Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
572 0 0 0 100% 2,029.405

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


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
net.finmath.montecarlo.interestrate 87 0 0 0 100% 757.29
net.finmath.montecarlo.automaticdifferentiation 89 0 0 0 100% 71.964
net.finmath.rootfinder 1 0 0 0 100% 0.069
net.finmath.fouriermethod 10 0 0 0 100% 18.06
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.137
net.finmath.marketdata.products 3 0 0 0 100% 0.104
net.finmath.fouriermethod.calibration 1 0 0 0 100% 3.616
net.finmath.time 34 0 0 0 100% 2.744
net.finmath.integration 3 0 0 0 100% 0.176
net.finmath.stochastic 20 0 0 0 100% 0.092
net.finmath.modelling.descriptor.xmlparser 2 0 0 0 100% 0.311
net.finmath.convexityadjustment 1 0 0 0 100% 0.85
net.finmath.modelling 1 0 0 0 100% 4.113
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.206
net.finmath.optimizer 12 0 0 0 100% 0.762
net.finmath.montecarlo.automaticdifferentiation.backward 19 0 0 0 100% 199.274
net.finmath.randomnumbers 1 0 0 0 100% 2.427
net.finmath.marketdata.model.curves 18 0 0 0 100% 2.537
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 25.357
net.finmath.time.daycount 3 0 0 0 100% 0.163
net.finmath.fouriermethod.products 1 0 0 0 100% 0.17
net.finmath.information 2 0 0 0 100% 0.071
net.finmath.montecarlo.interestrate.products 13 0 0 0 100% 34.688
net.finmath.montecarlo.interestrate.products.indices 66 0 0 0 100% 221.266
net.finmath.modelling.descriptor 4 0 0 0 100% 11.456
net.finmath.montecarlo.assetderivativevaluation 68 0 0 0 100% 78.241
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 21.049
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 38.473
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 263.301
net.finmath.modelling.productfactory 2 0 0 0 100% 5.034
net.finmath.finitedifference 1 0 0 0 100% 0.297
net.finmath.montecarlo 67 0 0 0 100% 254.863
net.finmath.analytic.model.curves.test 7 0 0 0 100% 1.383
net.finmath.interpolation 1 0 0 0 100% 1.346
net.finmath.functions 14 0 0 0 100% 7.515

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% 3.821
LIBORMarketModelNormalAADSensitivitiesTest 15 0 0 0 100% 122.527
LIBORMarketModelCalibrationTest 2 0 0 0 100% 222.113
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 163.59
LIBORMarketModelInterpolationTest 3 0 0 0 100% 30.146
HullWhiteModelTest 9 0 0 0 100% 18.43
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 99.57
HullWhiteModelCalibrationTest 1 0 0 0 100% 1.312
LIBORMarketModelValuationTest 40 0 0 0 100% 95.781

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableTypePriorityTest 16 0 0 0 100% 0.12
RandomVariableDifferentiableArithmeticTest 20 0 0 0 100% 0.14
RandomVariableDifferentiableTest 52 0 0 0 100% 69.724
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 1.98

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.069

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.197
HestonModelCallOptionTest 2 0 0 0 100% 0.406
VarianceGammaCallOptionTest 3 0 0 0 100% 10.254
MertonJumpDiffusionCallOptionTest 3 0 0 0 100% 7.203

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.137

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.104

net.finmath.fouriermethod.calibration

Class Tests Errors Failures Skipped Success Rate Time
HestonDaxCalibrationTest 1 0 0 0 100% 3.616

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.089
ScheduleGeneratorTest 3 0 0 0 100% 0.111
FloatingpointDateTest 3 0 0 0 100% 2.416
TimeDiscretizationTest 20 0 0 0 100% 0.128

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.089
SimpsonRealIntegratorTest 2 0 0 0 100% 0.087

net.finmath.stochastic

Class Tests Errors Failures Skipped Success Rate Time
ScalarTest 20 0 0 0 100% 0.092

net.finmath.modelling.descriptor.xmlparser

Class Tests Errors Failures Skipped Success Rate Time
FIPXMLParserTest 1 0 0 0 100% 0.112
FPMLParserTest 1 0 0 0 100% 0.199

