Surefire Report
Summary
[Summary] [Package List] [Test Cases]
Tests | Errors | Failures | Skipped | Success Rate | Time |
---|---|---|---|---|---|
721 | 0 | 0 | 5 | 99.307% | 1,965.325 |
Note: failures are anticipated and checked for with assertions while errors are unanticipated.
Package List
[Summary] [Package List] [Test Cases]
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% | 3.731 | |
LIBORMarketModelWithTenorRefinementCalibrationTest | 2 | 0 | 0 | 0 | 100% | 432.811 | |
LIBORMarketModelCalibrationSmileTest | 1 | 0 | 0 | 0 | 100% | 17.586 | |
HullWhiteModelTest | 9 | 0 | 0 | 0 | 100% | 14.65 | |
HullWhiteModelCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.562 |
net.finmath.climate.models.dice
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
DICEModelTest | 3 | 0 | 0 | 0 | 100% | 0.063 |
net.finmath.montecarlo.automaticdifferentiation
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.568 |
net.finmath.rootfinder
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
RootFindersTest | 1 | 0 | 0 | 0 | 100% | 0.02 |
net.finmath.singleswaprate.calibration
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
SABRCubeParallelCalibrationTest | 1 | 0 | 0 | 0 | 100% | 7.039 | |
StaticCubeCalibrationTest | 1 | 0 | 0 | 0 | 100% | 6.44 | |
SABRCubeCalibrationTest | 1 | 0 | 0 | 0 | 100% | 14.738 | |
SABRShiftedSmileCalibrationTest | 2 | 0 | 0 | 0 | 100% | 3.6 |
net.finmath.fouriermethod
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
BlackScholesCallOptionTest | 2 | 0 | 0 | 0 | 100% | 0.055 | |
VarianceGammaCallOptionTest | 3 | 0 | 0 | 0 | 100% | 4.132 | |
MertonJumpDiffusionCallOptionTest | 3 | 0 | 0 | 0 | 100% | 6.413 |
net.finmath.time.businessdaycalendar
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
BusinessdayCalendarTest | 5 | 0 | 0 | 0 | 100% | 0.032 |
net.finmath.marketdata.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
DepositTest | 3 | 0 | 0 | 0 | 100% | 0.018 |
net.finmath.equities
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
PdeOptionPricerTest | 8 | 0 | 0 | 0 | 100% | 0.582 | |
AffineDividendStreamTest | 2 | 0 | 0 | 0 | 100% | 0.02 | |
AnalyticOptionValuationTest | 2 | 0 | 0 | 0 | 100% | 0.035 | |
SviVolatiltitySurfaceTest | 3 | 0 | 0 | 0 | 100% | 0.039 | |
Black76ModelTest | 2 | 0 | 0 | 0 | 100% | 0.016 |
net.finmath.singleswaprate.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
CashSettledSwaptionTest | 3 | 0 | 0 | 0 | 100% | 8.371 | |
ConstantMaturitySwapTest | 3 | 0 | 0 | 0 | 100% | 16.517 | |
AnnuityDummyTest | 3 | 0 | 0 | 0 | 100% | 0.299 |
net.finmath.singleswaprate.annuitymapping
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
NormalizingFunctionTest | 1 | 0 | 0 | 0 | 100% | 0.071 | |
AnnuityMappingTest | 4 | 0 | 0 | 0 | 100% | 0.082 |
net.finmath.montecarlo.hybridassetinterestrate
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest | 1 | 0 | 0 | 0 | 100% | 1.376 | |
CrossCurrencyLIBORMarketModelFromModelsTest | 4 | 0 | 0 | 0 | 100% | 40.216 |
net.finmath.fouriermethod.calibration
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
HestonDaxCalibrationTest | 1 | 0 | 0 | 0 | 100% | 1.361 | |
VarianceGammaDaxCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.953 |
net.finmath.time
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
DayCountConventionTest | 8 | 0 | 0 | 0 | 100% | 0.011 | |
ScheduleGeneratorTest | 3 | 0 | 0 | 0 | 100% | 0.019 | |
FloatingpointDateTest | 3 | 0 | 0 | 0 | 100% | 0.732 | |
TimeDiscretizationTest | 20 | 0 | 0 | 0 | 100% | 0.017 |
net.finmath.integration
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
PiecewiseContantDoubleUnaryOperatorTest | 5 | 0 | 0 | 0 | 100% | 0.007 | |
TrapezoidalRealIntegratorTest | 1 | 0 | 0 | 0 | 100% | 0.009 | |
SimpsonRealIntegratorTest | 2 | 0 | 0 | 0 | 100% | 0.012 | |
MonteCarloIntegratorTest | 2 | 0 | 0 | 0 | 100% | 0.111 |
net.finmath.stochastic
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
ScalarTest | 20 | 0 | 0 | 0 | 100% | 0.01 |
net.finmath.convexityadjustment
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
CMSOptionTest | 1 | 0 | 0 | 0 | 100% | 0.301 |
net.finmath.modelling
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
LIBORMarketModelHierarchyTest | 1 | 0 | 0 | 0 | 100% | 1.507 |
net.finmath.marketdata.model.curves.locallinearregression
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
CurveEstimationTest | 2 | 0 | 0 | 0 | 100% | 0.027 |
net.finmath.montecarlo.assetderivativevaluation.models
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
MultiAssetBlackScholesModelTest | 4 | 0 | 0 | 0 | 100% | 12.434 |
net.finmath.singleswaprate.model.volatilities
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
SABRVolatilityCubeSharedParametersTest | 2 | 0 | 0 | 0 | 100% | 0.098 | |
SABRVolatilityCubeTest | 4 | 0 | 0 | 0 | 100% | 0.145 |
net.finmath.optimizer
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
StochasticLevenbergMarquardtTest | 2 | 0 | 0 | 0 | 100% | 0.061 | |
LevenbergMarquardtTest | 6 | 0 | 0 | 0 | 100% | 0.047 | |
OptimizerFactoryTest | 2 | 0 | 0 | 0 | 100% | 0.053 | |
StochasticPathwiseLevenbergMarquardtTest | 2 | 0 | 0 | 0 | 100% | 0.043 |
net.finmath.montecarlo.automaticdifferentiation.backward
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
RandomVariableDifferentiableAADTest | 13 | 0 | 0 | 0 | 100% | 0.015 |
net.finmath.randomnumbers
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
AcceptanceRejectionRandomNumberGeneratorTest | 1 | 0 | 0 | 0 | 100% | 0.627 | |
HighEntropyRandomNumberGeneratorTest | 2 | 0 | 0 | 0 | 100% | 0.064 |
net.finmath.montecarlo.interestrate.products.components
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
ExposureTest | 2 | 0 | 0 | 0 | 100% | 17.531 | |
FundingCapacityTest | 1 | 0 | 0 | 0 | 100% | 0.015 |
net.finmath.marketdata.model.curves
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
CalibrationMultiCurveTest | 1 | 0 | 0 | 0 | 100% | 0.664 | |
CurveTest | 1 | 0 | 0 | 0 | 100% | 0.035 | |
NelsonSiegelSvenssonBondCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.056 | |
DiscountCurveNelsonSiegelSvenssonTest | 1 | 0 | 0 | 0 | 100% | 0.007 | |
DiscountCurveSerializationTest | 1 | 0 | 0 | 0 | 100% | 0.029 | |
NelsonSiegelSvenssonCalibrationTest | 1 | 0 | 0 | 0 | 100% | 0.237 | |
