Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
542 0 0 0 100% 1,153.832

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 84 0 0 0 100% 450.203
net.finmath.montecarlo.automaticdifferentiation 89 0 0 0 100% 42.283
net.finmath.rootfinder 1 0 0 0 100% 0.041
net.finmath.fouriermethod 4 0 0 0 100% 0.299
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.081
net.finmath.marketdata.products 3 0 0 0 100% 0.055
net.finmath.fouriermethod.calibration 1 0 0 0 100% 8.989
net.finmath.time 34 0 0 0 100% 1.419
net.finmath.integration 3 0 0 0 100% 0.092
net.finmath.modelling.descriptor.xmlparser 2 0 0 0 100% 0.193
net.finmath.convexityadjustment 1 0 0 0 100% 0.478
net.finmath.modelling 1 0 0 0 100% 2.17
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.106
net.finmath.optimizer 12 0 0 0 100% 0.429
net.finmath.montecarlo.automaticdifferentiation.backward 19 0 0 0 100% 113.701
net.finmath.randomnumbers 1 0 0 0 100% 1.194
net.finmath.marketdata.model.curves 18 0 0 0 100% 1.465
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 15.889
net.finmath.time.daycount 3 0 0 0 100% 0.091
net.finmath.fouriermethod.products 1 0 0 0 100% 0.095
net.finmath.information 2 0 0 0 100% 0.038
net.finmath.montecarlo.interestrate.products 13 0 0 0 100% 20.405
net.finmath.montecarlo.interestrate.products.indices 66 0 0 0 100% 156.825
net.finmath.modelling.descriptor 4 0 0 0 100% 6.086
net.finmath.montecarlo.assetderivativevaluation 68 0 0 0 100% 43.165
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 11.416
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 20.151
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 125.158
net.finmath.modelling.productfactory 2 0 0 0 100% 2.868
net.finmath.finitedifference 1 0 0 0 100% 0.128
net.finmath.montecarlo 66 0 0 0 100% 123.194
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.765
net.finmath.interpolation 1 0 0 0 100% 0.471
net.finmath.functions 14 0 0 0 100% 3.889

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

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 1.959
LIBORMarketModelNormalAADSensitivitiesTest 15 0 0 0 100% 82.188
LIBORMarketModelCalibrationTest 2 0 0 0 100% 152.492
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 81.888
HullWhiteModelTest 9 0 0 0 100% 8.482
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 60.692
HullWhiteModelCalibrationTest 1 0 0 0 100% 0.727
LIBORMarketModelValuationTest 40 0 0 0 100% 61.775

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableTypePriorityTest 16 0 0 0 100% 0.067
RandomVariableDifferentiableArithmeticTest 20 0 0 0 100% 0.076
RandomVariableDifferentiableTest 52 0 0 0 100% 41.041
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 1.099

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.041

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.117
HestonModelCallOptionTest 2 0 0 0 100% 0.182

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.081

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.055

net.finmath.fouriermethod.calibration

Class Tests Errors Failures Skipped Success Rate Time
HestonDaxCalibrationTest 1 0 0 0 100% 8.989

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.054
ScheduleGeneratorTest 3 0 0 0 100% 0.061
FloatingpointDateTest 3 0 0 0 100% 1.231
TimeDiscretizationTest 20 0 0 0 100% 0.073

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.046
SimpsonRealIntegratorTest 2 0 0 0 100% 0.046

net.finmath.modelling.descriptor.xmlparser

Class Tests Errors Failures Skipped Success Rate Time
FIPXMLParserTest 1 0 0 0 100% 0.062
FPMLParserTest 1 0 0 0 100% 0.131

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.478

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 2.17

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.106

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.131
LevenbergMarquardtTest 6 0 0 0 100% 0.089
OptimizerFactoryTest 2 0 0 0 100% 0.123
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.086

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableAADTest 1 0 0 0 100% 0.061
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 113.64

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 1.194

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.23
CalibrationMultiCurveTest 1 0 0 0 100% 0.761
CurveTest 1 0 0 0 100% 0.109
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.052
DiscountCurveSerializationTest 1 0 0 0 100% 0.062
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.195
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.056

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 15.889

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.046
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.045

net.finmath.fouriermethod.products

Class Tests Errors Failures Skipped Success Rate Time
TestCarrMadan 1 0 0 0 100% 0.095