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.85

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 4.113

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.206

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.23
LevenbergMarquardtTest 6 0 0 0 100% 0.167
OptimizerFactoryTest 2 0 0 0 100% 0.214
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.151

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableAADTest 1 0 0 0 100% 0.09
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 199.184

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 2.427

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.39
CalibrationMultiCurveTest 1 0 0 0 100% 1.295
CurveTest 1 0 0 0 100% 0.156
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.1
DiscountCurveSerializationTest 1 0 0 0 100% 0.117
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.377
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.102

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 25.357

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.076
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.087

net.finmath.fouriermethod.products

Class Tests Errors Failures Skipped Success Rate Time
TestCarrMadan 1 0 0 0 100% 0.17

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.071

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 3.907
SwapLegTest 5 0 0 0 100% 11.675
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 9.514
SwaptionNormalTest 1 0 0 0 100% 3.424
InterestRateProductTest 3 0 0 0 100% 6.168

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexMultiCurveTest 6 0 0 0 100% 47.344
LIBORIndexTest 60 0 0 0 100% 173.922

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 5.802
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 2.554
HestonModelDescriptorTest 1 0 0 0 100% 3.1

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 5.328
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 9.287
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.293
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.676
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 3.147
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.25
BachelierModelMonteCarloValuationTest 24 0 0 0 100% 20.923
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 21.987
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.315
MertonModelTest 1 0 0 0 100% 6.382
HestonModelTest 2 0 0 0 100% 6.225
DisplacedLognomalModelTest 1 0 0 0 100% 3.428

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 21.049

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 3.915
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 34.558

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.197
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 262.37
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.734

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 5.034

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesThetaTest 1 0 0 0 100% 0.297

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 20 0 0 0 100% 193.269
GammaProcessTest 1 0 0 0 100% 11.779
RandomVariableTest 45 0 0 0 100% 46.934
VarianceGammaTest 1 0 0 0 100% 2.881

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.387
TestCurvesFromLIBORModel 1 0 0 0 100% 0.996

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 1.346

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.687
JarqueBeraTestTest 1 0 0 0 100% 0.136
LinearAlgebraTest 3 0 0 0 100% 0.105
AnalyticFormulasTest 8 0 0 0 100% 6.587

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 3.618

NormalDistributionTest

testCumulativeDistribution 0.173
testInverseCumulativeDistribution 0.452

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 4.929
testModelRandomVariable 0.034
testEuropeanCallVega 0.136
testEuropeanCallDelta 0.113
testEuropeanCall 0.021
testModelProperties 0.024

DayCountConvention_30E_360Test

test 0.009

JarqueBeraTestTest

test 0.071

BrownianMotionTest

testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 6.157
testSerialization[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.067
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 10.306
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 9.221
testDensity[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 23.137
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@136432db] 7.424
testSerialization[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.057
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@136432db] 10.494
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@136432db] 9.023
testDensity[net.finmath.montecarlo.RandomVariableFactory@136432db] 22.088
testBrownianIncrementSquaredDrift[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 5.384
testSerialization[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.052
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 9.838
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 9.093
testDensity[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 22.486
testBrownianIncrementSquaredDrift[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 6.06
testSerialization[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.059
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 10.729
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 8.885
testDensity[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 22.609

RandomVariableDifferentiableTypePriorityTest

testTypePriorityAdd[0] 0.01
testTypePriorityCap[0] 0.01
testTypePriorityMult[0] 0.001
testTypePriorityFloor[0] 0.002
testTypePriorityAdd[1] 0
testTypePriorityCap[1] 0.001
testTypePriorityMult[1] 0.001
testTypePriorityFloor[1] 0
testTypePriorityAdd[2] 0.006
testTypePriorityCap[2] 0.001
testTypePriorityMult[2] 0.001
testTypePriorityFloor[2] 0
testTypePriorityAdd[3] 0.001
testTypePriorityCap[3] 0.001
testTypePriorityMult[3] 0
testTypePriorityFloor[3] 0.001

