--- /srv/rebuilderd/tmp/rebuilderd4B8G6A/inputs/libquantlib0-dev_1.44-1_riscv64.deb +++ /srv/rebuilderd/tmp/rebuilderd4B8G6A/out/libquantlib0-dev_1.44-1_riscv64.deb ├── file list │ @@ -1,3 +1,3 @@ │ -rw-r--r-- 0 0 0 4 2026-10-13 12:52:13.000000 debian-binary │ -rw-r--r-- 0 0 0 976 2026-10-13 12:52:13.000000 control.tar.xz │ --rw-r--r-- 0 0 0 40986760 2026-10-13 12:52:13.000000 data.tar.xz │ +-rw-r--r-- 0 0 0 41010712 2026-10-13 12:52:13.000000 data.tar.xz ├── control.tar.xz │ ├── control.tar │ │ ├── ./control │ │ │ @@ -1,13 +1,13 @@ │ │ │ Package: libquantlib0-dev │ │ │ Source: quantlib │ │ │ Version: 1.44-1 │ │ │ Architecture: riscv64 │ │ │ Maintainer: Dirk Eddelbuettel │ │ │ -Installed-Size: 335611 │ │ │ +Installed-Size: 335634 │ │ │ Depends: libc6 (>= 2.38), libgcc-s1 (>= 4.5), libgomp1 (>= 4.9), libquantlib0v5 (= 1.44-1), libstdc++6 (>= 14), libc6-dev, libboost-test-dev │ │ │ Replaces: libquantlib-0.3.9, libquantlib0 │ │ │ Section: libdevel │ │ │ Priority: optional │ │ │ Homepage: https://www.quantlib.org │ │ │ Description: Quantitative Finance Library -- development package │ │ │ The QuantLib project aims to provide a comprehensive software framework ├── data.tar.xz │ ├── data.tar │ │ ├── file list │ │ │ @@ -1729,16 +1729,16 @@ │ │ │ -rw-r--r-- 0 root (0) root (0) 2336 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/perpetualfutures.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 8039 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/piecewiseblackvariancesurface.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 18648 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/piecewiseyieldcurve.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 2443 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/piecewisezerospreadedtermstructure.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 1511 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/preconditions.cpp │ │ │ -rw-r--r-- 0 root (0) root (0) 1704 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/preconditions.hpp │ │ │ -rw-r--r-- 0 root (0) root (0) 1920 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/prices.cpp.gz │ │ │ --rw-r--r-- 0 root (0) root (0) 19007 2026-10-13 12:52:13.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlib-test-suite.log.gz │ │ │ --rw-r--r-- 0 root (0) root (0) 82 2026-10-13 12:52:13.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlib-test-suite.trs │ │ │ +-rw-r--r-- 0 root (0) root (0) 21367 2026-10-13 12:52:13.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlib-test-suite.log.gz │ │ │ +-rw-r--r-- 0 root (0) root (0) 84 2026-10-13 12:52:13.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlib-test-suite.trs │ │ │ -rw-r--r-- 0 root (0) root (0) 11020 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlibbenchmark.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 2193 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlibglobalfixture.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 1816 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlibglobalfixture.hpp │ │ │ -rw-r--r-- 0 root (0) root (0) 1307 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlibtestsuite.cpp │ │ │ -rw-r--r-- 0 root (0) root (0) 7796 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quantooption.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 2579 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/quotes.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 21394 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/rangeaccrual.cpp.gz │ │ │ @@ -1760,15 +1760,15 @@ │ │ │ -rw-r--r-- 0 root (0) root (0) 4184 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/swapforwardmappings.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 8559 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/swaption.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 9562 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/swaptionvolatilitycube.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 3055 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/swaptionvolatilitymatrix.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 1987 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/swaptionvolstructuresutilities.hpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 5668 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/swingoption.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 5043 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/termstructures.cpp.gz │ │ │ --rw-r--r-- 0 root (0) root (0) 613 2026-10-13 12:52:13.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/test-suite.log │ │ │ +-rw-r--r-- 0 root (0) root (0) 21654 2026-10-13 12:52:13.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/test-suite.log.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 1942 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/testsuite.vcxproj.filters.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 4265 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/testsuite.vcxproj.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 1758 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/timegrid.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 1829 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/timeseries.cpp.gz │ │ │ -rw-r--r-- 0 root (0) root (0) 1997 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/toplevelfixture.hpp │ │ │ -rw-r--r-- 0 root (0) root (0) 3498 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/tqreigendecomposition.cpp │ │ │ -rw-r--r-- 0 root (0) root (0) 2501 2026-10-13 07:07:18.000000 ./usr/share/doc/libquantlib0v5/examples/test-suite/tracing.cpp │ │ ├── ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlib-test-suite.log.gz │ │ │ ├── quantlib-test-suite.log │ │ │ │ @@ -1435,14 +1435,248 @@ │ │ │ │ Testing swaption result caching in Black engine... │ │ │ │ Testing swaption dependency on strike... │ │ │ │ Testing swaption dependency on spread... │ │ │ │ Testing swaption treatment of spread... │ │ │ │ Testing swaption values against cached values... │ │ │ │ Testing swaption vega... │ │ │ │ Testing cash settled swaptions modified annuity... │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 31st, 2034 │ │ │ │ + physical delivered swaption npv : 23590.477654677459 annuity : 3714109.6206934201 │ │ │ │ + cash