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.038

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 2.274
SwapLegTest 5 0 0 0 100% 6.939
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 5.606
SwaptionNormalTest 1 0 0 0 100% 1.999
InterestRateProductTest 3 0 0 0 100% 3.587

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexMultiCurveTest 6 0 0 0 100% 35.079
LIBORIndexTest 60 0 0 0 100% 121.746

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 3.178
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.18
HestonModelDescriptorTest 1 0 0 0 100% 1.728

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.805
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 5.795
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.184
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.448
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.713
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.157
BachelierModelMonteCarloValuationTest 24 0 0 0 100% 10.938
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 11.817
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.185
MertonModelTest 1 0 0 0 100% 3.57
HestonModelTest 2 0 0 0 100% 3.626
DisplacedLognomalModelTest 1 0 0 0 100% 1.927

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 11.416

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 1.972
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 18.179

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.1
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 124.564
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.494

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 2.868

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesThetaTest 1 0 0 0 100% 0.128

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 20 0 0 0 100% 93.464
GammaProcessTest 1 0 0 0 100% 6.436
RandomVariableTest 45 0 0 0 100% 23.294

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.197
TestCurvesFromLIBORModel 1 0 0 0 100% 0.568

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.471

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.256
JarqueBeraTestTest 1 0 0 0 100% 0.071
LinearAlgebraTest 3 0 0 0 100% 0.063
AnalyticFormulasTest 8 0 0 0 100% 3.499

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 1.845

NormalDistributionTest

testCumulativeDistribution 0.078
testInverseCumulativeDistribution 0.144

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.442
testModelRandomVariable 0.015
testEuropeanCallVega 0.145
testEuropeanCallDelta 0.13
testEuropeanCall 0.02
testModelProperties 0.018

DayCountConvention_30E_360Test

test 0.003

JarqueBeraTestTest

test 0.04

BrownianMotionTest

testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 3.108
testSerialization[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.036
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 5.106
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.51
testDensity[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 11.085
testBrownianIncrementSquaredDrift[net.finmath.montecarlo.RandomVariableFactory@136432db] 3.454
testSerialization[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.027
testScalarValuedBrownianMotionTerminalDistribution[net.finmath.montecarlo.RandomVariableFactory@136432db] 4.966
testScalarValuedBrownianMotionWithJarqueBeraTest[net.finmath.montecarlo.RandomVariableFactory@136432db] 4.498
testDensity[net.finmath.montecarlo.RandomVariableFactory@136432db] 11.014
testBrownianIncrementSquaredDrift[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.712
testSerialization[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.029
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 4.712
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 4.286
testDensity[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 10.92
testBrownianIncrementSquaredDrift[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.871
testSerialization[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.029
testScalarValuedBrownianMotionTerminalDistribution[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 4.817
testScalarValuedBrownianMotionWithJarqueBeraTest[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 4.335
testDensity[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 10.896

RandomVariableDifferentiableTypePriorityTest

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

RandomVariableDifferentiableArithmeticTest

testArithmeticExpLog[0] 0.012
testArithmeticSqrtMultSqrt[0] 0.001
testArithmeticSqrtSquared[0] 0
testArithmeticDivSelf[0] 0
testArithmeticSubSelf[0] 0
testArithmeticExpLog[1] 0
testArithmeticSqrtMultSqrt[1] 0.001
testArithmeticSqrtSquared[1] 0
testArithmeticDivSelf[1] 0
testArithmeticSubSelf[1] 0.001
testArithmeticExpLog[2] 0.007
testArithmeticSqrtMultSqrt[2] 0.001
testArithmeticSqrtSquared[2] 0
testArithmeticDivSelf[2] 0.001
testArithmeticSubSelf[2] 0
testArithmeticExpLog[3] 0
testArithmeticSqrtMultSqrt[3] 0
testArithmeticSqrtSquared[3] 0
testArithmeticDivSelf[3] 0
testArithmeticSubSelf[3] 0

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.284
testSingleCurveModel 0.948

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.081
testForwardCurveFromDiscountCurve[LINEAR] 0.002
testCurvesAndCalibration[CUBIC_SPLINE] 0.007
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0.002
testCurvesAndCalibration[AKIMA] 0.037
testForwardCurveFromDiscountCurve[AKIMA] 0.002
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.005
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0.002
testCurvesAndCalibration[HARMONIC_SPLINE] 0.005
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.002
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.04
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.002

