Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
183 0 0 0 100% 1,644.838

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 3 0 0 0 100% 0.335
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 41.631
net.finmath.tests.convexityadjustment 1 0 0 0 100% 0.902
net.finmath.time.daycount 3 0 0 0 100% 0
net.finmath.fouriermethod 1 0 0 0 100% 0.218
net.finmath.tests.optimizer 4 0 0 0 100% 0
net.finmath.montecarlo.interestrate.products.indices 60 0 0 0 100% 453.165
net.finmath.montecarlo.interestrate.products 9 0 0 0 100% 83.462
net.finmath.montecarlo.assetderivativevaluation 17 0 0 0 100% 21.288
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 3.454
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 308.545
net.finmath.tests.marketdata.curves 13 0 0 0 100% 0.141
net.finmath.tests.time.daycount 8 0 0 0 100% 0
net.finmath.time 1 0 0 0 100% 0
net.finmath.integration 3 0 0 0 100% 0.014
net.finmath.tests.montecarlo.assetderivativevaluation 6 0 0 0 100% 3.217
net.finmath.functions 6 0 0 0 100% 8.272
net.finmath.optimizer 2 0 0 0 100% 0.058
net.finmath.tests.montecarlo.assetderivativevaluation.products 1 0 0 0 100% 76.588
net.finmath.tests.montecarlo.interestrate 34 0 0 0 100% 643.548

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
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.007
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.011
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.317

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 41.631

net.finmath.tests.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.902

net.finmath.time.daycount

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

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 1 0 0 0 100% 0.218

net.finmath.tests.optimizer

Class Tests Errors Failures Skipped Success Rate Time
LevenbergMarquardtTest 4 0 0 0 100% 0

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexTest 60 0 0 0 100% 453.165

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 32.666
SwapLegTest 5 0 0 0 100% 43.03
SwaptionAnalyticApproximationTest 2 0 0 0 100% 7.766

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
BachelierModelMonteCarloValuationTest 6 0 0 0 100% 3.795
DisplacedLognomalModelTest 1 0 0 0 100% 5.979
HestonModelTest 1 0 0 0 100% 0.039
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 3.402
MertonModelTest 1 0 0 0 100% 8.014
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.059

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 3.454

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 308.093
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.451
CapletVolatilitiesTest 1 0 0 0 100% 0.001

net.finmath.tests.marketdata.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.141
CurveTest 1 0 0 0 100% 0

net.finmath.tests.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0

net.finmath.time

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

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
SimpsonRealIntegratorTest 2 0 0 0 100% 0.005
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.009

net.finmath.tests.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesMonteCarloValuationTest 6 0 0 0 100% 3.217

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
AnalyticFormulasTest 5 0 0 0 100% 8.225
JarqueBeraTestTest 1 0 0 0 100% 0.047

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
OptimizerFactoryTest 2 0 0 0 100% 0.058

net.finmath.tests.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 76.588

net.finmath.tests.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 5.039
HullWhiteModelTest 9 0 0 0 100% 26.246
LIBORMarketModelCalibrationTest 1 0 0 0 100% 371.395
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 178.428
LIBORMarketModelValuationTest 9 0 0 0 100% 62.44

Test Cases

[Summary] [Package List] [Test Cases]

BlackScholesCallOptionTest

test 0.218

AnalyticFormulasTest

testSABRSkewApproximation 0.001
testBlackScholesPutCallParityATM 0
testSABRCurvatureApproximation 0.001
testBachelierRiskNeutralProbabilities 0.034
testSABRCalibration 8.189

JarqueBeraTestTest

test 0.047

SimpsonRealIntegratorTest

testCos 0.003
testCubic 0.002

TrapezoidalRealIntegratorTest

test 0.009

DiscountCurveNelsonSiegelSvenssonTest

test 0.007

ForwardCurveNelsonSiegelSvenssonTest

test 0.011

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.317

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[0] 107.579
testVolatilityCalibration[1] 200.514

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.159
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.292
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

CapletVolatilitiesTest

testConversions 0.001

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 3.012
testModelRandomVariable 0.034
testEuropeanCallVega 0.337
testEuropeanCallDelta 0.328
testEuropeanCall 0.05
testModelProperties 0.034

DisplacedLognomalModelTest

testProductImplementation 5.979

HestonModelTest

test 0.039

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.815
testModelRandomVariable 0.025
testEuropeanCallVega 0.233
testEuropeanCallDelta 0.265
testEuropeanCall 0.035
testModelProperties 0.029

