Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
223 0 0 0 100% 662.658

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% 0.299
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 16.964
net.finmath.montecarlo.interestrate 36 0 0 0 100% 192.922
net.finmath.time.daycount 3 0 0 0 100% 0
net.finmath.fouriermethod 4 0 0 0 100% 0.046
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.021
net.finmath.marketdata.products 3 0 0 0 100% 0.008
net.finmath.montecarlo.interestrate.products 9 0 0 0 100% 19.628
net.finmath.montecarlo.interestrate.products.indices 60 0 0 0 100% 132.814
net.finmath.modelling.descriptor 1 0 0 0 100% 1.644
net.finmath.montecarlo.assetderivativevaluation 23 0 0 0 100% 13.256
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 1.731
net.finmath.montecarlo.assetderivativevaluation.products 1 0 0 0 100% 1.88
net.finmath.marketdata.model.volatilities 8 0 0 0 100% 260.694
net.finmath.time 12 0 0 0 100% 0.002
net.finmath.montecarlo 9 0 0 0 100% 16.742
net.finmath.analytic.model.curves.test 7 0 0 0 100% 0.238
net.finmath.integration 3 0 0 0 100% 0.021
net.finmath.interpolation 1 0 0 0 100% 0.036
net.finmath.functions 7 0 0 0 100% 3.498
net.finmath.convexityadjustment 1 0 0 0 100% 0.147
net.finmath.optimizer 10 0 0 0 100% 0.067

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% 0.056
CalibrationMultiCurveTest 1 0 0 0 100% 0.144
CurveTest 1 0 0 0 100% 0.004
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.095
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% 16.964

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 1.395
LIBORMarketModelCalibrationTest 2 0 0 0 100% 118.889
HullWhiteModelTest 9 0 0 0 100% 10.512
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 49.083
LIBORMarketModelValuationTest 10 0 0 0 100% 13.043

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

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.014
HestonModelCallOptionTest 2 0 0 0 100% 0.032

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% 0.008

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 1.958
SwapLegTest 5 0 0 0 100% 10.037
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 7.633

net.finmath.montecarlo.interestrate.products.indices

Class Tests Errors Failures Skipped Success Rate Time
LIBORIndexTest 60 0 0 0 100% 132.814

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
HestonModelDescriptorTest 1 0 0 0 100% 1.644

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.492
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0
BachelierModelMonteCarloValuationTest 6 0 0 0 100% 2.432
BlackScholesMonteCarloValuationTest 6 0 0 0 100% 2.55
MertonModelTest 1 0 0 0 100% 2.931
HestonModelTest 1 0 0 0 100% 1.397
DisplacedLognomalModelTest 1 0 0 0 100% 1.454

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 1.731

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 1.88

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.005
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 260.558
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.131

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.002
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% 11.697
GammaProcessTest 1 0 0 0 100% 5.045
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% 0.032
TestCurvesFromLIBORModel 1 0 0 0 100% 0.206

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0
SimpsonRealIntegratorTest 2 0 0 0 100% 0.021

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.036

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
JarqueBeraTestTest 1 0 0 0 100% 0
AnalyticFormulasTest 6 0 0 0 100% 3.498

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.147

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
LevenbergMarquardtTest 6 0 0 0 100% 0.009
OptimizerFactoryTest 2 0 0 0 100% 0.045
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.013

Test Cases

[Summary] [Package List] [Test Cases]

CapValuationTest

testCap 1.395

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.334
testModelRandomVariable 0.008
testEuropeanCallVega 0.066
testEuropeanCallDelta 0.059
testEuropeanCall 0.013
testModelProperties 0.012

DayCountConvention_30E_360Test

test 0

JarqueBeraTestTest

test 0

BrownianMotionTest

testBrownianIncrementSquaredDrift 2.624
testScalarValuedBrownianMotionTerminalDistribution 4.733
testScalarValuedBrownianMotionWithJarqueBeraTest 4.34

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.017
testSingleCurveModel 0.941

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.014
testForwardCurveFromDiscountCurve[LINEAR] 0
testCurvesAndCalibration[CUBIC_SPLINE] 0.008
testForwardCurveFromDiscountCurve[CUBIC_SPLINE] 0
testCurvesAndCalibration[AKIMA] 0.009
testForwardCurveFromDiscountCurve[AKIMA] 0
testCurvesAndCalibration[AKIMA_CONTINUOUS] 0.006
testForwardCurveFromDiscountCurve[AKIMA_CONTINUOUS] 0
testCurvesAndCalibration[HARMONIC_SPLINE] 0.012
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.005
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0