GammaProcessTest

testScaling 6.404

LIBORMarketModelNormalAADSensitivitiesTest

testDelta[Caplet maturity 5.0] 4.875
testVega[Caplet maturity 5.0] 4.46
testGenericDelta[Caplet maturity 5.0] 2.214
testDelta[Caplet maturity 10.0] 3.902
testVega[Caplet maturity 10.0] 5.067
testGenericDelta[Caplet maturity 10.0] 2.109
testDelta[Caplet maturity 30.0] 5.471
testVega[Caplet maturity 30.0] 6.154
testGenericDelta[Caplet maturity 30.0] 2.712
testDelta[Swaption 30.0 in 40.0] 5.773
testVega[Swaption 30.0 in 40.0] 7.408
testGenericDelta[Swaption 30.0 in 40.0] 2.99
testDelta[Bermudan Swaption 30.0 in 40.0] 8.832
testVega[Bermudan Swaption 30.0 in 40.0] 12.132
testGenericDelta[Bermudan Swaption 30.0 in 40.0] 7.997

CurveEstimationTest

testRegressionMatrix 0.001
testLinearInterpolation 0.016

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 44.239
testATMSwaptionCalibration 108.197

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 2.509
testProductAADSensitivities 3.245

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.022

HestonDaxCalibrationTest

test 8.946

SwapLegTest

testFloatLeg 2.026
testCMSSpreadLeg 1.444
testFixLeg 1.059
testLIBORInArrearsFloatLeg 1.072
testCMSFloatLeg 1.282

FIPXMLParserTest

testGetSwapProductDescriptor[file=test.xml}] 0.019

RandomVariableDifferentiableTest

testRandomVariableExpectation[0] 0.071
testRandomVariableSimpleGradient2[0] 0.001
testRandomVariableSimpleGradient[0] 0
testRandomVariableGradientBiggerSum[0] 2.607
testRandomVariableGradientBigSumWithConstants[0] 0.079
testRandomVariableArithmeticSqrtPow[0] 0.001
testRandomVariableStandardDeviation[0] 0
testRandomVariableGradientBigSum2[0] 0.043
testRandomVariableArithmeticSquaredPow[0] 0
testRandomVariableGradientBigSum[0] 0.249
testRandomVariableStochastic[0] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[0] 7.138
testRandomVariableDeterministc[0] 0
testRandomVariableExpectation[1] 0.009
testRandomVariableSimpleGradient2[1] 0.009
testRandomVariableSimpleGradient[1] 0
testRandomVariableGradientBiggerSum[1] 2.754
testRandomVariableGradientBigSumWithConstants[1] 0.194
testRandomVariableArithmeticSqrtPow[1] 0.001
testRandomVariableStandardDeviation[1] 0
testRandomVariableGradientBigSum2[1] 0.06
testRandomVariableArithmeticSquaredPow[1] 0
testRandomVariableGradientBigSum[1] 0.179
testRandomVariableStochastic[1] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[1] 7.418
testRandomVariableDeterministc[1] 0
testRandomVariableExpectation[2] 0.011
testRandomVariableSimpleGradient2[2] 0
testRandomVariableSimpleGradient[2] 0
testRandomVariableGradientBiggerSum[2] 1.984
testRandomVariableGradientBigSumWithConstants[2] 0.082
testRandomVariableArithmeticSqrtPow[2] 0
testRandomVariableStandardDeviation[2] 0
testRandomVariableGradientBigSum2[2] 0.042
testRandomVariableArithmeticSquaredPow[2] 0
testRandomVariableGradientBigSum[2] 0.132
testRandomVariableStochastic[2] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[2] 7.326
testRandomVariableDeterministc[2] 0
testRandomVariableExpectation[3] 0.008
testRandomVariableSimpleGradient2[3] 0
testRandomVariableSimpleGradient[3] 0
testRandomVariableGradientBiggerSum[3] 2.736
testRandomVariableGradientBigSumWithConstants[3] 0.178
testRandomVariableArithmeticSqrtPow[3] 0
testRandomVariableStandardDeviation[3] 0
testRandomVariableGradientBigSum2[3] 0.058
testRandomVariableArithmeticSquaredPow[3] 0
testRandomVariableGradientBigSum[3] 0.157
testRandomVariableStochastic[3] 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences[3] 7.458
testRandomVariableDeterministc[3] 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-ADJOINT_AUTOMATIC_DIFFERENTIATION] 42.591
testATMSwaptionCalibration[VOLATILITYNORMAL-STOCHASTIC_LEVENBERG_MARQUARDT-FINITE_DIFFERENCES] 39.225