ForwardCurveNelsonSiegelSvenssonTest | 1 | 0 | 0 | 0 | 100% | 0.01 |
net.finmath.time.daycount
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
DayCountConvention_30E_360Test | 1 | 0 | 0 | 0 | 100% | 0.01 | |
DayCountConvention_30E_360_ISDATest | 2 | 0 | 0 | 0 | 100% | 0.013 |
net.finmath.fouriermethod.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
TestCarrMadan | 1 | 0 | 0 | 0 | 100% | 0.032 |
net.finmath.information
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
LibraryTest | 2 | 0 | 0 | 0 | 100% | 0.006 |
net.finmath.montecarlo.interestrate.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
SwaptionAnalyticApproximationTest | 2 | 0 | 0 | 0 | 100% | 1.44 | |
SwapLegTest | 5 | 0 | 0 | 0 | 100% | 5.886 | |
SwaptionNormalTest | 1 | 0 | 0 | 0 | 100% | 0.717 | |
InterestRateProductTest | 3 | 0 | 0 | 0 | 100% | 3.268 |
net.finmath.modelling.descriptor
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
MertonModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 28.825 | |
InterestRateSwapLegDescriptorTest | 2 | 0 | 0 | 0 | 100% | 2.342 | |
VarianceGammaModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 28.077 | |
AssetBlackScholesModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 1.969 | |
HestonModelDescriptorTest | 1 | 0 | 0 | 0 | 100% | 2 |
net.finmath.montecarlo.assetderivativevaluation
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
InhomogenousBachelierModelMonteCarloValuationTest | 6 | 0 | 0 | 1 | 83.333% | 0.64 | |
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest | 2 | 0 | 0 | 0 | 100% | 17.943 | |
VarianceGammaModelTest | 1 | 0 | 0 | 0 | 100% | 2.071 | |
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.189 | |
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.392 | |
MonteCarloBlackScholesModelTest | 2 | 0 | 0 | 0 | 100% | 0.092 | |
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest | 1 | 0 | 0 | 0 | 100% | 0.186 | |
MertonModelTest | 1 | 0 | 0 | 0 | 100% | 6.096 |
net.finmath.montecarlo.interestrate.modelplugins
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest | 1 | 0 | 0 | 0 | 100% | 1.023 |
net.finmath.montecarlo.assetderivativevaluation.products
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
BlackScholesDeltaHedgedPortfolioTest | 1 | 0 | 0 | 0 | 100% | 2.127 | |
ForwardAgreementWithFundingRequirementTest | 1 | 0 | 0 | 0 | 100% | 0.203 | |
EuropeanOptionVegaPathwiseTest | 1 | 0 | 0 | 0 | 100% | 1.611 |
net.finmath.marketdata.model.volatilities
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
CapletVolatilitiesTest | 1 | 0 | 0 | 0 | 100% | 0.042 | |
CapletVolatilitiesParametricTest | 5 | 0 | 0 | 0 | 100% | 0.068 |
net.finmath.modelling.productfactory
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
ModelWithProductFactoryTest | 2 | 0 | 0 | 0 | 100% | 3.748 |
net.finmath.finitedifference
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
ConstantElasticityOfVarianceThetaTest | 2 | 0 | 0 | 0 | 100% | 0.88 | |
BlackScholesThetaTest | 2 | 0 | 0 | 0 | 100% | 0.217 |
net.finmath.montecarlo
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
RandomVariableFromDoubleArrayTest | 9 | 0 | 0 | 0 | 100% | 0.02 | |
