Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
223 0 0 0 100% 703.476

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


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
net.finmath.marketdata.model.curves 17 0 0 0 100% 0.328
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 17.532
net.finmath.montecarlo.interestrate 36 0 0 0 100% 207.149
net.finmath.time.daycount 3 0 0 0 100% 0.003
net.finmath.fouriermethod 4 0 0 0 100% 0.052
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.021
net.finmath.marketdata.products 3 0 0 0 100% 0
net.finmath.montecarlo.interestrate.products 9 0 0 0 100% 19.876
net.finmath.montecarlo.interestrate.products.indices 60 0 0 0 100% 144.45
net.finmath.modelling.descriptor 1 0 0 0 100% 1.788
net.finmath.montecarlo.assetderivativevaluation 23 0 0 0 100% 13.845
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 1.774
net.finmath.montecarlo.assetderivativevaluation.products 1 0 0 0 100% 1.992
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 272.95
net.finmath.time 12 0 0 0 100% 0
net.finmath.montecarlo 9 0 0 0 100% 17.647
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.254
net.finmath.integration 3 0 0 0 100% 0.001
net.finmath.interpolation 1 0 0 0 100% 0.042
net.finmath.functions 7 0 0 0 100% 3.563
net.finmath.convexityadjustment 1 0 0 0 100% 0.12
net.finmath.optimizer 10 0 0 0 100% 0.089

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

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 12 0 0 0 100% 0.038
CalibrationMultiCurveTest 1 0 0 0 100% 0.144
CurveTest 1 0 0 0 100% 0.031
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.115
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 17.532

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 1.394
LIBORMarketModelCalibrationTest 2 0 0 0 100% 128.18
HullWhiteModelTest 9 0 0 0 100% 11.022
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 52.014
LIBORMarketModelValuationTest 10 0 0 0 100% 14.539

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.003

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.013
HestonModelCallOptionTest 2 0 0 0 100% 0.039

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.021

net.finmath.marketdata.products

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

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 1.836
SwapLegTest 5 0 0 0 100% 10.103
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 7.937

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexTest 60 0 0 0 100% 144.45

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
HestonModelDescriptorTest 1 0 0 0 100% 1.788

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.654
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.009
BachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.573
BlackScholesMonteCarloValuationTest 6 0 0 0 100% 2.66
MertonModelTest 1 0 0 0 100% 3.007
HestonModelTest 1 0 0 0 100% 1.431
DisplacedLognomalModelTest 1 0 0 0 100% 1.511

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 1.774

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 1.992

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.012
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 272.682
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.256

net.finmath.time

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

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 3 0 0 0 100% 12.288
GammaProcessTest 1 0 0 0 100% 5.359
RandomVariableTest 5 0 0 0 100% 0

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
CalibrationTest 6 0 0 0 100% 0.053
TestCurvesFromLIBORModel 1 0 0 0 100% 0.201

net.finmath.integration

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

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.042

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
JarqueBeraTestTest 1 0 0 0 100% 0.001
AnalyticFormulasTest 6 0 0 0 100% 3.562

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.12

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
LevenbergMarquardtTest 6 0 0 0 100% 0.017
OptimizerFactoryTest 2 0 0 0 100% 0.047
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.025

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 1.394

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.49
testModelRandomVariable 0.008
testEuropeanCallVega 0.067
testEuropeanCallDelta 0.066
testEuropeanCall 0.011
testModelProperties 0.012

DayCountConvention_30E_360Test

test 0

JarqueBeraTestTest

test 0.001

BrownianMotionTest

testBrownianIncrementSquaredDrift 2.834
testScalarValuedBrownianMotionTerminalDistribution 4.868
testScalarValuedBrownianMotionWithJarqueBeraTest 4.586

SwaptionAnalyticApproximationTest

testMultiCurveModel 0.923
testSingleCurveModel 0.913

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.033
testForwardCurveFromDiscountCurve[LINEAR] 0
testCurvesAndCalibration[CUBIC_SPLINE] 0
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0.001
testCurvesAndCalibration[AKIMA] 0
testForwardCurveFromDiscountCurve[AKIMA] 0
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.001
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0
testCurvesAndCalibration[HARMONIC_SPLINE] 0
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.001
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.001
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0