TrapezoidalRealIntegratorTest

test 0.011

ExposureTest

testExpectedPositiveExposure 9.424
testAgainstSwaption 6.417

RootFindersTest

testRootFinders 0.006

FPMLParserTest

testGetSwapProductDescriptor[file=/Users/fries/git/finmath-lib/target/checkout/target/test-classes/fpml/ird-ex01-vanilla-swap.xml}] 0.085

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.145

BusinessdayCalendarTest

testNycCalendar 0.03
testCreateDateFromDateAndOffsetCode 0.007
testCombinedCalendar 0.006
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 1.915

DepositTest

testRateValueConsistency 0.003
testEvaluationTime 0
testDepositValue 0.001

InterestRateSwapLegDescriptorTest

testFloatLeg 2.032
testFixLeg 1.101

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.042
test 0.052

AcceptanceRejectionRandomNumberGeneratorTest

test 1.16

DayCountConventionTest

testDayCountConvention_30E_360 0.004
testDayCountConvention_ACT_360 0.005
testDayCountConvention_ACT_365 0.001
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.002
testDayCountConventionAdditivity_ACT_ACT_ISDA 0.001
testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_YEARFRAC 0.001

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.386

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities[0] 0.523
testProductAADSensitivities[1] 0.434
testProductAADSensitivities[2] 0.693

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic[forward-EUR-3M-40.000] 2.075
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-100.000] 5.106
testFRAMonteCarloVersusAnalytic[forward-EUR-3M-200.000] 10.728
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-40.000] 1.554
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-100.000] 3.978
testFRAMonteCarloVersusAnalytic[forward-EUR-6M-200.000] 10.165

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.034
testBoothFunctionWithAnalyticDerivative 0.009
testRosenbrockFunctionWithList 0.003
testBoothFunction 0.002
testRosenbrockFunction 0.003
testSmallLinearSystem 0.001

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse2 0.025
testSolveLinearEquationLeastSquarePseudoInverse3 0
testSolveLinearEquationLeastSquarePseudoInverse 0

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 3.317
test[TERMINAL] 2.232

TestCarrMadan

test 0.058

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.079
testRosenbrockFunctionWithLevenbergMarquard 0.008

MonteCarloBlackScholesModelTest

testDirectValuation 0.089
testProductImplementation 0.029

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.417
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.016
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.132
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.153
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.02
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.018
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.579
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.018
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.181
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.152
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.027
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.018
testEuropeanAsianBermudanOption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.482
testModelRandomVariable[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.014
testEuropeanCallVega[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.095
testEuropeanCallDelta[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.086
testEuropeanCall[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.013
testModelProperties[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.014
testEuropeanAsianBermudanOption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.212
testModelRandomVariable[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.014
testEuropeanCallVega[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.095
testEuropeanCallDelta[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.092
testEuropeanCall[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.016
testModelProperties[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.018

ScheduleGeneratorTest

testPeriodLength 0.025
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0.001

BiLinearInterpolationTest

test 0.441

CapletVolatilitiesTest

testConversions 0.062

CalibrationMultiCurveTest

testMultiCurveCalibration 0.721

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.002
testAssumingEndDateIsNotATerminationDate 0.001

CMSOptionTest

testCMSOption 0.431

DeltaHedgedPortfolioWithAADTest

testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@2db0f6b2-AbstractMonteCarloProduct [currency=null]] 9.021
testHedgePerformance[net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel@2db0f6b2-AbstractMonteCarloProduct [currency=null]] 9.079

BlackScholesCallOptionTest

test 0.069
testDigitalOption 0.012

SwaptionNormalTest

testSwaption 1.88

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 11.384

CurveTest

testCurveFitting 0.072

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 1.058

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 2.379
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.023
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.223
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.209
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.02
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.017
testEuropeanAsianBermudanOption[net.finmath.montecarlo.RandomVariableFactory@136432db] 2.768
testModelRandomVariable[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.027
testEuropeanCallVega[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.363
testEuropeanCallDelta[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.346
testEuropeanCall[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.026
testModelProperties[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.021
testEuropeanAsianBermudanOption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 2.177
testModelRandomVariable[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.015
testEuropeanCallVega[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.191
testEuropeanCallDelta[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.182
testEuropeanCall[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.019
testModelProperties[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@7382f612]]] 0.022
testEuropeanAsianBermudanOption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.311
testModelRandomVariable[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.015
testEuropeanCallVega[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.194
testEuropeanCallDelta[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.18
testEuropeanCall[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.017
testModelProperties[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.016