GammaProcessTest

testScaling 5.045

LIBORMarketModelCalibrationTest

testSwaptionSmileCalibration 42.926
testATMSwaptionCalibration 75.963

SwapLegTest

testFloatLeg 1.722
testCMSSpreadLeg 2.414
testFixLeg 1.862
testLIBORInArrearsFloatLeg 1.891
testCMSFloatLeg 2.147

TrapezoidalRealIntegratorTest

test 0

ExposureTest

testExpectedPositiveExposure 9.141
testAgainstSwaption 7.823

BusinessdayCalendarTest

testNycCalendar 0.015
testCreateDateFromDateAndOffsetCode 0.001
testCombinedCalendar 0.005
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 1.88

DepositTest

testRateValueConsistency 0.001
testEvaluationTime 0
testDepositValue 0

DayCountConventionTest

testDayCountConvention_30E_360 0
testDayCountConvention_ACT_360 0
testDayCountConvention_ACT_365 0
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.001
testDayCountConventionAdditivity_ACT_ACT_ISDA 0
testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_YEARFRAC 0.001

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.003
testBoothFunctionWithAnalyticDerivative 0.001
testRosenbrockFunctionWithList 0.002
testBoothFunction 0.001
testRosenbrockFunction 0.002
testSmallLinearSystem 0

SimpleCappedFlooredFloatingRateBondTest

test[SPOT] 3.09
test[TERMINAL] 4.543

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.038
testRosenbrockFunctionWithLevenbergMarquard 0.007

MonteCarloBlackScholesModelTest

testDirectValuation 0
testProductImplementation 0

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.272
testModelRandomVariable 0.008
testEuropeanCallVega 0.063
testEuropeanCallDelta 0.064
testEuropeanCall 0.011
testModelProperties 0.013

ScheduleGeneratorTest

testPeriodLength 0
testPeriodStartPeriodEnd 0
testScheduleGeneratorMetaData 0

BiLinearInterpolationTest

test 0.036

CapletVolatilitiesTest

testConversions 0.005

CalibrationMultiCurveTest

testMultiCurveCalibration 0.144

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0
testAssumingEndDateIsNotATerminationDate 0

CMSOptionTest

testCMSOption 0.147

BlackScholesCallOptionTest

test 0.005
testDigitalOption 0.009

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 1.731

CurveTest

testCurveFitting 0.004

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 2.211
testModelRandomVariable 0.012
testEuropeanCallVega 0.156
testEuropeanCallDelta 0.142
testEuropeanCall 0.015
testModelProperties 0.014

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.009
test 0.004

LIBORIndexTest

testSinglePeriods[NSS-1,000] 0.036
testMultiPeriodFloater[NSS-1,000] 0.039
testUnalignedPeriods[NSS-1,000] 0.039
testSinglePeriods[NSS-2,000] 0.068
testMultiPeriodFloater[NSS-2,000] 0.063
testUnalignedPeriods[NSS-2,000] 0.059
testSinglePeriods[NSS-4,000] 0.116
testMultiPeriodFloater[NSS-4,000] 0.133
testUnalignedPeriods[NSS-4,000] 0.118
testSinglePeriods[NSS-8,000] 0.255
testMultiPeriodFloater[NSS-8,000] 0.257
testUnalignedPeriods[NSS-8,000] 0.241
testSinglePeriods[NSS-10,000] 0.315
testMultiPeriodFloater[NSS-10,000] 0.351
testUnalignedPeriods[NSS-10,000] 0.298
testSinglePeriods[NSS-20,000] 0.654
testMultiPeriodFloater[NSS-20,000] 0.652
testUnalignedPeriods[NSS-20,000] 0.682
testSinglePeriods[NSS-40,000] 1.501
testMultiPeriodFloater[NSS-40,000] 1.504
testUnalignedPeriods[NSS-40,000] 1.444
testSinglePeriods[NSS-80,000] 3.572
testMultiPeriodFloater[NSS-80,000] 3.593
testUnalignedPeriods[NSS-80,000] 3.476
testSinglePeriods[NSS-100,000] 4.467
testMultiPeriodFloater[NSS-100,000] 4.176
testUnalignedPeriods[NSS-100,000] 4.068
testSinglePeriods[NSS-200,000] 10.719
testMultiPeriodFloater[NSS-200,000] 11.176
testUnalignedPeriods[NSS-200,000] 11.197
testSinglePeriods[DISCRETE-1,000] 0.078
testMultiPeriodFloater[DISCRETE-1,000] 0.031
testUnalignedPeriods[DISCRETE-1,000] 0.029
testSinglePeriods[DISCRETE-2,000] 0.057
testMultiPeriodFloater[DISCRETE-2,000] 0.064
testUnalignedPeriods[DISCRETE-2,000] 0.058
testSinglePeriods[DISCRETE-4,000] 0.121
testMultiPeriodFloater[DISCRETE-4,000] 0.122
testUnalignedPeriods[DISCRETE-4,000] 0.115
testSinglePeriods[DISCRETE-8,000] 0.249
testMultiPeriodFloater[DISCRETE-8,000] 0.269
testUnalignedPeriods[DISCRETE-8,000] 0.251
testSinglePeriods[DISCRETE-10,000] 0.346
testMultiPeriodFloater[DISCRETE-10,000] 0.322
testUnalignedPeriods[DISCRETE-10,000] 0.336
testSinglePeriods[DISCRETE-20,000] 0.77
testMultiPeriodFloater[DISCRETE-20,000] 0.769
testUnalignedPeriods[DISCRETE-20,000] 0.735
testSinglePeriods[DISCRETE-40,000] 1.815
testMultiPeriodFloater[DISCRETE-40,000] 1.814
testUnalignedPeriods[DISCRETE-40,000] 1.706
testSinglePeriods[DISCRETE-80,000] 3.976
testMultiPeriodFloater[DISCRETE-80,000] 3.852
testUnalignedPeriods[DISCRETE-80,000] 3.53
testSinglePeriods[DISCRETE-100,000] 4.464
testMultiPeriodFloater[DISCRETE-100,000] 4.293
testUnalignedPeriods[DISCRETE-100,000] 4.189
testSinglePeriods[DISCRETE-200,000] 10.462
testMultiPeriodFloater[DISCRETE-200,000] 11.07
testUnalignedPeriods[DISCRETE-200,000] 11.591

