americanoption.cpp
amortizingbond.cpp
array.cpp
asianoptions.cpp
assetswap.cpp
autocovariances.cpp
barrieroption.cpp
basketoption.cpp
batesmodel.cpp
bermudanswaption.cpp
binaryoption.cpp
blackdeltacalculator.cpp
blackformula.cpp
bonds.cpp
brownianbridge.cpp
businessdayconventions.cpp
calendars.cpp
capfloor.cpp
capflooredcoupon.cpp
cashflows.cpp
catbonds.cpp
cdo.cpp
cdsoption.cpp
chooseroption.cpp
cliquetoption.cpp
cms.cpp
commodityunitofmeasure.cpp
compoundoption.cpp
convertiblebonds.cpp
covariance.cpp
creditdefaultswap.cpp
creditriskplus.cpp
curvestates.cpp
dates.cpp
daycounters.cpp
defaultprobabilitycurves.cpp
digitalcoupon.cpp
digitaloption.cpp
distributions.cpp
dividendoption.cpp
doublebarrieroption.cpp
doublebinaryoption.cpp
europeanoption.cpp
everestoption.cpp
exchangerate.cpp
extendedtrees.cpp
extensibleoptions.cpp
functions.cpp
fastfouriertransform.cpp
fdheston.cpp
fdmlinearop.cpp
forwardoption.cpp
garch.cpp
gaussianquadratures.cpp
gjrgarchmodel.cpp
gsr.cpp
hestonmodel.cpp
hestonslvmodel.cpp
himalayaoption.cpp
hybridhestonhullwhiteprocess.cpp
inflation.cpp
inflationcapfloor.cpp
inflationcapflooredcoupon.cpp
inflationcpibond.cpp
inflationcpicapfloor.cpp
inflationcpiswap.cpp
inflationvolatility.cpp
instruments.cpp
integrals.cpp
interestrates.cpp
interpolations.cpp
jumpdiffusion.cpp
libormarketmodel.cpp
libormarketmodelprocess.cpp
linearleastsquaresregression.cpp
lookbackoptions.cpp
lowdiscrepancysequences.cpp
margrabeoption.cpp
marketmodel.cpp
marketmodel_cms.cpp
marketmodel_smm.cpp
marketmodel_smmcapletalphacalibration.cpp
marketmodel_smmcapletcalibration.cpp
marketmodel_smmcaplethomocalibration.cpp
markovfunctional.cpp
matrices.cpp
mclongstaffschwartzengine.cpp
mersennetwister.cpp
money.cpp
noarbsabr.cpp
nthtodefault.cpp
numericaldifferentiation.cpp
observable.cpp
ode.cpp
operators.cpp
optimizers.cpp
optionletstripper.cpp
overnightindexedswap.cpp
pagodaoption.cpp
partialtimebarrieroption.cpp
pathgenerator.cpp
period.cpp
piecewiseyieldcurve.cpp
piecewisezerospreadedtermstructure.cpp
quantooption.cpp
quotes.cpp
rangeaccrual.cpp
riskneutraldensitycalculator.cpp
riskstats.cpp
rngtraits.cpp
rounding.cpp
sampledcurve.cpp
schedule.cpp
shortratemodels.cpp
solvers.cpp
spreadoption.cpp
stats.cpp
swap.cpp
swapforwardmappings.cpp
swaption.cpp
swaptionvolatilitycube.cpp
swaptionvolatilitymatrix.cpp
swingoption.cpp
termstructures.cpp
timeseries.cpp
tqreigendecomposition.cpp
tracing.cpp
transformedgrid.cpp
twoassetbarrieroption.cpp
twoassetcorrelationoption.cpp
utilities.cpp
variancegamma.cpp
varianceoption.cpp
varianceswaps.cpp
volatilitymodels.cpp
vpp.cpp
zabr.cpp
quantlibtestsuite.cpp
testsuite.vcxproj -> C:\tmp\ql18_vc2015_mk2\QuantLib-1.8\test-suite\bin\QuantLib-test-suite-vc140-x64-mt.exe
testsuite.vcxproj -> bin\QuantLib-test-suite-vc140-x64-mt.pdb (Full PDB)
=========================================
Testing QuantLib-vc140-x64-mt.lib
QL_NEGATIVE_RATES defined
QL_EXTRA_SAFETY_CHECKS undefined
QL_USE_INDEXED_COUPON undefined
evaluation date is September 16th, 2015,
reference date events are excluded,
today's cashflows are excluded,
today's historic fixings are not enforced
=========================================
Running 646 test cases...