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.045
test 0.005

LIBORIndexTest

testSinglePeriods[NSS-1.000] 0.149
testMultiPeriodFloater[NSS-1.000] 0.076
testUnalignedPeriods[NSS-1.000] 0.036
testSinglePeriods[NSS-2.000] 0.105
testMultiPeriodFloater[NSS-2.000] 0.051
testUnalignedPeriods[NSS-2.000] 0.137
testSinglePeriods[NSS-4.000] 0.122
testMultiPeriodFloater[NSS-4.000] 0.224
testUnalignedPeriods[NSS-4.000] 0.104
testSinglePeriods[NSS-8.000] 0.39
testMultiPeriodFloater[NSS-8.000] 0.225
testUnalignedPeriods[NSS-8.000] 0.356
testSinglePeriods[NSS-10.000] 0.305
testMultiPeriodFloater[NSS-10.000] 0.289
testUnalignedPeriods[NSS-10.000] 0.256
testSinglePeriods[NSS-20.000] 0.649
testMultiPeriodFloater[NSS-20.000] 0.598
testUnalignedPeriods[NSS-20.000] 0.594
testSinglePeriods[NSS-40.000] 1.448
testMultiPeriodFloater[NSS-40.000] 1.386
testUnalignedPeriods[NSS-40.000] 1.345
testSinglePeriods[NSS-80.000] 3.357
testMultiPeriodFloater[NSS-80.000] 3.25
testUnalignedPeriods[NSS-80.000] 3.356
testSinglePeriods[NSS-100.000] 4.118
testMultiPeriodFloater[NSS-100.000] 4.259
testUnalignedPeriods[NSS-100.000] 4.149
testSinglePeriods[NSS-200.000] 9.856
testMultiPeriodFloater[NSS-200.000] 10.045
testUnalignedPeriods[NSS-200.000] 10.034
testSinglePeriods[DISCRETE-1.000] 0.032
testMultiPeriodFloater[DISCRETE-1.000] 0.029
testUnalignedPeriods[DISCRETE-1.000] 0.026
testSinglePeriods[DISCRETE-2.000] 0.08
testMultiPeriodFloater[DISCRETE-2.000] 0.048
testUnalignedPeriods[DISCRETE-2.000] 0.047
testSinglePeriods[DISCRETE-4.000] 0.137
testMultiPeriodFloater[DISCRETE-4.000] 0.092
testUnalignedPeriods[DISCRETE-4.000] 0.093
testSinglePeriods[DISCRETE-8.000] 0.19
testMultiPeriodFloater[DISCRETE-8.000] 0.238
testUnalignedPeriods[DISCRETE-8.000] 0.192
testSinglePeriods[DISCRETE-10.000] 0.251
testMultiPeriodFloater[DISCRETE-10.000] 0.245
testUnalignedPeriods[DISCRETE-10.000] 0.245
testSinglePeriods[DISCRETE-20.000] 0.54
testMultiPeriodFloater[DISCRETE-20.000] 0.766
testUnalignedPeriods[DISCRETE-20.000] 0.605
testSinglePeriods[DISCRETE-40.000] 1.33
testMultiPeriodFloater[DISCRETE-40.000] 1.365
testUnalignedPeriods[DISCRETE-40.000] 1.298
testSinglePeriods[DISCRETE-80.000] 3.128
testMultiPeriodFloater[DISCRETE-80.000] 3.251
testUnalignedPeriods[DISCRETE-80.000] 3.166
testSinglePeriods[DISCRETE-100.000] 4.328
testMultiPeriodFloater[DISCRETE-100.000] 4.145
testUnalignedPeriods[DISCRETE-100.000] 4.263
testSinglePeriods[DISCRETE-200.000] 9.744
testMultiPeriodFloater[DISCRETE-200.000] 9.623
testUnalignedPeriods[DISCRETE-200.000] 10.715

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.149

HullWhiteModelTest

testBermudanSwaption 2.722
testZeroCMSSwap 2.082
testBond 0.406
testSwap 0.804
testSwaption 0.605
testCaplet 0.467
testCapletSmile 0.375
testLIBORInArrearsFloatLeg 0.468
testPutOnMoneyMarketAccount 0.427