HullWhiteModelTest

testBermudanSwaption 4.659
testZeroCMSSwap 2.119
testBond 0.552
testSwap 0.857
testSwaption 0.624
testCaplet 0.458
testCapletSmile 0.404
testLIBORInArrearsFloatLeg 0.428
testPutOnMoneyMarketAccount 0.405

MertonModelTest

test 2.931

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration[{1}] 97.692
testVolatilityCalibration[{1}] 162.866

DiscountCurveNelsonSiegelSvenssonTest

test 0

SimpsonRealIntegratorTest

testCos 0.02
testCubic 0.001

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.076
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.054
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

HestonModelCallOptionTest

test[net.finmath.fouriermethod.products.EuropeanOption@42530531] 0.013
test[net.finmath.fouriermethod.products.DigitalOption@5a3bc7ed] 0.018

FloatingpointDateTest

test 0

RandomVariableTest

testRandomVariableArithmeticSqrtPow 0
testRandomVariableStandardDeviation 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableStochastic 0
testRandomVariableDeterministc 0

HestonModelTest

test 1.397

DisplacedLognomalModelTest

testProductImplementation 1.454

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.095

ForwardCurveNelsonSiegelSvenssonTest

test 0

LIBORMarketModelMultiCurveValuationTest

testBond[SPOT] 3.645
testSwap[SPOT] 3.57
testSwaptionSmile[SPOT] 3.404
testSwaption[SPOT] 3.273
testDigitalCaplet[SPOT] 3.32
testCaplet[SPOT] 3.275
testSwaptionCalibration[SPOT] 0.205
testBond[TERMINAL] 4.683
testSwap[TERMINAL] 4.811
testSwaptionSmile[TERMINAL] 4.672
testSwaption[TERMINAL] 4.862
testDigitalCaplet[TERMINAL] 4.686
testCaplet[TERMINAL] 4.607
testSwaptionCalibration[TERMINAL] 0.046

CalibrationTest

testCurvesAndCalibration[LINEAR] 0.018
testForwardCurveFromDiscountCurve[LINEAR] 0.001
testCurvesAndCalibration[HARMONIC_SPLINE] 0.006
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE] 0.001
testCurvesAndCalibration[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0.006
testForwardCurveFromDiscountCurve[HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING] 0

AnalyticFormulasTest

testSABRSkewApproximation 0
testBlackScholesPutCallParityATM 0
testBachelierOptionImpliedVolatility 0.868
testSABRCurvatureApproximation 0
testBachelierRiskNeutralProbabilities 0.001
testSABRCalibration 2.629

HestonModelDescriptorTest

test 1.608

TestCurvesFromLIBORModel

testStochasticCurves 0.206

LIBORMarketModelValuationTest

testFRA 1.429
testBond 1.411
testSwap 1.508
testSwaptionSmile 1.414
testSwaption 1.515
testDigitalCaplet 1.425
testLIBORInArrearsConvexity 1.448
testCaplet 1.412
testCapletSmile 1.422
testSwaptionCalibration 0.05