GammaProcessTest | 1 | 0 | 0 | 0 | 100% | 3.911 | |
VarianceGammaTest | 1 | 0 | 0 | 0 | 100% | 1.084 |
net.finmath.marketdata.model.cds
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
CDSTest | 1 | 0 | 0 | 0 | 100% | 0.06 |
net.finmath.singleswaprate.data
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
DataTablesTest | 1 | 0 | 0 | 0 | 100% | 0.046 |
net.finmath.analytic.model.curves.test
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
TestCurvesFromLIBORModel | 1 | 0 | 0 | 0 | 100% | 0.432 |
net.finmath.interpolation
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
BiLinearInterpolationTest | 1 | 0 | 0 | 0 | 100% | 0.034 |
net.finmath.functions
Class | Tests | Errors | Failures | Skipped | Success Rate | Time | |
---|---|---|---|---|---|---|---|
NormalDistributionTest | 2 | 0 | 0 | 0 | 100% | 0.032 | |
JarqueBeraTestTest | 1 | 0 | 0 | 0 | 100% | 0.025 | |
LinearAlgebraTest | 6 | 0 | 0 | 0 | 100% | 0.026 | |
BachelierModelTest | 8 | 0 | 0 | 0 | 100% | 0.054 | |
BarrierOptionsTest | 8 | 0 | 0 | 0 | 100% | 0.031 | |
AnalyticFormulasTest | 11 | 0 | 0 | 0 | 100% | 4.514 |
Test Cases
[Summary] [Package List] [Test Cases]
PiecewiseContantDoubleUnaryOperatorTest
testExceptions | 0.003 | |
testIntegralErrorCorrection | 0 | |
testValuation | 0 | |
testIntegralOfSquares | 0 | |
testIntegral | 0 |
CapValuationTest
testCap | 3.729 |
NormalDistributionTest
testCumulativeDistribution | 0.018 | |
testInverseCumulativeDistribution | 0.01 |
InhomogenousBachelierModelMonteCarloValuationTest
testEuropeanAsianBermudanOption | 0 | |
skipped | ||
testModelRandomVariable | 0.076 | |
testEuropeanCallVega | 0.274 | |
testEuropeanCallDelta | 0.202 | |
testEuropeanCall | 0.035 | |
testModelProperties | 0.047 |
MertonModelDescriptorTest
test | 28.821 |
DayCountConvention_30E_360Test
test | 0.006 |
JarqueBeraTestTest
test | 0.021 |
BrownianMotionTest
RandomVariableDifferentiableTypePriorityTest
RandomVariableFromDoubleArrayTest
testAdd | 0.009 | |
testDiv | 0 | |
testGet | 0 | |
testApply | 0.001 | |
testMult | 0 | |
testSize | 0 | |
testAverage | 0.001 | |
testVariance | 0 | |
testGetRealizations | 0.001 |
RandomVariableDifferentiableArithmeticTest
SwaptionAnalyticApproximationTest
testMultiCurveModel | 0.86 | |
testSingleCurveModel | 0.577 |
CalibrationTest
GammaProcessTest
testScaling | 3.907 |
LIBORMarketModelNormalAADSensitivitiesTest
CurveEstimationTest
testRegressionMatrix | 0.016 | |
testLinearInterpolation | 0.007 |
LIBORMarketModelCalibrationTest
testATMSwaptionCalibration | 37.944 | |
testATMSwaptionCalibration | 4.568 | |
testATMSwaptionCalibration | 80.201 |
ScalarTest
PdeOptionPricerTest
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest
testSensitivities | 7.027 | |
testProductAADSensitivities | 10.913 |
AffineDividendStreamTest
Test_affineDividendConversion | 0.016 | |
Test_sorting | 0.001 |
RandomVariableDifferentiableAADTest
HestonDaxCalibrationTest
test | 1.357 |
SwapLegTest
testFloatLeg | 1.276 | |
testCMSSpreadLeg | 1.303 | |
testFixLeg | 0.938 | |
testLIBORInArrearsFloatLeg | 1.003 | |
testCMSFloatLeg | 1.361 |
FIPXMLParserTest
