[LINEAR] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE] 0.042
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.045
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.005

AnalyticFormulasTest

testSABRSkewApproximation 0
testBlackScholesPutCallParityATM 0
testBachelierOptionImpliedVolatility 4.219
testSABRCurvatureApproximation 0
testBachelierRiskNeutralProbabilities 0.003
testSABRCalibration 0.424

HestonModelDescriptorTest

test 1.654

TestCurvesFromLIBORModel

testStochasticCurves 0.161

LIBORMarketModelValuationTest

testFRA 1.911
testBond 2.011
testSwap 2.064
testSwaptionSmile 2.006
testSwaption 2.104
testDigitalCaplet 2.171
testLIBORInArrearsConvexity 2.089
testCaplet 2.045
testCapletSmile 2.108
testSwaptionCalibration 0.089