RandomVariableDifferentiableAADPerformanceTest

test[RandomVariableFactory TestFunctionBigSum(10000,1,10000,0)] 1.448
test[RandomVariableDifferentiableAADFactory TestFunctionBigSum(10000,1,10000,0)] 1.19
test[RandomVariableFactory TestFunctionGeometricSum(10000,1,10000,0)] 12.318
test[RandomVariableDifferentiableAADFactory TestFunctionGeometricSum(10000,1,10000,0)] 9.55
test[RandomVariableFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.086
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProductsWithAddAndMult(10000,10,10000,10)] 1.056
test[RandomVariableFactory TestFunctionSumOfProducts(10000,100,10000,100)] 4.227
test[RandomVariableDifferentiableAADFactory TestFunctionSumOfProducts(10000,100,10000,100)] 1.086
test[RandomVariableFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 1.495
test[RandomVariableDifferentiableAADFactory TestFunctionAccrueWithAddAndMult(10000,100,1,100)] 1.063
test[RandomVariableFactory TestFunctionAccrue(10000,100,1,100)] 1.415
test[RandomVariableDifferentiableAADFactory TestFunctionAccrue(10000,100,1,100)] 1.057
test[RandomVariableFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 19.312
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloEuropeanOption(1,3,1,1)] 4.425
test[RandomVariableFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 19.37
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloAsianOption(1,3,1,1)] 5.508
test[RandomVariableFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 22.682
test[RandomVariableDifferentiableAADFactory TestFunctionMonteCarloBermudanOption(1,3,1,1)] 5.288

MertonModelTest

test 3.529

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[VOLATILITYLOGNORMAL] 46.344
testVolatilityCalibration[VOLATILITYNORMAL] 78.174

ModelWithProductFactoryTest

bsTest 1.074
hTest 1.748

DiscountCurveNelsonSiegelSvenssonTest

test 0.016

SimpsonRealIntegratorTest

testCos 0.011
testCubic 0.001

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.217
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.241
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@383534aa] 0.094
test[net.finmath.fouriermethod.products.DigitalOption@2e5c649] 0.04

FloatingpointDateTest

testLocalDateTime 1.189
test 0.002
testLocalDateLocalDateTimeConsistency 0.001

RandomVariableTest

testAdd[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.002
testCap[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.006
testFloor[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.001
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 4.696
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableFactory@6bc168e5] 0.001
testAdd[net.finmath.montecarlo.RandomVariableFactory@136432db] 0.001
testCap[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testFloor[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableFactory@136432db] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableFactory@136432db] 4.578
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] 0.023
testCap[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testFloor[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0
testRandomVariableArithmeticSqrtPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.004
testRandomVariableStandardDeviation[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0
testGetQuantile[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 4.68
testRandomVariableArithmeticSquaredPow[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.007
testRandomVariableStochastic[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0.001
testRandomVariableDeterministc[net.finmath.montecarlo.RandomVariableLazyEvaluationFactory@7382f612] 0
testAdd[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.006
testCap[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.001
testFloor[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0
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]]] 0.001
testGetQuantile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 4.614
testRandomVariableArithmeticSquaredPow[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.001
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
testAdd[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.002
testCap[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.001
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]]] 4.607
testRandomVariableArithmeticSquaredPow[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testRandomVariableStochastic[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0
testRandomVariableDeterministc[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0

HestonModelTest

test[xi=0}] 1.947
test[xi=0,5}] 1.629

LibraryTest

testVersionString 0.002
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 1.894

InterestRateProductTest

testBond 1.338
testSwap 1.175
testSwaption 0.942

DiscountCurveSerializationTest

test 0.027

AssetBlackScholesModelDescriptorTest

test 1.134

LIBORMarketModelHierarchyTest

testModelHierarchy 2.131

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.158

ForwardCurveNelsonSiegelSvenssonTest

test 0.023

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 3.756
testSwap[SPOT] 2.878
testSwaptionSmile[SPOT] 2.737
testSwaption[SPOT] 2.727
testDigitalCaplet[SPOT] 2.752
testCaplet[SPOT] 2.747
testSwaptionCalibration[SPOT] 13.143
testBond[TERMINAL] 2.801
testSwap[TERMINAL] 2.938
testSwaptionSmile[TERMINAL] 2.91
testSwaption[TERMINAL] 3.216
testDigitalCaplet[TERMINAL] 2.953
testCaplet[TERMINAL] 2.981
testSwaptionCalibration[TERMINAL] 12.021