RandomVariableDifferentiableArithmeticTest

testArithmeticExpLog[0] 0.021
testArithmeticSqrtMultSqrt[0] 0.001
testArithmeticSqrtSquared[0] 0.001
testArithmeticDivSelf[0] 0
testArithmeticSubSelf[0] 0
testArithmeticExpLog[1] 0
testArithmeticSqrtMultSqrt[1] 0.001
testArithmeticSqrtSquared[1] 0
testArithmeticDivSelf[1] 0
testArithmeticSubSelf[1] 0
testArithmeticExpLog[2] 0.016
testArithmeticSqrtMultSqrt[2] 0
testArithmeticSqrtSquared[2] 0
testArithmeticDivSelf[2] 0.001
testArithmeticSubSelf[2] 0
testArithmeticExpLog[3] 0
testArithmeticSqrtMultSqrt[3] 0
testArithmeticSqrtSquared[3] 0.001
testArithmeticDivSelf[3] 0
testArithmeticSubSelf[3] 0.001

SwaptionAnalyticApproximationTest

testMultiCurveModel 2.307
testSingleCurveModel 1.531

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.141
testForwardCurveFromDiscountCurve[LINEAR] 0.004
testCurvesAndCalibration[CUBIC_SPLINE] 0.044
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0.003
testCurvesAndCalibration[AKIMA] 0.009
testForwardCurveFromDiscountCurve[AKIMA] 0.003
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.039
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE] 0.04
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.002
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.008
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.003

GammaProcessTest

testScaling 11.713

LIBORMarketModelNormalAADSensitivitiesTest

testDelta[Caplet maturity 5.0] 7.051
testVega[Caplet maturity 5.0] 6.186
testGenericDelta[Caplet maturity 5.0] 2.956
testDelta[Caplet maturity 10.0] 5.487
testVega[Caplet maturity 10.0] 6.175
testGenericDelta[Caplet maturity 10.0] 3.15
testDelta[Caplet maturity 30.0] 6.516
testVega[Caplet maturity 30.0] 8.46
testGenericDelta[Caplet maturity 30.0] 4.025
testDelta[Swaption 30.0 in 40.0] 7.245
testVega[Swaption 30.0 in 40.0] 8.641
testGenericDelta[Swaption 30.0 in 40.0] 5.115
testDelta[Bermudan Swaption 30.0 in 40.0] 12.326
testVega[Bermudan Swaption 30.0 in 40.0] 26.935
testGenericDelta[Bermudan Swaption 30.0 in 40.0] 12.098

CurveEstimationTest

testRegressionMatrix 0.002
testLinearInterpolation 0.03

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 49.382
testATMSwaptionCalibration 172.631

ScalarTest

testAbs 0.003
testAdd 0
testCap 0.001
testDiv 0
testSub 0
testSubRatio 0
testFloor 0
testIsNaN 0
testMult 0
testSqrt 0
testArrayOf 0
testAddRatio 0
testGetAverage 0.001
testAddProduct 0
testDiscount 0
testAccrue 0
testChoose 0
testEquals 0.001
testInvert 0
testSquared 0

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 4.134
testProductAADSensitivities 5.08

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.03

HestonDaxCalibrationTest

test 3.549

SwapLegTest

testFloatLeg 3.541
testCMSSpreadLeg 2.359
testFixLeg 1.738
testLIBORInArrearsFloatLeg 1.848
testCMSFloatLeg 2.095