Platform: Win32
Compiler: Microsoft Visual C++ version 14.0
STL : Dinkumware standard library version 650
Boost : 1.61.0
Testing Barone-Adesi and Whaley approximation for American options...
Testing Bjerksund and Stensland approximation for American options...
Testing Ju approximation for American options...
Testing finite-difference engine for American options...
Testing finite-differences American option greeks...
Testing finite-differences shout option greeks...
Testing array construction...
Testing array functions...
Testing analytic continuous geometric average-price Asians...
Testing analytic continuous geometric average-price Asian greeks...
Testing analytic discrete geometric average-price Asians...
Testing analytic discrete geometric average-strike Asians...
Testing Monte Carlo discrete geometric average-price Asians...
Testing Monte Carlo discrete arithmetic average-price Asians...
Testing Monte Carlo discrete arithmetic average-strike Asians...
Testing discrete-averaging geometric Asian greeks...
Testing use of past fixings in Asian options...
Testing consistency between fair price and fair spread...
Testing implied bond value against asset-swap fair price with null spread...
Testing relationship between market asset swap and par asset swap...
Testing clean and dirty price with null Z-spread against theoretical prices...
Testing implied generic-bond value against asset-swap fair price with null spread...
Testing market asset swap against par asset swap with generic bond...
Testing clean and dirty price with null Z-spread against theoretical prices...
Testing clean and dirty prices for specialized bond against equivalent generic bond...
Testing asset-swap prices and spreads for specialized bond against equivalent generic bond...
Testing convolutions...
Testing auto-covariances...
Testing auto-correlations...
Testing barrier options against Haug's values...
Testing barrier options against Babsiri's values...
Testing barrier options against Beaglehole's values...
Testing local volatility and Heston FD engines for barrier options...
Testing two-asset European basket options...
Testing three-asset basket options against Barraquand's values...
Testing three-asset American basket options against Tavella's values...
Testing basket American options against 1-D case from 0 to 4...
Testing basket American options against 1-D case from 5 to 10...
Testing basket American options against 1-D case from 11 to 16...
Testing basket American options against 1-D case from 17 to 22...
Testing basket American options against 1-D case from 23 to 28...
Testing antithetic engine using odd sample number...
Testing analytic Bates engine against Black formula...
Testing analytic Bates engine against Merton-76 engine...
Testing analytic Bates engine against Monte-Carlo engine...
Testing Bates model calibration using DAX volatility data...
Testing Bermudan swaption against cached values...
Testing cash-or-nothing barrier options against Haug's values...
Testing asset-or-nothing barrier options against Haug's values...
Testing Bachelier implied vol...
Testing Chambers-Nawalkha implied vol approximation...
Testing consistency of bond price/yield calculation...
Testing consistency of bond price/ATM rate calculation...
Testing consistency of bond price/z-spread calculation...
Testing theoretical bond price/yield calculation...
Testing bond price/yield calculation against cached values...
Testing zero-coupon bond prices against cached values...
Testing fixed-coupon bond prices against cached values...
Testing floating-rate bond prices against cached values...
Testing Brazilian public bond prices against Andima cached values...
Testing ex-coupon UK Gilt price against market values...
Testing ex-coupon Australian bond price against market values...
Testing South African R2048 bond price using Schedule constructor with Date vector...
Testing Brownian-bridge variates...
Testing Brownian-bridge path generation...
Testing business day conventions...
Testing Brazil holiday list...
Testing Russia holiday list...
Testing Milan Stock Exchange holiday list...
Testing UK settlement holiday list...
Testing London Stock Exchange holiday list...
Testing London Metals Exchange holiday list...
Testing Frankfurt Stock Exchange holiday list...
Testing Xetra holiday list...
Testing Eurex holiday list...
Testing TARGET holiday list...
Testing US settlement holiday list...
Testing US government bond market holiday list...
Testing New York Stock Exchange holiday list...
Testing South-Korean settlement holiday list...
Testing Korea Stock Exchange holiday list...
Testing calendar modification...
Testing joint calendars...
Testing bespoke calendars...