testGetSwapProductDescriptor | 0.014 |
AnalyticOptionValuationTest
Test_noArbitrage | 0.029 | |
Test_sensis | 0.003 |
RandomVariableDifferentiableTest
LIBORMarketModelCalibrationAADTest
testATMSwaptionCalibration | 18.681 | |
testATMSwaptionCalibration | 62.763 |
DICEModelTest
testTimeStep1Y | 0.046 | |
testTimeStep5Y | 0.003 | |
testTimeStep6M | 0.009 |
TrapezoidalRealIntegratorTest
test | 0.006 |
LIBORMarketModelInterpolationTest
testInterpolatedLastLIBOR | 9.814 | |
testInterpolatedLastLIBOR | 10.045 | |
testInterpolatedLastLIBOR | 9.585 |
ExposureTest
testExpectedPositiveExposure | 9.865 | |
testAgainstSwaption | 7.662 |
VarianceGammaModelTest
test | 2.068 |
RootFindersTest
testRootFinders | 0.017 |
CashSettledSwaptionTest
a_testSimplifiedLinear | 0.447 | |
b_testBasicPiterbarg | 3.973 | |
c_testMultiPiterbarg | 3.907 |
FPMLParserTest
testGetSwapProductDescriptor | 0.024 |
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest
testProductAADSensitivities | 0.187 |
BusinessdayCalendarTest
testNycCalendar | 0.014 | |
testCreateDateFromDateAndOffsetCode | 0.01 | |
testCombinedCalendar | 0.003 | |
testTargetCalendar | 0.001 | |
testLondonCalendar | 0 |
BlackScholesDeltaHedgedPortfolioTest
testHedgePerformance | 2.123 |
DepositTest
testRateValueConsistency | 0.014 | |
testEvaluationTime | 0 | |
testDepositValue | 0 |
InterestRateSwapLegDescriptorTest
testFloatLeg | 1.349 | |
testFixLeg | 0.988 |
FundingCapacityTest
test | 0.01 |
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest
test | 1.373 |
VarianceGammaModelDescriptorTest
test | 28.073 |
NormalizingFunctionTest
testExpectation | 0.023 |
ConstantMaturitySwapTest
testSimplifiedLinear | 0.469 | |
testBasicPiterbarg | 8.067 | |
testMultiPiterbarg | 7.945 |
AnnuityDummyTest
testSimplified | 0.119 | |
testBasic | 0.076 | |
testMulti | 0.066 |
SABRCubeParallelCalibrationTest
testCalibration | 7.035 |
StaticCubeCalibrationTest
testStaticCubeCalibration | 6.438 |
StochasticLevenbergMarquardtTest
testBoothFunctionWithAnalyticDerivative | 0.034 | |
test | 0.023 |
AcceptanceRejectionRandomNumberGeneratorTest
test | 0.624 |
DayCountConventionTest
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest
testProductAADSensitivities | 0.388 |
MonteCarloBlackScholesModelSensitivitiesTest
testProductAADSensitivities | 1.507 | |
testProductAADSensitivities | 1.443 | |
testProductAADSensitivities | 1.67 |
LIBORIndexMultiCurveTest
LevenbergMarquardtTest
testMultiThreaddedOptimizer | 0.028 | |
testBoothFunctionWithAnalyticDerivative | 0.006 | |
testRosenbrockFunctionWithList | 0.002 | |
testBoothFunction | 0.003 | |
testRosenbrockFunction | 0.004 | |
testSmallLinearSystem | 0.001 |
CDSTest
testCDS | 0.056 |
LinearAlgebraTest
SimpleCappedFlooredFloatingRateBondTest
test | 3.556 | |
test | 3.364 |
CrossCurrencyLIBORMarketModelFromModelsTest
testForeignBond | 11.689 | |
testProperties | 6.479 | |
testForeignCaplet | 10.943 | |
testForeignFRA | 11.101 |
FundingCapacityTest
TestCarrMadan
test | 0.029 |
OptimizerFactoryTest
testRosenbrockFunctionWithCMAES | 0.046 | |
testRosenbrockFunctionWithLevenbergMarquard | 0.004 |
AnnuityMappingTest
a_testMappings | 0.003 | |