FIPXMLParserTest

testGetSwapProductDescriptor[file=test.xml}] 0.033

RandomVariableDifferentiableTest

testRandomVariableExpectation[0] 0.125
testRandomVariableSimpleGradient2[0] 0.001
testRandomVariableSimpleGradient[0] 0
testRandomVariableGradientBiggerSum[0] 4.005
testRandomVariableGradientBigSumWithConstants[0] 0.155
testRandomVariableArithmeticSqrtPow[0] 0
testRandomVariableStandardDeviation[0] 0.001
testRandomVariableGradientBigSum2[0] 0.077
testRandomVariableArithmeticSquaredPow[0] 0
testRandomVariableGradientBigSum[0] 0.459
testRandomVariableStochastic[0] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[0] 12.368
testRandomVariableDeterministc[0] 0
testRandomVariableExpectation[1] 0.017
testRandomVariableSimpleGradient2[1] 0.009
testRandomVariableSimpleGradient[1] 0
testRandomVariableGradientBiggerSum[1] 4.189
testRandomVariableGradientBigSumWithConstants[1] 0.381
testRandomVariableArithmeticSqrtPow[1] 0
testRandomVariableStandardDeviation[1] 0
testRandomVariableGradientBigSum2[1] 0.125
testRandomVariableArithmeticSquaredPow[1] 0
testRandomVariableGradientBigSum[1] 0.3
testRandomVariableStochastic[1] 0.001
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[1] 13.083
testRandomVariableDeterministc[1] 0
testRandomVariableExpectation[2] 0.02
testRandomVariableSimpleGradient2[2] 0.001
testRandomVariableSimpleGradient[2] 0
testRandomVariableGradientBiggerSum[2] 2.934
testRandomVariableGradientBigSumWithConstants[2] 0.16
testRandomVariableArithmeticSqrtPow[2] 0
testRandomVariableStandardDeviation[2] 0
testRandomVariableGradientBigSum2[2] 0.081
testRandomVariableArithmeticSquaredPow[2] 0
testRandomVariableGradientBigSum[2] 0.236
testRandomVariableStochastic[2] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[2] 12.635
testRandomVariableDeterministc[2] 0
testRandomVariableExpectation[3] 0.014
testRandomVariableSimpleGradient2[3] 0
testRandomVariableSimpleGradient[3] 0
testRandomVariableGradientBiggerSum[3] 4.151
testRandomVariableGradientBigSumWithConstants[3] 0.36
testRandomVariableArithmeticSqrtPow[3] 0
testRandomVariableStandardDeviation[3] 0
testRandomVariableGradientBigSum2[3] 0.124
testRandomVariableArithmeticSquaredPow[3] 0
testRandomVariableGradientBigSum[3] 0.302
testRandomVariableStochastic[3] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[3] 13.307
testRandomVariableDeterministc[3] 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-ADJOINT_AUTOMATIC_DIFFERENTIATION] 56.895
testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-FINITE_DIFFERENCES] 106.592

TrapezoidalRealIntegratorTest

test 0.021

LIBORMarketModelInterpolationTest

testInterpolatedLastLIBOR[LINEAR] 11.046
testInterpolatedLastLIBOR[LOG_LINEAR_UNCORRECTED] 9.279
testInterpolatedLastLIBOR[LOG_LINEAR_CORRECTED] 9.627

ExposureTest

testExpectedPositiveExposure 15.235
testAgainstSwaption 10.042

RootFindersTest

testRootFinders 0.009

FPMLParserTest

testGetSwapProductDescriptor[file=/Users/fries/git/finmath-lib/target/checkout/target/test-classes/fpml/ird-ex01-vanilla-swap.xml}] 0.115

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.22

BusinessdayCalendarTest

testNycCalendar 0.051
testCreateDateFromDateAndOffsetCode 0.013
testCombinedCalendar 0.012
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 3.812

DepositTest

testRateValueConsistency 0.006
testEvaluationTime 0
testDepositValue 0

InterestRateSwapLegDescriptorTest

testFloatLeg 3.82
testFixLeg 1.899

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.081
test 0.083

AcceptanceRejectionRandomNumberGeneratorTest

test 2.368

DayCountConventionTest

testDayCountConvention_30E_360 0.006
testDayCountConvention_ACT_360 0.007
testDayCountConvention_ACT_365 0.001
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.009
testDayCountConventionAdditivity_ACT_ACT_ISDA 0.001
testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_ISDA 0.001
testDayCountConvention_ACT_ACT_YEARFRAC 0.001

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.604

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities[0] 0.959
testProductAADSensitivities[1] 0.756
testProductAADSensitivities[2] 1.321

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic[forward-EUR-3M-40.000] 3.689
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-100.000] 6.312
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-200.000] 13.483
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-40.000] 2.142
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-100.000] 5.743
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-200.000] 13.234

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.069
testBoothFunctionWithAnalyticDerivative 0.02
testRosenbrockFunctionWithList 0.004
testBoothFunction 0.007
testRosenbrockFunction 0.004
testSmallLinearSystem 0.001

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse2 0.047
testSolveLinearEquationLeastSquarePseudoInverse3 0
testSolveLinearEquationLeastSquarePseudoInverse 0.001

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 5.65
test[TERMINAL] 3.78

TestCarrMadan

test 0.107

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.135
testRosenbrockFunctionWithLevenbergMarquard 0.016