delivered swaption npv : 23596.89481337371 annuity : 3715311.4493770963 │ │ │ │ + npv ratio : 1.0002720232625293 │ │ │ │ + annuity ratio : 1.0003235846020753 │ │ │ │ + difference : 5.1561339545980189e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 31st, 2036 │ │ │ │ + physical delivered swaption npv : 31454.069447372902 annuity : 4957674.1923676403 │ │ │ │ + cash delivered swaption npv : 31459.562817734026 annuity : 4958904.40016782 │ │ │ │ + npv ratio : 1.0001746473654327 │ │ │ │ + annuity ratio : 1.0002481421231904 │ │ │ │ + difference : 7.3494757757641693e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 31st, 2039 │ │ │ │ + physical delivered swaption npv : 41958.022433707862 annuity : 6606182.6551841069 │ │ │ │ + cash delivered swaption npv : 41969.702914903202 annuity : 6608687.9561755089 │ │ │ │ + npv ratio : 1.0002783849313632 │ │ │ │ + annuity ratio : 1.0003792358041199 │ │ │ │ + difference : 0.00010085087275668592 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 31st, 2044 │ │ │ │ + physical delivered swaption npv : 56202.82520101613 annuity : 8856908.8095449284 │ │ │ │ + cash delivered swaption npv : 56212.493784699669 annuity : 8859724.3716943394 │ │ │ │ + npv ratio : 1.0001720302075376 │ │ │ │ + annuity ratio : 1.0003178944494018 │ │ │ │ + difference : 0.00014586424186413538 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 29th, 2049 │ │ │ │ + physical delivered swaption npv : 67329.867994622982 annuity : 10608698.168412276 │ │ │ │ + cash delivered swaption npv : 67344.19121640618 annuity : 10612733.798588047 │ │ │ │ + npv ratio : 1.0002127320639385 │ │ │ │ + annuity ratio : 1.0003804076722427 │ │ │ │ + difference : 0.00016767560830421857 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 31st, 2033 │ │ │ │ + physical delivered swaption npv : 12025.837816478654 annuity : 1446971.0758256691 │ │ │ │ + cash delivered swaption npv : 12023.604942289965 annuity : 1446800.913080181 │ │ │ │ + npv ratio : 0.99981432693316141 │ │ │ │ + annuity ratio : 0.99988240072774714 │ │ │ │ + difference : 6.8073794585732372e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2034 │ │ │ │ + physical delivered swaption npv : 17652.344663353473 annuity : 2117107.4976887726 │ │ │ │ + cash delivered swaption npv : 17655.783349136545 annuity : 2117711.4272307982 │ │ │ │ + npv ratio : 1.0001948005122634 │ │ │ │ + annuity ratio : 1.0002852616329991 │ │ │ │ + difference : 9.0461120735740863e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2036 │ │ │ │ + physical delivered swaption npv : 27991.113678801703 annuity : 3360842.4323426127 │ │ │ │ + cash delivered swaption npv : 27991.090004855396 annuity : 3361203.9989728965 │ │ │ │ + npv ratio : 0.99999915423349783 │ │ │ │ + annuity ratio : 1.0001075821427403 │ │ │ │ + difference : 0.00010842790924248114 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 29th, 2038 │ │ │ │ + physical delivered swaption npv : 37364.384678415758 annuity : 4484692.4269520445 │ │ │ │ + cash delivered swaption npv : 37366.275484143967 annuity : 4485439.9227215741 │ │ │ │ + npv ratio : 1.0000506044926065 │ │ │ │ + annuity ratio : 1.0001666771538305 │ │ │ │ + difference : 0.00011607266122393156 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2041 │ │ │ │ + physical delivered swaption npv : 49816.04967455742 annuity : 5977771.9646017766 │ │ │ │ + cash delivered swaption npv : 49820.168082381097 annuity : 5979201.6373752449 │ │ │ │ + npv ratio : 1.0000826723084344 │ │ │ │ + annuity ratio : 1.0002391648229365 │ │ │ │ + difference : 0.00015649251450211565 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2046 │ │ │ │ + physical delivered swaption npv : 66777.465051164414 annuity : 8014374.9930977216 │ │ │ │ + cash delivered swaption npv : 66780.51705219374 annuity : 8016242.8221297953 │ │ │ │ + npv ratio : 1.0000457040564057 │ │ │ │ + annuity ratio : 1.0002330598497926 │ │ │ │ + difference : 0.00018735579338691188 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2051 │ │ │ │ + physical delivered swaption npv : 80007.659454131077 annuity : 9601058.4106886201 │ │ │ │ + cash delivered swaption npv : 80014.110226805453 annuity : 9603856.8779901415 │ │ │ │ + npv ratio : 1.0000806269389504 │ │ │ │ + annuity ratio : 1.0002914748751457 │ │ │ │ + difference : 0.00021084793619530195 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 31st, 2039 │ │ │ │ + physical delivered swaption npv : 19691.560781858945 annuity : 1648508.4628164654 │ │ │ │ + cash delivered swaption npv : 19699.544794669553 annuity : 1649249.7607376976 │ │ │ │ + npv ratio : 1.0004054535290043 │ │ │ │ + annuity ratio : 1.0004496779591689 │ │ │ │ + difference : 4.4224430164607753e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2041 │ │ │ │ + physical delivered swaption npv : 31259.597508931729 annuity : 2616929.532259163 │ │ │ │ + cash delivered swaption npv : 31272.305844801645 annuity : 2618200.8955182317 │ │ │ │ + npv ratio : 1.0004065418905757 │ │ │ │ + annuity ratio : 1.0004858225043496 │ │ │ │ + difference : 7.9280613773935471e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2043 │ │ │ │ + physical delivered swaption npv : 41726.789993210383 annuity : 3493193.1523053162 │ │ │ │ + cash delivered swaption npv : 41743.772558267963 annuity : 3494944.0952656954 │ │ │ │ + npv ratio : 1.0004069942849747 │ │ │ │ + annuity ratio : 1.0005012442438872 │ │ │ │ + difference : 9.4249958912495657e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2046 │ │ │ │ + physical delivered swaption npv : 55565.197133873953 annuity : 4653532.5607551094 │ │ │ │ + cash delivered swaption npv : 55579.871387453473 annuity : 4655252.0371663496 │ │ │ │ + npv ratio : 1.0002640907319049 │ │ │ │ + annuity ratio : 1.0003694991683825 │ │ │ │ + difference : 0.00010540843647754983 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2051 │ │ │ │ + physical delivered swaption npv : 74515.955728711124 annuity : 6240215.9783460088 │ │ │ │ + cash delivered swaption npv : 74539.73818583462 annuity : 6243000.4860188169 │ │ │ │ + npv ratio : 1.0003191592577847 │ │ │ │ + annuity ratio : 1.0004462197594555 │ │ │ │ + difference : 0.00012706050167077265 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2056 │ │ │ │ + physical delivered swaption npv : 89240.883777789204 annuity : 7475070.38847584 │ │ │ │ + cash delivered swaption