MertonModelTest

test 8.014

MonteCarloBlackScholesModelTest

testDirectValuation 0.03
testProductImplementation 0.029

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 3.454

ExposureTest

testExpectedPositiveExposure 0.094
testAgainstSwaption 41.537

LIBORIndexTest

testSinglePeriods[0] 0.687
testMultiPeriodFloater[0] 0.613
testUnalignedPeriods[0] 0.722
testSinglePeriods[1] 1.129
testMultiPeriodFloater[1] 0.735
testUnalignedPeriods[1] 0.935
testSinglePeriods[2] 1.77
testMultiPeriodFloater[2] 1.502
testUnalignedPeriods[2] 1.463
testSinglePeriods[3] 1.862
testMultiPeriodFloater[3] 1.712
testUnalignedPeriods[3] 1.669
testSinglePeriods[4] 2.296
testMultiPeriodFloater[4] 2.492
testUnalignedPeriods[4] 2.444
testSinglePeriods[5] 4.583
testMultiPeriodFloater[5] 3.912
testUnalignedPeriods[5] 3.863
testSinglePeriods[6] 6.485
testMultiPeriodFloater[6] 7.079
testUnalignedPeriods[6] 7.605
testSinglePeriods[7] 13.255
testMultiPeriodFloater[7] 12.285
testUnalignedPeriods[7] 12.771
testSinglePeriods[8] 14.02
testMultiPeriodFloater[8] 13.624
testUnalignedPeriods[8] 14.395
testSinglePeriods[9] 30.415
testMultiPeriodFloater[9] 31.632
testUnalignedPeriods[9] 30.448
testSinglePeriods[10] 0.69
testMultiPeriodFloater[10] 0.57
testUnalignedPeriods[10] 0.576
testSinglePeriods[11] 0.62
testMultiPeriodFloater[11] 0.722
testUnalignedPeriods[11] 0.611
testSinglePeriods[12] 0.937
testMultiPeriodFloater[12] 1.106
testUnalignedPeriods[12] 0.885
testSinglePeriods[13] 2.2
testMultiPeriodFloater[13] 1.489
testUnalignedPeriods[13] 1.751
testSinglePeriods[14] 2.278
testMultiPeriodFloater[14] 2.387
testUnalignedPeriods[14] 2.672
testSinglePeriods[15] 4.622
testMultiPeriodFloater[15] 3.996
testUnalignedPeriods[15] 3.128
testSinglePeriods[16] 5.912
testMultiPeriodFloater[16] 5.995
testUnalignedPeriods[16] 5.742
testSinglePeriods[17] 12.498
testMultiPeriodFloater[17] 11.363
testUnalignedPeriods[17] 11.79
testSinglePeriods[18] 14.74
testMultiPeriodFloater[18] 15.994
testUnalignedPeriods[18] 14.791
testSinglePeriods[19] 30.226
testMultiPeriodFloater[19] 30.564
testUnalignedPeriods[19] 33.907

SimpleCappedFlooredFloatingRateBondTest

test[0] 15.685
test[1] 16.981

SwapLegTest

testFloatLeg 9.07
testCMSSpreadLeg 9.004
testFixLeg 8.084
testLIBORInArrearsFloatLeg 8.647
testCMSFloatLeg 8.225

SwaptionAnalyticApproximationTest

testMultiCurveModel 4.072
testSingleCurveModel 3.694

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.057
testRosenbrockFunctionWithLevenbergMarquard 0.001

CMSOptionTest

testCMSOption 0.902

CalibrationTest

testCurvesAndCalibration[0] 0.043
testForwardCurveFromDiscountCurve[0] 0
testCurvesAndCalibration[1] 0.014
testForwardCurveFromDiscountCurve[1] 0
testCurvesAndCalibration[2] 0.011
testForwardCurveFromDiscountCurve[2] 0
testCurvesAndCalibration[3] 0.028
testForwardCurveFromDiscountCurve[3] 0
testCurvesAndCalibration[4] 0.01
testForwardCurveFromDiscountCurve[4] 0
testCurvesAndCalibration[5] 0.035
testForwardCurveFromDiscountCurve[5] 0

CurveTest

testCurveFitting 0

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.253
testModelRandomVariable 0.044
testEuropeanCallVega 0.434
testEuropeanCallDelta 0.406
testEuropeanCall 0.046
testModelProperties 0.034

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 76.588

CapValuationTest

testCap 5.039

HullWhiteModelTest

testBermudanSwaption 10.225
testZeroCMSSwap 5.381
testBond 1.402
testSwap 2.226
testSwaption 1.739
testCaplet 1.523
testCapletSmile 1.266
testLIBORInArrearsFloatLeg 1.223
testPutOnMoneyMarketAccount 1.261

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 371.395

LIBORMarketModelMultiCurveValuationTest

testBond[0] 17.336
testSwap[0] 15.066
testSwaptionSmile[0] 12.371
testSwaption[0] 14.976
testDigitalCaplet[0] 16.139
testCaplet[0] 15.036
testSwaptionCalibration[0] 0.374
testBond[1] 14.872
testSwap[1] 15.242
testSwaptionSmile[1] 14.01
testSwaption[1] 14.531
testDigitalCaplet[1] 14.067
testCaplet[1] 14.218
testSwaptionCalibration[1] 0.19

LIBORMarketModelValuationTest

testFRA 8.347
testBond 8.491
testSwap 8.237
testSwaptionSmile 7.196
testSwaption 7.802
testDigitalCaplet 7.587
testCaplet 7.268
testCapletSmile 7.38
testSwaptionCalibration 0.132

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0
testRosenbrockFunctionWithList 0
testRosenbrockFunction 0
testSmallLinearSystem 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

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0
testAssumingEndDateIsNotATerminationDate 0

DayCountConvention_30E_360Test

test 0

ScheduleGeneratorTest

test 0