GammaProcessTest

testScaling 5.359

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 46.236
testATMSwaptionCalibration 81.944

SwapLegTest

testFloatLeg 1.773
testCMSSpreadLeg 2.419
testFixLeg 1.933
testLIBORInArrearsFloatLeg 1.921
testCMSFloatLeg 2.057

TrapezoidalRealIntegratorTest

test 0

ExposureTest

testExpectedPositiveExposure 9.531
testAgainstSwaption 8

BusinessdayCalendarTest

testNycCalendar 0.015
testCreateDateFromDateAndOffsetCode 0
testCombinedCalendar 0.005
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 1.992

DepositTest

testRateValueConsistency 0
testEvaluationTime 0
testDepositValue 0

DayCountConventionTest

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

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0
testBoothFunctionWithAnalyticDerivative 0
testRosenbrockFunctionWithList 0.014
testBoothFunction 0.001
testRosenbrockFunction 0.001
testSmallLinearSystem 0

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 3.209
test[TERMINAL] 4.728

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.039
testRosenbrockFunctionWithLevenbergMarquard 0.008

MonteCarloBlackScholesModelTest

testDirectValuation 0
testProductImplementation 0.009

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.415
testModelRandomVariable 0.008
testEuropeanCallVega 0.063
testEuropeanCallDelta 0.063
testEuropeanCall 0.011
testModelProperties 0.012

ScheduleGeneratorTest

testPeriodLength 0
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0

BiLinearInterpolationTest

test 0.042

CapletVolatilitiesTest

testConversions 0.012

CalibrationMultiCurveTest

testMultiCurveCalibration 0.144

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.003
testAssumingEndDateIsNotATerminationDate 0

CMSOptionTest

testCMSOption 0.12

BlackScholesCallOptionTest

test 0.007
testDigitalOption 0.006

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 1.774

CurveTest

testCurveFitting 0.031

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.307
testModelRandomVariable 0.01
testEuropeanCallVega 0.164
testEuropeanCallDelta 0.149
testEuropeanCall 0.015
testModelProperties 0.015

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.011
test 0.014

LIBORIndexTest

testSinglePeriods[NSS-1,000] 0.045
testMultiPeriodFloater[NSS-1,000] 0.037
testUnalignedPeriods[NSS-1,000] 0.032
testSinglePeriods[NSS-2,000] 0.069
testMultiPeriodFloater[NSS-2,000] 0.062
testUnalignedPeriods[NSS-2,000] 0.065
testSinglePeriods[NSS-4,000] 0.125
testMultiPeriodFloater[NSS-4,000] 0.136
testUnalignedPeriods[NSS-4,000] 0.122
testSinglePeriods[NSS-8,000] 0.264
testMultiPeriodFloater[NSS-8,000] 0.266
testUnalignedPeriods[NSS-8,000] 0.256
testSinglePeriods[NSS-10,000] 0.351
testMultiPeriodFloater[NSS-10,000] 0.342
testUnalignedPeriods[NSS-10,000] 0.354
testSinglePeriods[NSS-20,000] 0.707
testMultiPeriodFloater[NSS-20,000] 0.713
testUnalignedPeriods[NSS-20,000] 0.728
testSinglePeriods[NSS-40,000] 1.567
testMultiPeriodFloater[NSS-40,000] 1.586
testUnalignedPeriods[NSS-40,000] 1.585
testSinglePeriods[NSS-80,000] 3.631
testMultiPeriodFloater[NSS-80,000] 3.62
testUnalignedPeriods[NSS-80,000] 3.481
testSinglePeriods[NSS-100,000] 4.706
testMultiPeriodFloater[NSS-100,000] 4.489
testUnalignedPeriods[NSS-100,000] 4.595
testSinglePeriods[NSS-200,000] 11.938
testMultiPeriodFloater[NSS-200,000] 12.106
testUnalignedPeriods[NSS-200,000] 12.218
testSinglePeriods[DISCRETE-1,000] 0.087
testMultiPeriodFloater[DISCRETE-1,000] 0.033
testUnalignedPeriods[DISCRETE-1,000] 0.032
testSinglePeriods[DISCRETE-2,000] 0.06
testMultiPeriodFloater[DISCRETE-2,000] 0.063
testUnalignedPeriods[DISCRETE-2,000] 0.067
testSinglePeriods[DISCRETE-4,000] 0.137
testMultiPeriodFloater[DISCRETE-4,000] 0.128
testUnalignedPeriods[DISCRETE-4,000] 0.123
testSinglePeriods[DISCRETE-8,000] 0.282
testMultiPeriodFloater[DISCRETE-8,000] 0.289
testUnalignedPeriods[DISCRETE-8,000] 0.267
testSinglePeriods[DISCRETE-10,000] 0.335
testMultiPeriodFloater[DISCRETE-10,000] 0.35
testUnalignedPeriods[DISCRETE-10,000] 0.342
testSinglePeriods[DISCRETE-20,000] 0.757
testMultiPeriodFloater[DISCRETE-20,000] 0.787
testUnalignedPeriods[DISCRETE-20,000] 0.821
testSinglePeriods[DISCRETE-40,000] 1.811
testMultiPeriodFloater[DISCRETE-40,000] 2.073
testUnalignedPeriods[DISCRETE-40,000] 1.944
testSinglePeriods[DISCRETE-80,000] 4.591
testMultiPeriodFloater[DISCRETE-80,000] 4.577
testUnalignedPeriods[DISCRETE-80,000] 4.252
testSinglePeriods[DISCRETE-100,000] 5.117
testMultiPeriodFloater[DISCRETE-100,000] 4.555
testUnalignedPeriods[DISCRETE-100,000] 4.507
testSinglePeriods[DISCRETE-200,000] 11.521
testMultiPeriodFloater[DISCRETE-200,000] 12.187
testUnalignedPeriods[DISCRETE-200,000] 12.099