MonteCarloBlackScholesModelTest

testDirectValuation 0.143
testProductImplementation 0.041

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.883
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.023
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.153
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.135
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.033
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.025
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@136432db] 5.111
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.03
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.202
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.188
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.028
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.025
testEuropeanAsianBermudanOption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 4.707
testModelRandomVariable[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.048
testEuropeanCallVega[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.096
testEuropeanCallDelta[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.109
testEuropeanCall[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.242
testModelProperties[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0
testEuropeanAsianBermudanOption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 4.489
testModelRandomVariable[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.022
testEuropeanCallVega[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.115
testEuropeanCallDelta[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.115
testEuropeanCall[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.025
testModelProperties[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.025

ScheduleGeneratorTest

testPeriodLength 0.042
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0.001

BiLinearInterpolationTest

test 1.29

CapletVolatilitiesTest

testConversions 0.132

CalibrationMultiCurveTest

testMultiCurveCalibration 1.224

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.004
testAssumingEndDateIsNotATerminationDate 0

CMSOptionTest

testCMSOption 0.771

DeltaHedgedPortfolioWithAADTest

testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@38cccef-AbstractMonteCarloProduct [currency=null]] 17.95
testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@38cccef-AbstractMonteCarloProduct [currency=null]] 16.468

BlackScholesCallOptionTest

test 0.106
testDigitalOption 0.021

SwaptionNormalTest

testSwaption 3.227

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 20.986

CurveTest

testCurveFitting 0.09

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 1.908

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.717
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.03
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.32
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.294
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.031
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.029
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@136432db] 4.992
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.035
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.574
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.57
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.056
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.037
testEuropeanAsianBermudanOption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 4.43
testModelRandomVariable[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.025
testEuropeanCallVega[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.302
testEuropeanCallDelta[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.291
testEuropeanCall[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.029
testModelProperties[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.028
testEuropeanAsianBermudanOption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 4.425
testModelRandomVariable[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.024
testEuropeanCallVega[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.297
testEuropeanCallDelta[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.285
testEuropeanCall[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.037
testModelProperties[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.036

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.085
test 0.01

LIBORIndexTest

testSinglePeriods[NSS-1.000] 0.28
testMultiPeriodFloater[NSS-1.000] 0.106
testUnalignedPeriods[NSS-1.000] 0.09
testSinglePeriods[NSS-2.000] 0.173
testMultiPeriodFloater[NSS-2.000] 0.174
testUnalignedPeriods[NSS-2.000] 0.158
testSinglePeriods[NSS-4.000] 0.222
testMultiPeriodFloater[NSS-4.000] 0.516
testUnalignedPeriods[NSS-4.000] 0.182
testSinglePeriods[NSS-8.000] 0.512
testMultiPeriodFloater[NSS-8.000] 0.589
testUnalignedPeriods[NSS-8.000] 0.418
testSinglePeriods[NSS-10.000] 0.707
testMultiPeriodFloater[NSS-10.000] 0.541
testUnalignedPeriods[NSS-10.000] 0.454
testSinglePeriods[NSS-20.000] 1.006
testMultiPeriodFloater[NSS-20.000] 1.041
testUnalignedPeriods[NSS-20.000] 0.938
testSinglePeriods[NSS-40.000] 2.106
testMultiPeriodFloater[NSS-40.000] 2.269
testUnalignedPeriods[NSS-40.000] 1.91
testSinglePeriods[NSS-80.000] 4.487
testMultiPeriodFloater[NSS-80.000] 4.583
testUnalignedPeriods[NSS-80.000] 4.698
testSinglePeriods[NSS-100.000] 6.012
testMultiPeriodFloater[NSS-100.000] 5.923
testUnalignedPeriods[NSS-100.000] 6.034
testSinglePeriods[NSS-200.000] 13.735
testMultiPeriodFloater[NSS-200.000] 13.567
testUnalignedPeriods[NSS-200.000] 13.765
testSinglePeriods[DISCRETE-1.000] 0.059
testMultiPeriodFloater[DISCRETE-1.000] 0.05
testUnalignedPeriods[DISCRETE-1.000] 0.05
testSinglePeriods[DISCRETE-2.000] 0.091
testMultiPeriodFloater[DISCRETE-2.000] 0.103
testUnalignedPeriods[DISCRETE-2.000] 0.098
testSinglePeriods[DISCRETE-4.000] 0.176
testMultiPeriodFloater[DISCRETE-4.000] 0.202
testUnalignedPeriods[DISCRETE-4.000] 0.177
testSinglePeriods[DISCRETE-8.000] 0.363
testMultiPeriodFloater[DISCRETE-8.000] 0.391
testUnalignedPeriods[DISCRETE-8.000] 0.35
testSinglePeriods[DISCRETE-10.000] 0.462
testMultiPeriodFloater[DISCRETE-10.000] 0.505
testUnalignedPeriods[DISCRETE-10.000] 0.437
testSinglePeriods[DISCRETE-20.000] 0.957
testMultiPeriodFloater[DISCRETE-20.000] 1.074
testUnalignedPeriods[DISCRETE-20.000] 1.302
testSinglePeriods[DISCRETE-40.000] 2.795
testMultiPeriodFloater[DISCRETE-40.000] 2.071
testUnalignedPeriods[DISCRETE-40.000] 2.089
testSinglePeriods[DISCRETE-80.000] 4.439
testMultiPeriodFloater[DISCRETE-80.000] 4.49
testUnalignedPeriods[DISCRETE-80.000] 4.325
testSinglePeriods[DISCRETE-100.000] 5.971
testMultiPeriodFloater[DISCRETE-100.000] 5.92
testUnalignedPeriods[DISCRETE-100.000] 5.787
testSinglePeriods[DISCRETE-200.000] 13.432
testMultiPeriodFloater[DISCRETE-200.000] 13.288
testUnalignedPeriods[DISCRETE-200.000] 14.821