npv : 89258.386226204369 annuity : 7477672.5910210377 │ │ │ │ + npv ratio : 1.0001961258973942 │ │ │ │ + annuity ratio : 1.0003481174637778 │ │ │ │ + difference : 0.00015199156638368017 │ │ │ │ Testing implied volatility for swaptions... │ │ │ │ Testing implied volatility for overnight-indexed swaptions... │ │ │ │ Testing swaption delta in Black model... │ │ │ │ Testing swaption delta in Bachelier model... │ │ │ │ Testing MakeSwaption with exercise calendar override... │ │ │ │ Testing MakeSwaption nominal with fixing-date-based constructor... │ │ │ │ Testing sabr normal volatility... │ │ │ │ @@ -1538,12 +1772,12 @@ │ │ │ │ Testing fair fixed rate... │ │ │ │ Testing fixed payment calculation from rate... │ │ │ │ Testing arguments validation... │ │ │ │ Testing expected cash flows in legs... │ │ │ │ Testing ZigguratGaussianRng::nextReal() for mean, variance, skewness and kurtosis... │ │ │ │ Testing ZigguratGaussianRng::nextReal() accepts a draw that falls in a wedge... │ │ │ │ │ │ │ │ -Tests completed in 3 h 11 m 36 s │ │ │ │ +Tests completed in 58 m 47 s │ │ │ │ │ │ │ │ │ │ │ │ -*** No errors detected │ │ │ │ -PASS quantlib-test-suite (exit status: 0) │ │ │ │ +*** 18 failures are detected in the test module "QuantLibTests" │ │ │ │ +FAIL quantlib-test-suite (exit status: 201) │ │ ├── ./usr/share/doc/libquantlib0v5/examples/test-suite/quantlib-test-suite.trs │ │ │ @@ -1,4 +1,4 @@ │ │ │ -:test-result: PASS │ │ │ -:global-test-result: PASS │ │ │ -:recheck: no │ │ │ -:copy-in-global-log: no │ │ │ +:test-result: FAIL │ │ │ +:global-test-result: FAIL │ │ │ +:recheck: yes │ │ │ +:copy-in-global-log: yes │ │ │ --- ./usr/share/doc/libquantlib0v5/examples/test-suite/test-suite.log │ │ ├── +++ /dev/null │ │ │ @@ -1,24 +0,0 @@ │ │ │ -============================================== │ │ │ - QuantLib 1.44: test-suite/test-suite.log │ │ │ -============================================== │ │ │ - │ │ │ -# TOTAL: 1 │ │ │ -# PASS: 1 │ │ │ -# SKIP: 0 │ │ │ -# XFAIL: 0 │ │ │ -# FAIL: 0 │ │ │ -# XPASS: 0 │ │ │ -# ERROR: 0 │ │ │ - │ │ │ -System information (uname -a): Linux 6.12.111+deb13-riscv64 #1 SMP Debian 6.12.111-1 (2026-09-28) riscv64 │ │ │ -Distribution information (/etc/os-release): │ │ │ -PRETTY_NAME="Debian GNU/Linux forky/sid" │ │ │ -NAME="Debian GNU/Linux" │ │ │ -VERSION_CODENAME=forky │ │ │ -ID=debian │ │ │ -HOME_URL="https://www.debian.org/" │ │ │ -SUPPORT_URL="https://www.debian.org/support" │ │ │ -BUG_REPORT_URL="https://bugs.debian.org/" │ │ │ - │ │ │ -.. contents:: :depth: 2 │ │ │ - │ │ │ --- /dev/null │ │ ├── +++ ./usr/share/doc/libquantlib0v5/examples/test-suite/test-suite.log.gz │ │ │ ├── filetype from diffoscope │ │ │ │ @@ -1 +1 @@ │ │ │ │ +GzipFile │ │ │ │ -MissingFile │ │ │ │ --- /dev/null │ │ │ ├── +++ test-suite.log │ │ │ │ @@ -0,0 +1,1811 @@ │ │ │ │ +============================================== │ │ │ │ + QuantLib 1.44: test-suite/test-suite.log │ │ │ │ +============================================== │ │ │ │ + │ │ │ │ +# TOTAL: 1 │ │ │ │ +# PASS: 0 │ │ │ │ +# SKIP: 0 │ │ │ │ +# XFAIL: 0 │ │ │ │ +# FAIL: 1 │ │ │ │ +# XPASS: 0 │ │ │ │ +# ERROR: 0 │ │ │ │ + │ │ │ │ +System information (uname -a): Linux 6.6.87-win2030 #2025.04.20.18.43+bb0c69aea SMP Sun Apr 20 18:58:14 UTC 2025 riscv64 │ │ │ │ +Distribution information (/etc/os-release): │ │ │ │ +PRETTY_NAME="Debian GNU/Linux forky/sid" │ │ │ │ +NAME="Debian GNU/Linux" │ │ │ │ +VERSION_CODENAME=forky │ │ │ │ +ID=debian │ │ │ │ +HOME_URL="https://www.debian.org/" │ │ │ │ +SUPPORT_URL="https://www.debian.org/support" │ │ │ │ +BUG_REPORT_URL="https://bugs.debian.org/" │ │ │ │ + │ │ │ │ +.. contents:: :depth: 2 │ │ │ │ + │ │ │ │ +FAIL: quantlib-test-suite │ │ │ │ +========================= │ │ │ │ + │ │ │ │ +Running 1575 test cases... │ │ │ │ +========================================= │ │ │ │ + Testing QuantLib 1.44 │ │ │ │ + QL_EXTRA_SAFETY_CHECKS undefined │ │ │ │ + QL_USE_INDEXED_COUPON undefined │ │ │ │ +evaluation date is September 16th, 2015, │ │ │ │ +reference date events are excluded, │ │ │ │ +today's historic fixings are not enforced. │ │ │ │ +========================================= │ │ │ │ +Testing Barone-Adesi and Whaley approximation for American options... │ │ │ │ +Testing Barone-Adesi and Whaley approximation for American puts at non-positive risk-free rates... │ │ │ │ +Testing Bjerksund and Stensland approximation for American options... │ │ │ │ +Testing Ju approximation for American options... │ │ │ │ +Testing Ju approximation for American options at zero risk-free rate... │ │ │ │ +Testing Barone-Adesi-Whaley and Ju approximations at very low volatility... │ │ │ │ +Testing that the Ju approximation is never worth less than immediate exercise... │ │ │ │ +Testing Bjerksund-Stensland where beta is one... │ │ │ │ +Testing finite-difference and QR+ engine for American options... │ │ │ │ +Testing finite-differences American option greeks... │ │ │ │ +Testing finite-differences shout option greeks... │ │ │ │ +Testing finite-differences shout option pricing... │ │ │ │ +Testing zero volatility shout option pricing with discrete dividends... │ │ │ │ +Testing zero strike shout option pricing with discrete dividends... │ │ │ │ +Testing escrowed vs spot dividend model for American options... │ │ │ │ +Testing escrowed vs spot dividend model on dividend dates for American options... │ │ │ │ +Testing call/put parity for American options... │ │ │ │ +Testing QD+ boundary approximation... │ │ │ │ +Testing QD+ boundary convergence... │ │ │ │ +Testing QD+ American option pricing... │ │ │ │ +Testing Legendre and tanh-sinh iteration scheme for QD+ fixed-point American engine... │ │ │ │ +Testing Andersen, Lake and Offengenden high precision example... │ │ │ │ +Testing Andersen, Lake and Offengenden standard example... │ │ │ │ +Testing Andersen, Lake and Offengenden bulk examples... │ │ │ │ +Testing Andersen, Lake and Offengenden with high precision Gauss-Lobatto integration... │ │ │ │ +Testing that the QD+ and QD fixed-point engines are never worth less than immediate exercise... │ │ │ │ +Testing Andersen, Lake and Offengenden with positive or zero interest rate and negative dividend yield... │ │ │ │ +Testing Bjerksund-Stensland greeks when early exercise is not optimal... │ │ │ │ +Testing Bjerksund-Stensland American greeks... │ │ │ │ +Testing a single Bjerksund-Stensland