Testing end-of-month calculation...
Testing calculation of business days between dates...
Testing cap/floor dependency on strike...
Testing consistency between cap, floor and collar...
Testing cap/floor parity...
Testing cap/floor vega...
Testing cap/floor ATM rate...
Testing implied term volatility for cap and floor...
Testing Black cap/floor price against cached values...
Testing degenerate collared coupon...
Testing collared coupon against its decomposition...
Testing cash-flow settings...
Testing dynamic cast of coupon in Black pricer...
Testing default evaluation date in cashflows methods...
Testing ibor leg construction with null fixing days...
Testing Cliquet option values...
Testing Cliquet option greeks...
Testing performance option greeks...
Testing Monte Carlo performance engine against analytic results...
Testing Hagan-pricer flat-vol equivalence for coupons...
Testing Hagan-pricer flat-vol equivalence for swaps...
Testing put-call parity for capped-floored CMS coupons...
Testing covariance and correlation calculations...
Testing positive semi-definiteness salvaging algorithms...
Testing matrix rank reduction salvaging algorithms...
Testing credit-default swap against cached values...
Testing credit-default swap against cached market values...
Testing implied hazard-rate for credit-default swaps...
Testing fair-spread calculation for credit-default swaps...
Testing fair-upfront calculation for credit-default swaps...
Testing constant-maturity-swap-market-model curve state...
Testing dates...
Testing ECB dates...
Testing IMM dates...
Testing ASX dates...
Testing ISO dates...
Testing parsing of dates...
Testing actual/actual day counters...
Testing simple day counter...
Testing 1/1 day counter...
Testing business/252 day counter...
Testing thirty/360 day counter (Bond Basis)...
Testing thirty/360 day counter (Eurobond Basis)...
Testing default-probability structure...
Testing flat hazard rate...
Testing piecewise-flat hazard-rate consistency...
Testing piecewise-flat default-density consistency...
Testing piecewise-linear default-density consistency...
Testing log-linear survival-probability consistency...
Testing single-instrument curve bootstrap...
Testing bootstrap on upfront quotes...
Testing European asset-or-nothing digital coupon...
Testing European deep in-the-money asset-or-nothing digital coupon...
Testing European deep out-the-money asset-or-nothing digital coupon...
Testing European cash-or-nothing digital coupon...
Testing European deep in-the-money cash-or-nothing digital coupon...
Testing European deep out-the-money cash-or-nothing digital coupon...
Testing call/put parity for European digital coupon...
Testing replication type for European digital coupon...
Testing European cash-or-nothing digital option...
Testing European asset-or-nothing digital option...
Testing European gap digital option...
Testing American cash-(at-hit)-or-nothing digital option...
Testing American cash-(at-hit)-or-nothing digital option greeks...
Testing American asset-(at-hit)-or-nothing digital option...
Testing American cash-(at-expiry)-or-nothing digital option...
Testing American asset-(at-expiry)-or-nothing digital option...
Testing Monte Carlo cash-(at-hit)-or-nothing American engine...
Testing normal distributions...
Testing bivariate cumulative normal distribution...
Testing Poisson distribution...
Testing cumulative Poisson distribution...
Testing inverse cumulative Poisson distribution...
Testing bivariate cumulative Student t distribution...
Testing bivariate cumulative Student t distribution for large N...
Testing dividend European option values with no dividends...
Testing dividend European option with a dividend on today's date...
Testing dividend European option greeks...
Testing finite-difference dividend European option values...
Testing finite-differences dividend European option greeks...
Testing finite-differences dividend American option greeks...
Testing degenerate finite-differences dividend European option...
Testing degenerate finite-differences dividend American option...
Testing European option values...
Testing European option greek values...
Testing analytic European option greeks...
Testing European option implied volatility...
Testing self-containment of implied volatility calculation...
Testing JR binomial European engines against analytic results...
Testing CRR binomial European engines against analytic results...
Testing EQP binomial European engines against analytic results...
Testing TGEO binomial European engines against analytic results...
Testing TIAN binomial European engines against analytic results...
Testing LR binomial European engines against analytic results...
Testing Joshi binomial European engines against analytic results...
Testing finite-difference European engines against analytic results...
Testing integral engines against analytic results...
Testing Monte Carlo European engines against analytic results...
Testing Quasi Monte Carlo European engines against analytic results...