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.114
testForwardCurveFromDiscountCurve[LINEAR] 0.004
testCurvesAndCalibration[HARMONIC_SPLINE] 0.013
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.003
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.011
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.003

AnalyticFormulasTest

testSABRSkewApproximation 0.003
testBlackScholesPutCallParityATM 0.021
testBachelierOptionImpliedVolatility 0.728
testBlackScholesNegativeForward 0
testSABRCurvatureApproximation 0
testBachelierRiskNeutralProbabilities 0.005
testSABRCalibration 2.678
testBachelierOptionDelta 0.024

HestonModelDescriptorTest

test 1.681

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.017
constructWithSetAtDefaultTickSize 0.005
constructWithBoxedArrayAtSmallTickSize 0
testUnionWithSubTickDuplicates 0.002
testIntersectionWithNoDuplicates 0
constructWithUnboxedArrayAtDefaultTickSize 0.001
constructWithIntervalShortStubAtFront 0.005
constructWithIntervalShortStubAtEnd 0
constructWithNumberOfSteps 0
constructWithSetAtSmallTickSize 0.001
constructWithArrayListAtBigTickSize 0.001
constructWithBoxedArrayAtBigTickSize 0
constructWithSetAtBigTickSize 0
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0.001
constructWithBoxedArrayAtDefaultTickSize 0
constructWithArrayListAtSmallTickSize 0
testUnionWithNoDuplicates 0
testUnionWithDifferentTickSizes 0
constructWithArrayListAtDefaultTickSize 0.001

HullWhiteModelCalibrationTest

testATMSwaptionCalibration 0.684

BlackScholesThetaTest

test 0.093

TestCurvesFromLIBORModel

testStochasticCurves 0.521

LIBORMarketModelValuationTest

testFRA[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 2.535
testBond[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 1.522
testSwap[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 1.284
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 1.313
testSwaption[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 1.296
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 1.302
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 1.311
testCaplet[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 1.305
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 1.33
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@7b3300e5] 0.063
testFRA[net.finmath.montecarlo.RandomVariableFactory@7382f612] 1.812
testBond[net.finmath.montecarlo.RandomVariableFactory@7382f612] 1.45
testSwap[net.finmath.montecarlo.RandomVariableFactory@7382f612] 1.343
testSwaptionSmile[net.finmath.montecarlo.RandomVariableFactory@7382f612] 1.406
testSwaption[net.finmath.montecarlo.RandomVariableFactory@7382f612] 1.374
testDigitalCaplet[net.finmath.montecarlo.RandomVariableFactory@7382f612] 2.853
testLIBORInArrearsConvexity[net.finmath.montecarlo.RandomVariableFactory@7382f612] 1.022
testCaplet[net.finmath.montecarlo.RandomVariableFactory@7382f612] 1.525
testCapletSmile[net.finmath.montecarlo.RandomVariableFactory@7382f612] 1.446
testSwaptionCalibration[net.finmath.montecarlo.RandomVariableFactory@7382f612] 0.053
testFRA[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 3.058
testBond[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 2.449
testSwap[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 1.816
testSwaptionSmile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 1.67
testSwaption[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 1.709
testDigitalCaplet[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 1.742
testLIBORInArrearsConvexity[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 1.678
testCaplet[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 1.53
testCapletSmile[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 1.699
testSwaptionCalibration[RandomVariableDifferentiableAADFactory [diracDeltaApproximationMethod=DISCRETE_DELTA, diracDeltaApproximationWidthPerStdDev=0.05, diracDeltaApproximationDensityRegressionWidthPerStdDev=0.5, isGradientRetainsLeafNodesOnly=true, toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@1055e4af]]] 0.051
testFRA[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 3.074
testBond[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 1.763
testSwap[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 1.761
testSwaptionSmile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 1.841
testSwaption[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 1.696
testDigitalCaplet[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 1.65
testLIBORInArrearsConvexity[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 1.622
testCaplet[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 1.639
testCapletSmile[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 1.581
testSwaptionCalibration[RandomVariableDifferentiableADFactory [toString()=AbstractRandomVariableDifferentiableFactory [randomVariableFactoryForNonDifferentiable=net.finmath.montecarlo.RandomVariableFactory@3caeaf62]]] 0.05