greeks set... │ │ │ │ +Testing that the FD engine respects the earliest date for American exercise... │ │ │ │ +Testing Barone-Adesi-Whaley engine with negative rates... │ │ │ │ +Testing amortizing fixed rate bond... │ │ │ │ +Testing Brazilian amortizing fixed rate bond... │ │ │ │ +Testing amortizing fixed rate bond with draw-down... │ │ │ │ +Testing Andreasen-Huge example with Put calibration... │ │ │ │ +Testing Andreasen-Huge example with Call calibration... │ │ │ │ +Testing Andreasen-Huge example with instantaneous Call and Put calibration... │ │ │ │ +Testing Andreasen-Huge example with linear interpolation... │ │ │ │ +Testing Andreasen-Huge example with piecewise constant interpolation... │ │ │ │ +Testing Andreasen-Huge volatility interpolation with time dependent interest rates and dividend yield... │ │ │ │ +Testing Andreasen-Huge volatility interpolation with a single option... │ │ │ │ +Testing Andreasen-Huge volatility interpolation gives arbitrage free prices... │ │ │ │ +Testing Barrier option pricing with Andreasen-Huge local volatility surface... │ │ │ │ +Testing Peter's and Fabien's SABR example... │ │ │ │ +Testing different optimizer for Andreasen-Huge volatility interpolation... │ │ │ │ +Testing that reference date of adapter surface moves along with evaluation date... │ │ │ │ +Testing Andreasen-Huge example with flat volatility surface... │ │ │ │ +Testing atmLevel on AndreasenHugeVolatilityAdapter... │ │ │ │ +Testing array construction... │ │ │ │ +Testing array functions... │ │ │ │ +Testing array resize... │ │ │ │ +Testing array operators... │ │ │ │ +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 MC discrete geometric average-price Asians under Heston... │ │ │ │ +Testing Monte Carlo discrete arithmetic average-price Asians... │ │ │ │ +Testing Monte Carlo discrete arithmetic average-price Asians in Heston model... │ │ │ │ +Testing Monte Carlo discrete arithmetic average-strike Asians... │ │ │ │ +Testing that MC arithmetic average-strike Asian is sensitive to exercise date... │ │ │ │ +Testing discrete-averaging geometric Asian greeks... │ │ │ │ +Testing use of past fixings in Asian options... │ │ │ │ +Testing use of past fixings in Asian options where model dependency is flagged... │ │ │ │ +Testing Asian options with all fixing dates in the past... │ │ │ │ +Testing Turnbull-Wakeman engine for discrete-time arithmetic average-rate Asians options with term structure support... │ │ │ │ +Testing Levy engine for Asians options... │ │ │ │ +Testing Vecer engine for Asian options... │ │ │ │ +Testing analytic continuous geometric Asians under Heston... │ │ │ │ +Testing analytic discrete geometric average-price Asians under Heston... │ │ │ │ +Testing Analytic vs MC for seasoned discrete geometric Asians under Heston... │ │ │ │ +Testing ChoiAsianEngine against Monte-Carlo pricer... │ │ │ │ +Testing special cases for ChoiAsianEngine... │ │ │ │ +Testing seasoned continuous averaging 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 that knock-in plus knock-out barrier options replicate a European option... │ │ │ │ +Testing put-call symmetry for barrier options... │ │ │ │ +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 barrier option pricing with discrete dividends... │ │ │ │ +Testing barrier option pricing with discrete dividends past maturity... │ │ │ │ +Testing implied volatility for barrier options... │ │ │ │ +Testing barrier options with low volatility value... │ │ │ │ +Testing perturbative barrier engine, order 0... │ │ │ │ +Testing perturbative barrier engine, order 1... │ │ │ │ +Testing perturbative barrier engine, fast order 2... │ │ │ │ +Testing perturbative barrier engine, full-resolution order 2... │ │ │ │ +Testing barrier FX options against Vanna/Volga values... │ │ │ │ +Testing cash-or-nothing barrier options against Haug's values... │ │ │ │ +Testing asset-or-nothing barrier options against Haug's values... │ │ │ │ +Testing cash-or-nothing barrier options at low volatility... │ │ │ │ +Testing deterministic tenor basis model with continuous compounded spreads... │ │ │ │ +Testing deterministic tenor basis model with simple compounded spreads... │ │ │ │ +Testing volatility transformation for caplets/floorlets... │ │ │ │ +Testing volatility transformation for swaptions... │ │ │ │ +Testing IBOR-IBOR basis-swap rate helpers (base curve bootstrap)... │ │ │ │ +Testing IBOR-IBOR basis-swap rate helpers (other curve bootstrap)... │ │ │ │ +Testing IBOR-IBOR basis-swap rate helpers with payment lag... │ │ │ │ +Testing basis-swap rate helpers with null indexes... │ │ │ │ +Testing the indexed-coupon override for IBOR-IBOR basis-swap rate helpers... │ │ │ │ +Testing overnight-IBOR basis-swap rate helpers with different payment frequencies... │ │ │ │ +Testing the indexed-coupon override for overnight-IBOR basis-swap rate helpers... │ │ │ │ +Testing the date-generation rule of overnight-IBOR basis-swap rate helpers... │ │ │ │ +Testing overnight-IBOR basis-swap rate helpers... │ │ │ │ +Testing overnight-IBOR basis-swap rate helpers with external discount curve... │ │ │ │ +Testing overnight-IBOR basis-swap rate helpers with a late-linked discount curve... │ │ │ │ +Testing overnight-IBOR basis-swap rate helpers (base curve bootstrap)... │ │ │ │ +Testing overnight-IBOR basis-swap rate helpers (base curve bootstrap with external discount curve)... │ │ │ │ +Testing overnight-IBOR basis-swap rate helpers with payment lag... │ │ │ │ +Testing overnight-IBOR bootstrap with an interpolated stub on the ibor leg... │ │ │ │ +Testing ibor-ibor bootstrap with an interpolated stub on the exogenous leg... │ │ │ │ +Testing averaging and telescopic value dates for overnight-IBOR helpers... │ │ │ │ +Testing overnight-overnight basis-swap rate helpers (other curve bootstrap)... │ │ │ │ +Testing overnight-overnight basis-swap rate helpers (base curve bootstrap)... │ │ │ │ +Testing overnight-overnight basis-swap rate helpers with a late-linked discount curve... │ │ │ │ +Testing the date-generation rule of overnight-overnight basis-swap helpers... │ │ │ │ +Testing zero-coupon overnight-overnight basis-swap helpers... │ │ │ │ +Testing telescopic value dates with simple overnight averaging... │ │ │ │ +Testing overnight-ibor basis-swap helper with the margin quoted on the ibor leg... │ │ │ │ +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 2D local-volatility spread-option pricing... │ │ │ │ +Testing Greeks of two-dimensional PDE engine... │ │ │ │ +Testing Bjerksund-Stensland spread engine... │ │ │ │ +Testing Strang Operator Splitting spread engine... │ │ │ │ +Testing Strang Operator Splitting spread engine vs Mathematica results... │ │ │ │ +Testing two-dimensional PDE engine vs analytical approximations... │ │ │ │ +Testing n-dimensional PDE engine vs two dimensional engine... │ │ │ │ +Testing n-dimensional PDE engine in different dimensions... │ │ │ │ +Testing Deng-Li-Zhou basket engine vs PDE engine... │ │ │ │ +Testing Deng-Li-Zhou basket engine with negative strike... │ │ │ │ +Testing the root of a sum of exponentials... │ │ │ │ +Testing single factor BSM basket engine against reference results... │ │ │ │ +Testing BSM Choi basket engine against reference results... │ │ │ │ +Testing benchmark spread- and basket options from the literature... │ │ │ │ +Testing American Basket and Spread Options using FDM... │ │ │ │ +Testing high precision American Options Pricing using multi-dim FDM... │ │ │ │ +Testing division by zero issue for the Operator Splitting engine... │ │ │ │ +Testing Pearson spread engine... │ │ │ │ +Testing Gaussian Copula spread engine with flat volatility... │ │ │ │ +Testing Gaussian Copula spread engine with SVI smile vs 2D Dupire PDE... │ │ │ │ +Testing Gaussian Copula spread engine put-call parity across volatility levels... │ │ │ │ +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 with HW model against cached values... │ │ │ │ +Testing Bermudan swaption with G2 model against cached values... │ │ │ │ +Testing snap of exercise dates for discretized swaption... │ │ │ │ +Testing Bermudan swaption with OIS underlying and HW model... │ │ │ │ +Testing Bermudan swaption with OIS underlying and G2 model... │ │ │ │ +Testing that Bermudan OIS swaption preserves averaging and lockout... │ │ │ │ +Testing BachelierCalculator basic option values... │ │ │ │ +Testing BachelierCalculator Greeks calculations... │ │ │ │ +Testing BachelierCalculator put-call parity... │ │ │ │ +Testing BachelierCalculator edge cases... │ │ │ │ +Testing BachelierCalculator numerical derivative consistency... │ │ │ │ +Testing BachelierCalculator against analytical Bachelier formula... │ │ │ │ +Testing BachelierCalculator Greeks with zero volatility... │ │ │ │ +Testing BachelierCalculator convergence to BlackCalculator for small relative volatilities... │ │ │ │ +Testing BlackCalculator basic option values... │ │ │ │ +Testing BlackCalculator Greeks calculations... │ │ │ │ +Testing BlackCalculator put-call parity... │ │ │ │ +Testing BlackCalculator edge cases... │ │ │ │ +Testing BlackCalculator numerical derivative consistency... │ │ │ │ +Testing BlackCalculator Greeks with zero volatility... │ │ │ │ +Testing delta calculator values... │ │ │ │ +Testing premium-adjusted delta price consistency... │ │ │ │ +Testing put-call parity for deltas... │ │ │ │ +Testing delta-neutral ATM quotations... │ │ │ │ +Testing Bachelier implied vol... │ │ │ │ +Testing Chambers-Nawalkha implied vol approximation... │ │ │ │ +Testing Radoicic-Stefanica implied vol approximation... │ │ │ │ +Testing Radoicic-Stefanica lower bound... │ │ │ │ +Testing implied volatility calculation via adaptive successive over-relaxation... │ │ │ │ +Testing forward derivative of the Black formula... │ │ │ │ +Testing forward derivative of the Black formula with zero strike... │ │ │ │ +Testing forward derivative of the Black formula with zero volatility... │ │ │ │ +Testing forward derivative of the Bachelier Black formula... │ │ │ │ +Testing forward derivative of the Bachelier Black formula with zero volatility... │ │ │ │ +Testing in-the-money probabilities with zero volatility... │ │ │ │ +Testing Bachelier implied volatility for prices at intrinsic value... │ │ │ │ +Testing that deep in-the-money Black and Bachelier prices are not below their intrinsic value... │ │ │ │ +Testing RS implied-standard-deviation approximation away from the money... │ │ │ │ +Testing Li-RS implied standard deviation at intrinsic... │ │ │ │ +Testing BlackVolatilitySurfaceDelta... │ │ │ │ +Testing BlackVolatilitySurfaceDelta with non constant vol surface... │ │ │ │ +Testing time extrapolation of BlackVolatilitySurfaceDelta... │ │ │ │ +Testing smile interpolation of BlackVolatilitySurfaceDelta... │ │ │ │ +Testing SmileSection from a vol surface that overrides atmLevel(Time)... │ │ │ │ +Testing futures price replication... │ │ │ │ +Testing clean forward price replication... │ │ │ │ +Testing that forward value is equal to spot value if no income... │ │ │ │ +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 fixed-coupon bond built on schedule with given dates... │ │ │ │ +Testing risky bond engine... │ │ │ │ +Testing fixed-rate bond with arbitrary schedule... │ │ │ │ +Testing Thirty/360 bond with settlement on 31st of the month... │ │ │ │ +Testing consistency of bond basisPointValue and yieldValueBasisPoint calculations... │ │ │ │ +Testing floating-rate bond fixing convention... │ │ │ │ +Testing that yield conventions agree in the final coupon period... │ │ │ │ +Testing yield conventions in and after a final coupon period with a late redemption... │ │ │ │ +Testing yield conventions on a bond with a long first coupon... │ │ │ │ +Testing yield conventions on a long first coupon with quasi-coupon periods... │ │ │ │ +Testing Brownian-bridge variates... │ │ │ │ +Testing Brownian-bridge path generation... │ │ │ │ +Testing business day conventions... │ │ │ │ +Testing calendar modification... │ │ │ │ +Testing joint calendars... │ │ │ │ +Testing US settlement holiday list... │ │ │ │ +Testing US government bond market holiday list... │ │ │ │ +Testing New York Stock Exchange holiday list... │ │ │ │ +Testing holidays for SOFR... │ │ │ │ +Testing holiday occurrence of Juneteenth for US Federal Reserve calendar... │ │ │ │ +Testing TARGET holiday list... │ │ │ │ +Testing Frankfurt Stock Exchange holiday list... │ │ │ │ +Testing Eurex holiday list... │ │ │ │ +Testing Xetra holiday list... │ │ │ │ +Testing UK settlement holiday list... │ │ │ │ +Testing London Stock Exchange holiday list... │ │ │ │ +Testing London Metals Exchange holiday list... │ │ │ │ +Testing Italian holiday list... │ │ │ │ +Testing