Testing European price curves...
Testing finite-differences with local volatility...
Testing direct exchange rates...
Testing derived exchange rates...
Testing lookup of direct exchange rates...
Testing lookup of triangulated exchange rates...
Testing lookup of derived exchange rates...
Testing complex direct FFT...
Testing convolution via inverse FFT...
Testing FDM with barrier option for Heston model vs Black-Scholes model...
Testing FDM with barrier option in Heston model...
Testing FDM with American option in Heston model...
Testing FDM Heston for Ikonen and Toivanen tests...
Testing FDM Heston with Black Scholes model...
Testing FDM with European option with dividends in Heston model...
Testing FDM Heston convergence...
Testing indexing of a linear operator...
Testing uniform grid mesher...
Testing application of first-derivatives map...
Testing application of second-derivatives map...
Testing finite differences coefficients...
Testing application of second-order mixed-derivatives map...
Testing triple-band map solution...
Testing FDM with barrier option in Heston model...
Testing FDM with American option in Heston model...
Testing FDM with express certificate in Heston model...
Testing FDM with Heston Hull-White model...
Testing bi-conjugated gradient stabilized algorithm with Heston operator...
Testing Crank-Nicolson with initial implicit damping steps for a digital option...
Testing SparseMatrixReference type...
Testing assignment to zero in sparse matrix...
Testing integrals over meshers functions...
Testing forward option values...
Testing forward option greeks...
Testing forward performance option values...
Testing forward performance option greeks...
Testing forward option greeks initialization...
Testing factorial numbers...
Testing Gamma function...
Testing Gamma values...
Testing modified Bessel function of first and second kind...
Testing weighted modified Bessel functions...
Testing GARCH model calibration...
Testing GARCH model calculation...
Testing Gauss-Jacobi integration...
Testing Gauss-Laguerre integration...
Testing Gauss-Hermite integration...
Testing Gauss hyperbolic integration...
Testing tabulated Gauss-Laguerre integration...
Testing Monte Carlo GJR-GARCH engine against analytic GJR-GARCH engine...
Testing GJR-GARCH model calibration using DAX volatility data...
Testing GSR process...
Testing GSR model...
Testing Heston model calibration using a flat volatility surface...
Testing Heston model calibration using DAX volatility data...
Testing analytic Heston engine against Black formula...
Testing analytic Heston engine against cached values...
Testing MC and FD Heston engines for the Kahl-Jaeckel example...
Testing different numerical Heston integration algorithms...
Testing FD barrier Heston engine against cached values...
Testing FD vanilla Heston engine against cached values...
Testing FD vanilla Heston engine for discrete dividends...
Testing FD vanilla Heston engine for american exercise...
Testing multiple-strikes FD Heston engine...
Testing Monte Carlo Heston engine against cached values...
Testing analytic piecewise time dependent Heston prices...
Testing time-dependent Heston model calibration...
Testing Alan Lewis reference prices...
Testing expansion on Alan Lewis reference prices...
Testing expansion on Forde reference prices...
Testing European option pricing for a BSM process with one-factor Hull-White model...
Comparing European option pricing for a BSM process with one-factor Hull-White model...
Testing Monte-Carlo zero bond pricing...
Testing Monte-Carlo vanilla option pricing...
Testing Monte-Carlo Heston option pricing...
Testing analytic Heston Hull-White option pricing...
Testing the pricing of a callable equity product...
Testing the discretization error of the Heston Hull-White process...
Testing the FDM Heston Hull-White engine...
Testing the Heston Hull-White calibration...
Testing convergence speed of Heston-Hull-White engine...
Testing spatial convergence speed of Heston engine...
Testing inflation period...
Testing zero inflation indices...
Testing zero inflation term structure...
Testing that zero inflation indices forecast future fixings...
Testing year-on-year inflation indices...
Testing year-on-year inflation term structure...
Testing consistency between yoy inflation cap, floor and collar...
Testing yoy inflation cap/floor parity...
Testing Black yoy inflation cap/floor price against cached values...
Testing collared coupon against its decomposition...
Testing inflation capped/floored coupon against inflation capfloor instrument...
Testing observability of instruments...
Testing segment integration...
Testing trapezoid integration...
Testing mid-point trapezoid integration...
Testing Simpson integration...
Testing adaptive Gauss-Kronrod integration...