b_testSeq | 0.003 | |
c_testFirstDerivative | 0.002 | |
d_testSecondDerivative | 0.001 |
MonteCarloBlackScholesModelTest
testDirectValuation | 0.053 | |
testProductImplementation | 0.037 |
BachelierModelMonteCarloValuationTest
testEuropeanAsianBermudanOption | 0 | |
skipped | ||
testEuropeanAsianBermudanOption | 0 | |
skipped | ||
testEuropeanAsianBermudanOption | 0 | |
skipped | ||
testEuropeanAsianBermudanOption | 0 | |
skipped | ||
testModelRandomVariable | 0.078 | |
testModelRandomVariable | 0.045 | |
testModelRandomVariable | 0.033 | |
testModelRandomVariable | 0.031 | |
testEuropeanCallVega | 0.242 | |
testEuropeanCallVega | 0.216 | |
testEuropeanCallVega | 0.188 | |
testEuropeanCallVega | 0.191 | |
testEuropeanCallDelta | 0.163 | |
testEuropeanCallDelta | 0.192 | |
testEuropeanCallDelta | 0.168 | |
testEuropeanCallDelta | 0.179 | |
testEuropeanCall | 0.045 | |
testEuropeanCall | 0.032 | |
testEuropeanCall | 0.033 | |
testEuropeanCall | 0.034 | |
testModelProperties | 0.047 | |
testModelProperties | 0.047 | |
testModelProperties | 0.046 | |
testModelProperties | 0.094 |
ScheduleGeneratorTest
testPeriodLength | 0.013 | |
testPeriodStartPeriodEnd | 0.001 | |
testScheduleGeneratorMetaData | 0.001 |
BiLinearInterpolationTest
test | 0.03 |
CapletVolatilitiesTest
testConversions | 0.039 |
VarianceGammaDaxCalibrationTest
test | 0.949 |
CalibrationMultiCurveTest
testMultiCurveCalibration | 0.66 |
DayCountConvention_30E_360_ISDATest
testAssumingEndDateIsATerminationDate | 0.008 | |
testAssumingEndDateIsNotATerminationDate | 0 |
CMSOptionTest
testCMSOption | 0.297 |
DeltaHedgedPortfolioWithAADTest
testHedgePerformance | 6.941 | |
testHedgePerformance | 6.268 |
BlackScholesCallOptionTest
test | 0.038 | |
testDigitalOption | 0.013 |
BachelierModelTest
SwaptionNormalTest
testSwaption | 0.713 |
LIBORMarketModelWithTenorRefinementCalibrationTest
testSwaptionSmileCalibration | 201.974 | |
testATMSwaptionCalibration | 230.833 |
LIBORMarketModelCalibrationSmileTest
testSwaptionSmileCalibration | 17.584 |
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest
test | 1.02 |
CurveTest
testCurveFitting | 0.031 |
HighEntropyRandomNumberGeneratorTest
distributionTest | 0.032 | |
testRNGWithConcurrency | 0.028 |
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest
test | 0.565 |
BlackScholesMonteCarloValuationTest
StochasticPathwiseLevenbergMarquardtTest
testBoothFunctionWithAnalyticDerivative | 0.034 | |
test | 0.004 |
SABRCubeCalibrationTest
testSABRCubeCalibration | 14.735 |
LIBORIndexTest
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest
testProductAADSensitivities | 0.183 |
HullWhiteModelTest
RandomVariableDifferentiableAADPerformanceTest
test | 1.244 | |
test | 1.159 | |
test | 5.526 | |
test | 4.492 | |
test | 1.13 | |
test | 1.082 | |
test | 1.646 | |
test | 1.119 | |
test | 1.392 | |
test | 1.098 | |
test | 1.249 | |
test | 1.074 | |
test | 58.076 | |
test | 12.917 | |
test | 59.732 | |
test | 13.358 | |
test | 42.39 | |
test | 8.7 |
NelsonSiegelSvenssonBondCalibrationTest
testBondNSSCurveCalibration | 0.052 |
MertonModelTest
test | 6.094 |