Russia holiday list... │ │ │ │ +Testing Brazil holiday list... │ │ │ │ +Testing Denmark holiday list... │ │ │ │ +Testing South-Korean settlement holiday list... │ │ │ │ +Testing Korea Stock Exchange holiday list... │ │ │ │ +Testing Hong Kong Stock Exchange holiday list... │ │ │ │ +Testing China Shanghai Stock Exchange holiday list... │ │ │ │ +Testing China Inter Bank working weekends list... │ │ │ │ +Testing Mexican Inauguration Day holiday... │ │ │ │ +Testing a few holiday rules for New Zealand... │ │ │ │ +Testing TASE calendar... │ │ │ │ +Testing SHIR calendar... │ │ │ │ +Testing Telbor calendar... │ │ │ │ +Testing start-of-month calculation... │ │ │ │ +Testing end-of-month calculation... │ │ │ │ +Testing calculation of business days between dates... │ │ │ │ +Testing bespoke calendars... │ │ │ │ +Testing addHolidays with enable-intraday... │ │ │ │ +Testing holidayList and businessDaysList... │ │ │ │ +Testing Malta holiday list... │ │ │ │ +Testing Montenegro holiday list... │ │ │ │ +Testing North Macedonia holiday list... │ │ │ │ +Testing North Macedonia Ramazan Bajram (Eid al-Fitr) dates... │ │ │ │ +Testing North Macedonia Kurban Bajram (Eid al-Adha) dates... │ │ │ │ +Testing Serbia holiday list... │ │ │ │ +Testing Saudi Arabia Founding Day and Eid holidays... │ │ │ │ +Testing Slovenia holiday list... │ │ │ │ +Testing Croatia holiday list... │ │ │ │ +Testing Malaysia holiday list... │ │ │ │ +Testing Malaysia variable holidays across the tabulated range... │ │ │ │ +Testing Malaysia fixed holidays outside the tabulated range... │ │ │ │ +Testing Philippine holiday list... │ │ │ │ +Testing Philippine transferred and withdrawn holidays... │ │ │ │ +Testing Philippine fixed holidays outside the tabulated range... │ │ │ │ +Testing Uzbekistan holiday list... │ │ │ │ +Testing Uzbekistan Ramazon Hayit (Eid al-Fitr) dates... │ │ │ │ +Testing Uzbekistan Qurbon Hayit (Eid al-Adha) dates... │ │ │ │ +Testing India (NSE) clearing holiday list... │ │ │ │ +Testing interplay of callability and puttability for callable bonds... │ │ │ │ +Testing consistency of callable bonds... │ │ │ │ +Testing observability of callable bonds... │ │ │ │ +Repricing bonds using degenerate callable bonds... │ │ │ │ +Testing callable-bond value against cached values... │ │ │ │ +Testing snap of callability dates to the closest coupon date... │ │ │ │ +Testing that an unexercisable callability leaves the price alone... │ │ │ │ +Testing Black engine for European callable bonds... │ │ │ │ +Testing implied-volatility calculation for callable bonds... │ │ │ │ +Testing Black engine for deep ITM European callable bond... │ │ │ │ +Testing callable fixed-rate bond with arbitrary schedule... │ │ │ │ +Testing callable fixed-rate bond OAS with different notionals... │ │ │ │ +Testing OAS continuity when call date crosses ex-coupon period... │ │ │ │ +Testing effective duration and convexity of a callable fixed-rate bond using dirty price... │ │ │ │ +Testing cap/floor vega... │ │ │ │ +Testing cap/floor dependency on strike... │ │ │ │ +Testing consistency between cap, floor and collar... │ │ │ │ +Testing cap/floor parity... │ │ │ │ +Testing cap/floor ATM rate... │ │ │ │ +Testing implied term volatility for cap and floor... │ │ │ │ +Testing Black cap/floor price against cached values... │ │ │ │ +Testing Black cap/floor price as a sum of optionlets prices against cached values... │ │ │ │ +Testing Black caplet/floorlet delta coefficients against finite difference values... │ │ │ │ +Testing Bachelier caplet/floorlet delta coefficients against finite difference 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 ex-coupon date calculation... │ │ │ │ +Testing irregular first coupon reference dates with end of month enabled... │ │ │ │ +Testing irregular first coupon reference dates at end of calendar month with end of month enabled... │ │ │ │ +Testing irregular last coupon reference dates with end of month enabled... │ │ │ │ +Testing leg construction with partial schedule... │ │ │ │ +Testing past ibor coupon without forecast curve... │ │ │ │ +Testing that ibor coupon knows when it has fixed... │ │ │ │ +Testing interpolation of an irregular Ibor coupon... │ │ │ │ +Testing Ibor stub endpoints and unchanged regular coupons... │ │ │ │ +Testing final and long Ibor stub coupons... │ │ │ │ +Testing Ibor stub historical fixings and forwarding-curve relinking... │ │ │ │ +Testing that a stub coupon has fixed only once its selected indices have... │ │ │ │ +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 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 (lognormal case)... │ │ │ │ +Testing Hagan-pricer flat-vol equivalence for swaps (lognormal case)... │ │ │ │ +Testing put-call parity for capped-floored CMS coupons (lognormal case)... │ │ │ │ +Testing CMS market calibration... │ │ │ │ +Testing lazy SABR cube initialization before recalibration... │ │ │ │ +Testing Hagan-pricer flat-vol equivalence for coupons (normal case)... │ │ │ │ +Testing Hagan-pricer flat-vol equivalence for swaps (normal case)... │ │ │ │ +Testing put-call parity for capped-floored CMS coupons (normal case)... │ │ │ │ +Testing fixings of cms spread indices... │ │ │ │ +Testing pricing of cms spread coupons... │ │ │ │ +Testing direct commodity unit of measure conversions... │ │ │ │ +Testing compiled boost version... │ │ │ │ +Testing compound-option put-call parity... │ │ │ │ +Testing compound-option values and greeks... │ │ │ │ +Testing out-of-the-money convertible bonds against vanilla bonds... │ │ │ │ +Testing zero-coupon convertible bonds against vanilla option... │ │ │ │ +Testing convertible bond dividend values spanning the settlement date... │ │ │ │ +Testing fixed-coupon convertible bond in known regression case... │ │ │ │ +Testing Farlie-Gumbel-Morgenstern copula random-number generator... │ │ │ │ +Testing Clayton copula random-number generator... │ │ │ │ +Testing Frank copula random-number generator... │ │ │ │ +Testing matrix rank reduction salvaging algorithms... │ │ │ │ +Testing positive semi-definiteness salvaging algorithms... │ │ │ │ +Testing covariance and correlation calculations... │ │ │ │ +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 ISDA engine calculations for credit-default swaps... │ │ │ │ +Testing accrual rebate amounts on credit default swaps... │ │ │ │ +Testing ISDA