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.247

HullWhiteModelTest

testBermudanSwaption 5.01
testZeroCMSSwap 4.15
testBond 0.591
testSwap 5.935
testSwaption 0.868
testCaplet 0.601
testCapletSmile 0.528
testLIBORInArrearsFloatLeg 0.001
testPutOnMoneyMarketAccount 0.506

RandomVariableDifferentiableAADPerformanceTest

test[RandomVariableFactory TestFunctionBigSum(10000,1,10000,0)] 1.856
test[RandomVariableDifferentiableAADFactory TestFunctionBigSum(10000,1,10000,0)] 1.326
test[RandomVariableFactory TestFunctionGeometricSum(10000,1,10000,0)] 25.274
test[RandomVariableDifferentiableAADFactory TestFunctionGeometricSum(10000,1,10000,0)] 19.037
test[RandomVariableFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.154
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.073
test[RandomVariableFactory TestFunctionSumOfProducts(10000,100,10000,100)] 3.704
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProducts(10000,100,10000,100)] 1.112
test[RandomVariableFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 2.146
test[RandomVariableDifferentiableAADFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 1.086
test[RandomVariableFactory TestFunctionAccrue(10000,100,1,100)] 1.419
test[RandomVariableDifferentiableAADFactory TestFunctionAccrue(10000,100,1,100)] 1.112
test[RandomVariableFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 35.531
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 6.933
test[RandomVariableFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 35.942
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 8.606
test[RandomVariableFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 43.073
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 8.698

MertonModelTest

test 6.319

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[VOLATILITYLOGNORMAL] 98.303
testVolatilityCalibration[VOLATILITYNORMAL] 163.976

ModelWithProductFactoryTest

bsTest 2.28
hTest 2.663

DiscountCurveNelsonSiegelSvenssonTest

test 0.03

SimpsonRealIntegratorTest

testCos 0.017
testCubic 0.002

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.371
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.301
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@383534aa] 0.208
test[net.finmath.fouriermethod.products.DigitalOption@2e5c649] 0.12

FloatingpointDateTest

testLocalDateTime 2.345
test 0.002
testLocalDateLocalDateTimeConsistency 0.002

RandomVariableTest

testAdd[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.005
testCap[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.008
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] 9.459
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.001
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.002
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] 9.274
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] 0.024
testCap[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.002
testFloor[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.005
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 9.377
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.009
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.002
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testAdd[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.005
testCap[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.007
testFloor[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.001
testRandomVariableArithmeticSqrtPow[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testRandomVariableStandardDeviation[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testGetQuantile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 9.315
testRandomVariableArithmeticSquaredPow[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testRandomVariableStochastic[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
testRandomVariableDeterministc[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.001
testAdd[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.004
testCap[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testFloor[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testRandomVariableArithmeticSqrtPow[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testRandomVariableStandardDeviation[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testGetQuantile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 9.317
testRandomVariableArithmeticSquaredPow[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testRandomVariableStochastic[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.001
testRandomVariableDeterministc[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0