CapletVolatilitiesParametricCalibrationTest
testVolatilityCalibration | 50.035 | |
testVolatilityCalibration | 86.109 |
ModelWithProductFactoryTest
bsTest | 1.884 | |
hTest | 1.861 |
DiscountCurveNelsonSiegelSvenssonTest
test | 0.003 |
SimpsonRealIntegratorTest
testCos | 0.009 | |
testCubic | 0.001 |
ForwardAgreementWithFundingRequirementTest
test | 0.196 |
CapletVolatilitiesParametricTest
DataTablesTest
testTables | 0.041 |
HestonModelCallOptionTest
test | 0.075 | |
test | 0.032 |
FloatingpointDateTest
testLocalDateTime | 0.725 | |
test | 0.001 | |
testLocalDateLocalDateTimeConsistency | 0.001 |
SviVolatiltitySurfaceTest
Test_noArbitrage | 0.019 | |
Test_calibration | 0.015 | |
Test_stickyness | 0.001 |
RandomVariableTest
HestonModelTest
test | 3.316 | |
test | 3.176 |
LibraryTest
testVersionString | 0.002 | |
testBuildString | 0 |
DisplacedLognomalModelTest
testProductImplementation | 0.412 | |
testProductImplementation | 0.348 | |
testProductImplementation | 0.399 |
InterestRateProductTest
testBond | 1.158 | |
testSwap | 1.008 | |
testSwaption | 1.097 |
DiscountCurveSerializationTest
test | 0.025 |
AssetBlackScholesModelDescriptorTest
test | 1.966 |
BarrierOptionsTest
testDownAndInCall | 0.024 | |
testDownAndOutPut | 0.001 | |
testDownAndInPut | 0 | |
testUpAndInPut | 0.001 | |
testUpAndInCall | 0 | |
testUpAndOutPut | 0.001 | |
testUpAndOutCall | 0 | |
testDownAndOutCall | 0.001 |
LIBORMarketModelHierarchyTest
testModelHierarchy | 1.504 |
SABRVolatilityCubeSharedParametersTest
a_cubeATM | 0.009 | |
b_strikeSlices | 0.007 |
VarianceGammaCallOptionTest
testMartingalePropertyMonteCarlo | 2.04 | |
test | 2.088 | |
testMartingaleProperty | 0.001 |
NelsonSiegelSvenssonCalibrationTest
testCalibration | 0.233 |
ForwardCurveNelsonSiegelSvenssonTest
test | 0.006 |
LIBORMarketModelMultiCurveValuationTest
MertonJumpDiffusionCallOptionTest
testMartingalePropertyMonteCarlo | 3.171 | |
test | 3.239 | |
testMartingaleProperty | 0.001 |
EuropeanOptionVegaPathwiseTest
test | 1.607 |
CalibrationTest
AnalyticFormulasTest
ConstantElasticityOfVarianceThetaTest
testEuropeanCallOption | 0.473 | |
testEuropeanPutOption | 0.403 |
MonteCarloIntegratorTest
testCos | 0.08 | |
testCubic | 0.027 |
MultiAssetBlackScholesModelTest
testModelWithFactorLoadings | 6.011 | |
testModelWithCloneModifiedVolatility | 0.448 | |
testModelCloneWithModifiedSeed | 0.19 | |
testModelWithVolatilityAndCorrelation | 5.78 |
HestonModelDescriptorTest
test | 1.996 |
TimeDiscretizationTest
Black76ModelTest
Test_black76_impliedVolatility | 0.012 | |
Test_black76_formula | 0 |
SABRVolatilityCubeTest
a_cubeATM | 0.014 | |
b_strikeSlices | 0.009 | |
c_testAccessPerformance | 0.04 | |
d_testAccessPerformanceOnNodes | 0.008 |
HullWhiteModelCalibrationTest
testATMSwaptionCalibration | 0.559 |
BlackScholesThetaTest
testEuropeanCallOption | 0.138 | |
testEuropeanPutOption | 0.076 |
SABRShiftedSmileCalibrationTest
testCalibration | 3.547 | |
testSingleSmile | 0.018 |
TestCurvesFromLIBORModel
testStochasticCurves | 0.428 |
LIBORMarketModelValuationTest
VarianceGammaTest
testCharacteristicFunction | 1.081 |
Failure Details
[Summary] [Package List] [Test Cases]