engine calculations for a single credit-default swap record (reconciliation)... │ │ │ │ +Testing ISDA engine calculations for a single credit-default swap with issue date in the past... │ │ │ │ +Testing default conventions for CDS factory class... │ │ │ │ +Test cross-currency basis-swap pricing against known results... │ │ │ │ +Test cross-currency overnight-index basis-swap pricing against known results... │ │ │ │ +Test cross-currency fix/float swap pricing against known results... │ │ │ │ +Testing that a MtM cross-currency basis swap reprices to zero at its fair spread... │ │ │ │ +Testing that the MtM xccy basis swap reprices to par off a curve bootstrapped from MtM xccy rate helpers, for all flag combinations... │ │ │ │ +Testing FX-reset fixing dates and value-date projection... │ │ │ │ +Testing that FX-reset fixing state is determined from the evaluation date... │ │ │ │ +Testing FX-reset coupon notifications and deep updates... │ │ │ │ +Testing that an FX reset fixed before accrual start uses its fixing... │ │ │ │ +Testing that enumerating the resettable leg's cash flows reproduces the leg NPV and the FX-reset notionals... │ │ │ │ +Testing that a reset on the curve reference date uses spot FX... │ │ │ │ +Testing FX-settlement carry, NPV-date conversion, and scalar discount... │ │ │ │ +Testing that an already-started MtM reset period requires a stored exchange rate... │ │ │ │ +Testing that an in-progress MtM reset obtained by triangulation prices identically to the equivalent constant-notional swap built from the realised reset notional... │ │ │ │ +Testing a seasoned EURUSD MtM swap (exchange rate stored as USD per EUR, the market convention) reprices to the equivalent constant-notional swap... │ │ │ │ +Testing a seasoned USDJPY MtM swap (exchange rate stored as JPY per USD, the market convention) reprices to the equivalent constant-notional swap... │ │ │ │ +Testing that a seasoned MtM swap on overnight indices reprices to the equivalent constant-notional swap and accrues like its underlying overnight coupon... │ │ │ │ +Testing initial, interim and final reset-exchange payment dates... │ │ │ │ +Test fix/fix cross-currency swap pricing against known results... │ │ │ │ +Test float/fix cross-currency swap pricing against known results... │ │ │ │ +Test float/float cross-currency swap pricing against known results... │ │ │ │ +Testing indexed-coupon overrides for cross-currency rate helpers... │ │ │ │ +Testing constant notional basis swaps with collateral in quote ccy and basis in base ccy... │ │ │ │ +Testing constant notional basis swaps with collateral in base ccy and basis in quote ccy... │ │ │ │ +Testing constant notional basis swaps with collateral and basis in base ccy... │ │ │ │ +Testing constant notional basis swaps with collateral and basis in quote ccy... │ │ │ │ +Testing resetting basis swaps with collateral in quote ccy and basis in base ccy... │ │ │ │ +Testing resetting basis swaps with collateral in base ccy and basis in quote ccy... │ │ │ │ +Testing resetting basis swaps with collateral and basis in base ccy... │ │ │ │ +Testing resetting basis swaps with collateral and basis in quote ccy... │ │ │ │ +Testing resetting basis swaps with collateral in quote ccy and basis in base ccy... │ │ │ │ +Testing resetting basis swaps with different payment frequencies per leg... │ │ │ │ +Testing that an explicit NoFrequency reproduces the default payment frequency... │ │ │ │ +Testing that an unset quote-currency payment frequency defaults to the base frequency... │ │ │ │ +Testing resetting basis swaps with collateral in quote ccy and basis in base ccy... │ │ │ │ +Testing helper/instrument equivalence across asymmetric FX holidays... │ │ │ │ +Testing resetting basis swaps with collateral in quote ccy and basis in base ccy... │ │ │ │ +Testing resetting basis swaps with collateral in quote ccy and basis in base ccy... │ │ │ │ +Testing exception when instrument tenor is shorter than index frequency... │ │ │ │ +Testing ConstNotionalCrossCurrencySwapRateHelper reaction to relinked curves... │ │ │ │ +Testing the floating-leg convention of fixed-vs-floating helpers... │ │ │ │ +Testing that fixed-vs-floating helpers roll both legs on the helper calendar... │ │ │ │ +Testing the floating-leg payment frequency of fixed-vs-floating helpers... │ │ │ │ +Testing that payment lag applies to coupons but not notional exchanges... │ │ │ │ +Testing payment-lagged basis helpers against their underlying swaps... │ │ │ │ +Testing const-notional CCS helper with collateral on fixed leg... │ │ │ │ +Testing const-notional CCS helper with collateral on floating leg... │ │ │ │ +Testing MtM cross-currency bootstrap with an interpolated stub-index coupon... │ │ │ │ +Testing const-notional cross-currency bootstrap with an interpolated stub-index coupon... │ │ │ │ +Testing cross-currency bootstrap with an interpolated stub on the quote leg... │ │ │ │ +Testing fixed-vs-floating cross-currency bootstrap with an interpolated float-leg stub... │ │ │ │ +Testing bespoke currency constructor... │ │ │ │ +Testing Libor-market-model curve state... │ │ │ │ +Testing coterminal-swap-market-model curve state... │ │ │ │ +Testing constant-maturity-swap-market-model curve state... │ │ │ │ +Testing ECB codes for validity... │ │ │ │ +Testing ECB dates... │ │ │ │ +Testing conversion of ECB codes to dates... │ │ │ │ +Testing creation of ECB code from a given date... │ │ │ │ +Testing calculation of the next ECB code from a given code... │ │ │ │ +Testing IMM dates... │ │ │ │ +Testing ASX dates... │ │ │ │ +Testing ASX functionality with specific dates... │ │ │ │ +Testing dates... │ │ │ │ +Testing ISO dates... │ │ │ │ +Testing parsing of dates... │ │ │ │ +Testing intraday information of dates... │ │ │ │ +Testing hashing of dates... │ │ │ │ +Testing null date for working serial number and hash... │ │ │ │ +Testing today's date... │ │ │ │ +Testing actual/actual day counters... │ │ │ │ +Testing actual/actual (ISMA) with odd last period... │ │ │ │ +Testing actual/actual with schedule for undefined semiannual reference periods... │ │ │ │ +Testing actual/actual with schedule for undefined annual reference periods... │ │ │ │ +Testing actual/actual day counter with schedule... │ │ │ │ +Testing simple day counter... │ │ │ │ +Testing 1/1 day counter... │ │ │ │ +Testing