HullWhiteModelTest

testBermudanSwaption 4.805
testZeroCMSSwap 2.157
testBond 0.509
testSwap 0.857
testSwaption 0.674
testCaplet 0.538
testCapletSmile 0.479
testLIBORInArrearsFloatLeg 0.491
testPutOnMoneyMarketAccount 0.499

MertonModelTest

test 3.006

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[{1}] 102.018
testVolatilityCalibration[{1}] 170.664

DiscountCurveNelsonSiegelSvenssonTest

test 0

SimpsonRealIntegratorTest

testCos 0
testCubic 0

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.107
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.149
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@42530531] 0.016
test[net.finmath.fouriermethod.products.DigitalOption@5a3bc7ed] 0.023

FloatingpointDateTest

test 0

RandomVariableTest

testRandomVariableArithmeticSqrtPow 0
testRandomVariableStandardDeviation 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableStochastic 0
testRandomVariableDeterministc 0

HestonModelTest

test 1.431

DisplacedLognomalModelTest

testProductImplementation 1.511

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.115

ForwardCurveNelsonSiegelSvenssonTest

test 0

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 3.794
testSwap[SPOT] 3.741
testSwaptionSmile[SPOT] 3.46
testSwaption[SPOT] 3.562
testDigitalCaplet[SPOT] 3.562
testCaplet[SPOT] 3.616
testSwaptionCalibration[SPOT] 0.205
testBond[TERMINAL] 4.858
testSwap[TERMINAL] 5.203
testSwaptionSmile[TERMINAL] 4.93
testSwaption[TERMINAL] 4.989
testDigitalCaplet[TERMINAL] 4.96
testCaplet[TERMINAL] 5.073
testSwaptionCalibration[TERMINAL] 0.047

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.037
testForwardCurveFromDiscountCurve[LINEAR] 0.001
testCurvesAndCalibration[HARMONIC_SPLINE] 0.006
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.006
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0

AnalyticFormulasTest

testSABRSkewApproximation 0.001
testBlackScholesPutCallParityATM 0
testBachelierOptionImpliedVolatility 0.943
testSABRCurvatureApproximation 0
testBachelierRiskNeutralProbabilities 0
testSABRCalibration 2.618

HestonModelDescriptorTest

test 1.756

TestCurvesFromLIBORModel

testStochasticCurves 0.201

LIBORMarketModelValuationTest

testFRA 1.598
testBond 1.544
testSwap 1.672
testSwaptionSmile 1.608
testSwaption 1.588
testDigitalCaplet 1.665
testLIBORInArrearsConvexity 1.626
testCaplet 1.607
testCapletSmile 1.571
testSwaptionCalibration 0.054