Testing non-adaptive Gauss-Kronrod integration...
Testing adaptive Gauss-Lobatto integration...
Testing two dimensional adaptive Gauss-Lobatto integration...
Testing Folin's integral formulae...
Testing discrete integral formulae...
Testing piecewise integral...
Testing interest-rate conversions...
Testing spline interpolation on generic values...
Testing symmetry of spline interpolation end-conditions...
Testing derivative end-conditions for spline interpolation...
Testing non-restrictive Hyman filter...
Testing spline interpolation on RPN15A data set...
Testing spline interpolation on a Gaussian data set...
Testing spline approximation on Gaussian data sets...
Testing N-dimensional cubic spline...
Testing use of interpolations as functors...
Testing backward-flat interpolation...
Testing forward-flat interpolation...
Testing Sabr interpolation...
Testing kernel 1D interpolation...
Testing kernel 2D interpolation...
Testing bicubic spline derivatives...
Testing that bicubic splines actually update...
Testing Richardson extrapolation...
Testing no-arbitrage Sabr interpolation...
Testing Sabr calibration single cases...
Testing Sabr and no-arbitrage Sabr transformation functions...
Testing Merton 76 jump-diffusion model for European options...
Testing jump-diffusion option greeks...
Testing linear least-squares regression...
Testing multi-dimensional linear least-squares regression...
Testing 1D simple linear least-squares regression...
Testing analytic continuous floating-strike lookback options...
Testing analytic continuous fixed-strike lookback options...
Testing analytic continuous partial floating-strike lookback options...
Testing analytic continuous fixed-strike lookback options...
Testing randomized lattice sequences (A) up to dimension 30...
Testing randomized lattice sequences (B) up to dimension 30...
Testing randomized lattice sequences (C) up to dimension 30...
Testing randomized lattice sequences (D) up to dimension 30...
Testing random-seed generator...
Testing 21200 primitive polynomials modulo two...
Testing Sobol sequences up to dimension 21200...
Testing Halton sequences...
Testing Faure sequences...
Testing Mersenne-twister discrepancy...
Testing plain Halton discrepancy...
Testing random-start Halton discrepancy...
Testing random-shift Halton discrepancy...
Testing random-start, random-shift Halton discrepancy...
Testing unit Sobol discrepancy...
Testing Jaeckel-Sobol discrepancy...
Testing Levitan-Sobol discrepancy...
Testing Levitan-Lemieux-Sobol discrepancy...
Testing Sobol sequence skipping...
Testing randomized low-discrepancy sequences up to dimension 21200...
Testing exact repricing of inverse floater in forward rate market model...
Pricing callable swap with Longstaff-Schwartz exercise strategy in a LIBOR market model...
Testing pathwise vegas in a lognormal forward rate market model...
Testing pathwise market vegas in a lognormal forward rate market model...
Testing caplet deltas in a lognormal forward rate market model using pathwise method...
Testing exact repricing of forwards and optionlets in a stochastic vol displaced diffusion forward rate market model...
Testing exact repricing of all multi-step products in a lognormal forward rate market model...
Testing exact repricing of one-step forwards and optionlets in a lognormal forward rate market model...
Testing exact repricing of one-step forwards and optionlets in a normal forward rate market model...
Pricing callable swap with naif exercise strategy in a LIBOR market model...
Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 4 and model type Exp. Corr. Flat Vol....
Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 8 and model type Exp. Corr. Flat Vol....
Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 9 and model type Exp. Corr. Flat Vol....
Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 4 and model type Exp. Corr. Abcd Vol....
Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 8 and model type Exp. Corr. Abcd Vol....
Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 9 and model type Exp. Corr. Abcd Vol....
Testing caplet greeks in a lognormal forward rate market model using partial proxy simulation...
Testing Abcd-volatility integration...
Testing different implementations of Abcd-volatility...
Testing Abcd-volatility fit...
Testing period-adaptation routines in LIBOR market model...
Testing drift calculation...
Testing isInSubset function...
Testing abcd degenerate cases...
Testing market models covariance...
Testing exact repricing of multi-step constant maturity swaps and swaptions in a lognormal constant maturity swap market model...
Testing exact repricing of multi-step coterminal swaps and swaptions in a lognormal coterminal swap rate market model...
Testing alpha caplet calibration in a lognormal coterminal swap market model...