HestonModelTest

test[xi=0}] 3.202
test[xi=0,5}] 2.942

LibraryTest

testVersionString 0.004
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 3.364

InterestRateProductTest

testBond 2.298
testSwap 2.039
testSwaption 1.618

DiscountCurveSerializationTest

test 0.051

AssetBlackScholesModelDescriptorTest

test 2.476

LIBORMarketModelHierarchyTest

testModelHierarchy 4.042

VarianceGammaCallOptionTest

testMartingalePropertyMonteCarlo 5.096
test 5.079
testMartingaleProperty 0.001

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.309

ForwardCurveNelsonSiegelSvenssonTest

test 0.039

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 6.954
testSwap[SPOT] 4.904
testSwaptionSmile[SPOT] 4.36
testSwaption[SPOT] 4.503
testDigitalCaplet[SPOT] 4.483
testCaplet[SPOT] 4.677
testSwaptionCalibration[SPOT] 20.549
testBond[TERMINAL] 4.531
testSwap[TERMINAL] 5.047
testSwaptionSmile[TERMINAL] 4.828
testSwaption[TERMINAL] 4.935
testDigitalCaplet[TERMINAL] 4.607
testCaplet[TERMINAL] 4.599
testSwaptionCalibration[TERMINAL] 20.323

MertonJumpDiffusionCallOptionTest

testMartingalePropertyMonteCarlo 3.498
test 3.636
testMartingaleProperty 0.001

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.196
testForwardCurveFromDiscountCurve[LINEAR] 0.036
testCurvesAndCalibration[HARMONIC_SPLINE] 0.013
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.035
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.011
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.004

AnalyticFormulasTest

testSABRSkewApproximation 0.004
testBlackScholesPutCallParityATM 0.046
testBachelierOptionImpliedVolatility 1.504
testBlackScholesNegativeForward 0
testSABRCurvatureApproximation 0.001
testBachelierRiskNeutralProbabilities 0.013
testSABRCalibration 4.904
testBachelierOptionDelta 0.051

HestonModelDescriptorTest

test 3.021

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.021
constructWithSetAtDefaultTickSize 0.008
constructWithBoxedArrayAtSmallTickSize 0.001
testUnionWithSubTickDuplicates 0.002
testIntersectionWithNoDuplicates 0
constructWithUnboxedArrayAtDefaultTickSize 0.001
constructWithIntervalShortStubAtFront 0.011
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0.002
constructWithBoxedArrayAtBigTickSize 0
constructWithSetAtBigTickSize 0.001
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0.001
constructWithBoxedArrayAtDefaultTickSize 0.001
constructWithArrayListAtSmallTickSize 0.001
testUnionWithNoDuplicates 0
testUnionWithDifferentTickSizes 0.001
constructWithArrayListAtDefaultTickSize 0.001

HullWhiteModelCalibrationTest

testATMSwaptionCalibration 1.235

BlackScholesThetaTest

test 0.226

TestCurvesFromLIBORModel

testStochasticCurves 0.914

LIBORMarketModelValuationTest

testFRA[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.737
testBond[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.88
testSwap[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.32
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.271
testSwaption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.332
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.155
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.121
testCaplet[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.137
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.136
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.246
testFRA[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.958
testBond[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.464
testSwap[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.39
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.282
testSwaption[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.294
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.307
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.272
testCaplet[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.272
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.249
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.101
testFRA[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 3.451
testBond[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 3.152
testSwap[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.715
testSwaptionSmile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.772
testSwaption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.925
testDigitalCaplet[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.694
testLIBORInArrearsConvexity[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.674
testCaplet[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.76
testCapletSmile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.799
testSwaptionCalibration[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.101
testFRA[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.758
testBond[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.819
testSwap[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.609
testSwaptionSmile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.525
testSwaption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.494
testDigitalCaplet[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.538
testLIBORInArrearsConvexity[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.528
testCaplet[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.59
testCapletSmile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.582
testSwaptionCalibration[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.1

VarianceGammaTest

testCharacteristicFunction 2.815