Testing GHLS caplet calibration in a lognormal coterminal swap market model...
Testing max homogeneity caplet calibration in a lognormal coterminal swap market model...
Testing max homogeneity periodic caplet calibration in a lognormal coterminal swap market model...
Testing sphere-cylinder optimization...
Testing Markov functional state process...
Testing Kahale smile section...
Testing Markov functional calibration to one instrument set...
Testing Markov functional vanilla engines...
Testing Markov functional calibration to two instrument sets...
Testing Markov functional Bermudan swaption engine...
Testing orthogonal projections...
Testing eigenvalues and eigenvectors calculation...
Testing matricial square root...
Testing singular value decomposition...
Testing Higham matricial square root...
Testing QR decomposition...
Testing QR solve...
Testing LU inverse calculation...
Testing LU determinant calculation...
Testing Cholesky Decomposition...
Testing Monte-Carlo pricing of American options...
Testing Monte-Carlo pricing of American max options...
Testing Mersenne twister...
Testing money arithmetic without conversions...
Testing money arithmetic with conversion to base currency...
Testing money arithmetic with automated conversion...
Testing observable settings...
Testing adaptive Runge Kutta...
Testing matrix exponential based on ode...
Testing matrix exponential of a zero matrix based on ode...
Testing tridiagonal operator...
Testing differential operators...
Testing consistency of BSM operators...
Testing optimizers...
Testing nested optimizations...
Testing differential evolution...
Testing forward/forward vol stripping from flat term vol surface using OptionletStripper1 class...
Testing forward/forward vol stripping from non-flat term vol surface using OptionletStripper1 class...
Testing forward/forward vol stripping from flat term vol surface using OptionletStripper2 class...
Testing forward/forward vol stripping from non-flat term vol surface using OptionletStripper2 class...
Testing switch strike level and recalibration of level in case of curve relinking...
Testing forward/forward vol stripping from non-flat normal vol term vol surface for normal vol setup using OptionletStripper1 class...
Testing forward/forward vol stripping from non-flat normal vol term vol surface for normal vol setup using OptionletStripper1 class...
Testing Eonia-swap calculation of fair fixed rate...
Testing Eonia-swap calculation of fair floating spread...
Testing Eonia-swap calculation against cached value...
Testing Eonia-swap curve building...
Testing 1-D path generation against cached values...
Testing n-D path generation against cached values...
Testing period algebra on years/months...
Testing period algebra on weeks/days...
Testing consistency of piecewise-log-linear discount curve...
Testing consistency of piecewise-linear discount curve...
Testing consistency of piecewise-linear zero-yield curve...
Testing consistency of piecewise-cubic zero-yield curve...
Testing consistency of piecewise-linear forward-rate curve...
Testing consistency of piecewise-flat forward-rate curve...
Testing consistency of convex monotone forward-rate curve...
Testing consistency of local-bootstrap algorithm...
Testing observability of piecewise yield curve...
Testing use of today's LIBOR fixings in swap curve...
Testing bootstrap over JPY LIBOR swaps...
Testing copying of discount curve...
Testing copying of forward-rate curve...
Testing copying of zero-rate curve...
Testing flat interpolation before the first spreaded date...
Testing flat interpolation after the last spreaded date...
Testing linear interpolation with more than two spreaded dates...
Testing linear interpolation between two dates...
Testing backward flat interpolation between two dates...
Testing forward flat interpolation between two dates...
Testing default interpolation between two dates...
Testing factory constructor with additional parameters...
Testing term structure max date...
Testing quote update...
Testing quanto option values...
Testing quanto option greeks...
Testing quanto-forward option values...
Testing quanto-forward option greeks...
Testing quanto-forward-performance option values...
Testing quanto-barrier option values...
Testing observability of quotes...
Testing observability of quote handles...
Testing derived quotes...
Testing composite quotes...
Testing forward-value and implied-standard-deviation quotes...
Testing risk measures...
Testing Gaussian pseudo-random number generation...
Testing Poisson pseudo-random number generation...
Testing custom Poisson pseudo-random number generation...
Testing closest decimal rounding...
Testing upward decimal rounding...
Testing downward decimal rounding...
Testing floor decimal rounding...
Testing ceiling decimal rounding...
Testing sampled curve construction...
Testing schedule with daily frequency...
Testing end date for schedule with end-of-month adjustment...
Testing that no dates are past the end date with EOM adjustment...
Testing that the last date is not adjusted for EOM when termination date convention is unadjusted...
Testing that the first date is not adjusted for EOM going backward when termination date convention is unadjusted...
Testing that the first date is not duplicated due to EOM convention when going backwards...
Testing the constructor taking a vector of dates and possibly additional meta information...
Testing that a four-weeks tenor works...
Testing Hull-White calibration against cached values using swaptions with start delay...
Testing Hull-White calibration with fixed reversion against cached values...
Testing Hull-White calibration against cached values using swaptions without start delay...
Testing Hull-White swap pricing against known values...
Testing Hull-White futures convexity bias...
Testing Brent solver...
Testing bisection solver...
Testing false-position solver...
Testing Newton solver...
Testing Newton-safe solver...
Testing finite-difference Newton-safe solver...
Testing Ridder solver...
Testing secant solver...
Testing statistics...
Testing sequence statistics...
Testing convergence statistics...
Testing incremental statistics...
Testing vanilla-swap calculation of fair fixed rate...
Testing vanilla-swap calculation of fair floating spread...
Testing vanilla-swap dependency on fixed rate...
Testing vanilla-swap dependency on floating spread...
Testing in-arrears swap calculation...
Testing vanilla-swap calculation against cached value...
Testing implied swaption vol in LMM using HW approximation...
Testing forward-rate coinitial-swap Jacobian...
Testing forward-rate constant-maturity swap Jacobian...
Testing cash settled swaptions modified annuity...
Testing swaption dependency on strike...
Testing swaption dependency on spread...
Testing swaption treatment of spread...
Testing swaption value against cached value...
Testing implied volatility for swaptions...
Testing swaption vega...
Testing swaption volatility cube (atm vols)...
Testing swaption volatility cube (smile)...
Testing swaption volatility cube (sabr interpolation)...
Testing spreaded swaption volatility cube...
Testing volatility cube observability...
Testing swaption volatility matrix...
Testing swaption volatility matrix observability...
Testing term structure against evaluation date change...
Testing consistency of implied term structure...
Testing observability of implied term structure...
Testing consistency of forward-spreaded term structure...
Testing observability of forward-spreaded term structure...
Testing consistency of zero-spreaded term structure...
Testing observability of zero-spreaded term structure...
Testing that a zero-spreaded curve can be created with a null underlying curve...
Testing that an underlying curve can be relinked to a null underlying curve...
Testing time series construction...
Testing time series interval price...
Testing time series iterators...
Testing TQR eigenvalue decomposition...
Testing TQR zero-off-diagonal eigenvalues...
Testing TQR eigenvector decomposition...
Testing tracing...
Testing transformed grid construction...
Testing variance swap with replicating cost engine...
Testing variance swap with Monte Carlo engine...
Testing volatility model construction...
Testing amortizing fixed rate bond...
Testing Levy engine for Asians options...
Testing Vecer engine for Asian options...
Testing perturbative engine for barrier options...
Testing barrier FX options against Vanna/Volga values...
Testing double-barrier FX options against Vanna/Volga values...
Testing delta calculator values...
Testing premium-adjusted delta price consistency...
Testing put-call parity for deltas...
Testing delta-neutral ATM quotations...
Testing that catastrophe events are split correctly for periods of whole years...
Testing that catastrophe events are split correctly for irregular periods...
Testing that catastrophe events are split correctly when there are no simulated events...
Testing that beta risk gives correct terminal distribution...
Testing floating-rate cat bond against risk-free floating-rate bond...
Testing floating-rate cat bond in a doom scenario (certain default)...
Testing floating-rate cat bond in a doom once in 10 years scenario...
Testing floating-rate cat bond in a doom once in 10 years scenario with proportional notional reduction...
Testing floating-rate cat bond in a generated scenario with proportional notional reduction...
Testing CDO premiums against Hull-White values for data set 0...
Testing CDO premiums against Hull-White values for data set 1...
Testing CDO premiums against Hull-White values for data set 2...
Testing CDO premiums against Hull-White values for data set 3...
Testing CDO premiums against Hull-White values for data set 4...
Testing CDS-option value against cached values...
Testing analytic simple chooser option...
Testing analytic complex chooser option...
Testing direct commodity unit of measure conversions...
Testing compound-option values and greeks...
Testing compound-option put-call parity...
Testing out-of-the-money convertible bonds against vanilla bonds...
Testing zero-coupon convertible bonds against vanilla option...
Testing fixed-coupon convertible bond in known regression case...
Testing extended credit risk plus model against reference values...
Testing double barrier european options against Haug's values...
Testing cash-or-nothing double barrier options against Haug's values...
Testing FFT European engines against analytic results...
Testing Everest option against cached values...
Testing time-dependent JR binomial European engines against analytic results...
Testing time-dependent CRR binomial European engines against analytic results...
Testing time-dependent EQP binomial European engines against analytic results...
Testing time-dependent TGEO binomial European engines against analytic results...
Testing time-dependent TIAN binomial European engines against analytic results...
Testing time-dependent LR binomial European engines against analytic results...
Testing time-dependent Joshi binomial European engines against analytic results...
Testing analytic engine for holder-extensible option...
Testing analytic engine for writer-extensible option...
Testing analytic PDF Heston engine...
Testing Fokker-Planck forward equation for BS process...
Testing zero-flow BC for the square root process...
Testing zero-flow BC for transformed Fokker-Planck forward equation...
Testing Fokker-Planck forward equation for the square root process with stationary density...
Testing Fokker-Planck forward equation for the square root log process with stationary density...
Testing Fokker-Planck forward equation for the square root process with Dirac start...
Testing Fokker-Planck forward equation for the Heston process...
Testing Fokker-Planck forward equation for the Heston process Log Transformation with leverage LV limiting case...
Testing Fokker-Planck forward equation for BS Local Vol process...
Testing calibration via vanilla options...
Testing Monte-Carlo vs FDM Pricing for Heston SLV models...
Testing Monte-Carlo Calibration...
Testing double no touch pricing with SLV and mixing...
Testing Himalaya option against cached values...
Testing conversion from YoY cap-floor surface to YoY inflation term structure...
Testing conversion from YoY price surface to YoY volatility surface...
Testing European one-asset-for-another option...
Testing American one-asset-for-another option...
Testing analytic European exchange option greeks...
Testing no-arbitrage Sabr absorption matrix...
Testing consistency of noarb-sabr with Hagan et al (2002)
Testing nth-to-default against Hull-White values with Gaussian copula...
Testing nth-to-default against Hull-White values with Gaussian and Student copula...
Testing numerical differentiation using the central scheme...
Testing numerical differentiation using the backward scheme...
Testing numerical differentiation using the Forward scheme...
Testing numerical differentiation of first order using an irregular scheme...
Testing numerical differentiation of second order using an irregular scheme...
Testing numerical differentiation of sin function...
Testing coefficients from numerical differentiation by comparison with results from Vandermonde matrix inversion...
Testing pagoda option against cached values...
Testing analytic engine for partial-time barrier option...
Testing quanto-double-barrier option values...
Testing density against option prices...
Testing Black-Scholes-Merton and Heston densities...
Testing Fokker-Planck forward equation for local volatility process to calculate risk neutral densities...
Testing probability density for a square root process...
Testing Kirk approximation for spread options...
Testing extended Ornstein-Uhlenbeck process...
Testing Black-Scholes vanilla swing option pricing...
Testing finite difference mesher for the Kluge model...
Testing finite difference pricer for the Kluge model...
Testing simple swing option pricing for Kluge model...
Testing two-asset barrier options against Haug's values...
Testing analytic engine for two-asset correlation option...
Testing variance-gamma model for European options...
Testing variance option with integral Heston engine...
Testing Geman-Roncoroni process...
Testing simple-storage option based on ext. OU model...
Testing simple Kluge ext-Ornstein-Uhlenbeck spread option...
Testing VPP step condition...
Testing VPP pricing using perfect foresight or FDM...
Testing KlugeExtOU matrix decomposition...
Testing simple covariance models...
Testing caplet pricing...
Testing forward swap and swaption pricing...
Testing calibration of a Libor forward model...
Testing caplet LMM process initialisation...
Testing caplet LMM lambda bootstrapping...
Testing caplet LMM Monte-Carlo caplet pricing...
Tests completed in 47 m 25 s
Test module "Master Test Suite" has passed with:
646 test cases out of 646 passed
1002058 assertions out of 1002058 passed