business/252 day counter... │ │ │ │ +Testing 30/365 day counter... │ │ │ │ +Testing 30/360 day counter (Bond Basis)... │ │ │ │ +Testing 30/360 day counter (Eurobond Basis)... │ │ │ │ +Testing 30/360 day counter (USA)... │ │ │ │ +Testing 30/360 day counter (ISDA)... │ │ │ │ +Testing that Actual/365 (Canadian) throws when needed... │ │ │ │ +Testing intraday behavior of day counter... │ │ │ │ +Testing usage of actual/actual out of schedule... │ │ │ │ +Testing Act/366 day counter... │ │ │ │ +Testing Act/365.25 day counter... │ │ │ │ +Testing consistency between different actual day-counters... │ │ │ │ +Testing bulk dates for YearFractionToDate ... │ │ │ │ +Testing YearFractionToDate rounding to closer date... │ │ │ │ +Testing YearFractionToDate for linear day counter... │ │ │ │ +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 iterative bootstrap with retries... │ │ │ │ +Testing that credit-curve jumps behave like yield-curve jumps... │ │ │ │ +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 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 American cash-(at-hit)-or-nothing digital option greeks... │ │ │ │ +Testing American cash-(at-hit)-or-nothing digital option at low volatility... │ │ │ │ +Testing Monte Carlo cash-(at-hit)-or-nothing American engine... │ │ │ │ +Testing normal distributions... │ │ │ │ +Testing inverse cumulative normal distribution... │ │ │ │ +Testing Moro inverse cumulative normal distribution... │ │ │ │ +Testing Maddock normal distributions... │ │ │ │ +Testing cumulative normal distribution tails... │ │ │ │ +Testing bivariate cumulative normal distribution... │ │ │ │ +Testing binomial distributions... │ │ │ │ +Testing Poisson distribution... │ │ │ │ +Testing cumulative Poisson distribution... │ │ │ │ +Testing inverse cumulative Poisson distribution... │ │ │ │ +Testing inverse cumulative Student t distribution... │ │ │ │ +Testing bivariate cumulative Student t distribution... │ │ │ │ +Testing bivariate cumulative Student t distribution for large N... │ │ │ │ +Testing inverse CDF based on stochastic collocation... │ │ │ │ +Testing Sankaran approximation for the non-central cumulative chi-square distribution... │ │ │ │ +Testing error function and cumulative normal in the upper tail... │ │ │ │ +Testing dividend European option values with no dividends... │ │ │ │ +Testing dividend European option against known value... │ │ │ │ +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 finite-differences dividend European option with dividend on today's date... │ │ │ │ +Testing finite-differences dividend American option with dividend on today's date... │ │ │ │ +Testing finite-difference European engine with the escrowed dividend model... │ │ │ │ +Testing cash-dividend European engine with finite-difference European engine... │ │ │ │ +Testing cash-dividend European engine with many dividends... │ │ │ │ +Testing cash-dividend European engine with single dividend... │ │ │ │ +Testing zero strike call with cash dividend model... │ │ │ │ +Testing American option with escrowed dividend model... │ │ │ │ +Testing double barrier european options against Haug's values... │ │ │ │ +Testing double-barrier FX options against Vanna/Volga values... │ │ │ │ +Testing MC double-barrier options against analytical values... │ │ │ │ +Testing cash-or-nothing double barrier options against Haug's values... │ │ │ │ +Testing cash-or-nothing double barrier options against PDE Heston version... │ │ │ │ +Testing today's fixing... │ │ │ │ +Testing today's fixing with spot as proxy... │ │ │ │ +Testing fixing forecast... │ │ │ │ +Testing fixing forecast without dividend... │ │ │ │ +Testing fixing forecast without spot handle... │ │ │ │ +Testing fixing forecast without spot handle and historical fixing... │ │ │ │ +Testing spot change... │ │ │ │ +Testing error when invalid fixing date is used... │ │ │ │ +Testing error when required fixing is missing... │ │ │ │ +Testing error when interest handle is missing... │ │ │ │ +Testing observability of index fixings... │ │ │ │ +Testing that no error is thrown if today is not a business day... │ │ │ │ +Testing simple equity cash flow... │ │ │ │ +Testing quanto correction... │ │ │ │ +Testing error when base date after fixing date... │ │ │ │ +Testing error when quanto currency curve handle is empty... │ │ │ │ +Testing error when equity vol handle is empty... │ │ │ │ +Testing error when FX vol handle is empty... │ │ │ │ +Testing error when correlation handle is empty... │ │ │ │ +Testing error when market data reference dates are inconsistent... │ │ │ │ +Testing fair margin... │ │ │ │ +Testing error when negative nominal... │ │ │ │ +Testing error when payment calendar is missing... │ │ │ │ +Testing equity leg NPV replication... │ │ │ │ +Testing TRS NPV... │ │ │ │ +Testing European option values... │ │ │ │ +Testing European option greek values... │ │ │ │ +Testing analytic European option greeks... │ │ │ │ +Testing European option implied volatility... │ │ │ │ +Testing European option implied volatility with dividends... │ │ │ │ +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 binomial European engines far out of the money... │ │ │ │ +Testing binomial European engines with a large drift per step... │ │ │ │ +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 finite-differences with local volatility... │ │ │ │ +Testing separate discount curve for analytic European engine... │ │ │ │ +Testing different PDE schemes to solve Black-Scholes PDEs... │ │ │ │ +Testing finite-difference European engine with non-constant parameters... │ │ │ │ +Testing Douglas vs Crank-Nicolson scheme for finite-difference European PDE engines... │ │ │ │ +Testing FFT European engines against analytic results... │ │ │ │ +Testing binomial greeks when the tree collapses to one price... │ │ │ │ +Testing FD vanilla engines with a non-striked payoff... │ │ │ │ +Testing Everest option against cached values... │ │ │ │ +Testing extended Black variance surface at its nodes... │ │ │ │ +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 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 complex direct FFT... │ │ │ │ +Testing convolution via inverse FFT... │ │ │ │ +Testing FFT of size 1 (order 0)... │ │ │ │ +Testing FDM Heston variance mesher... │ │ │ │ +Testing FDM with barrier option in Heston model... │ │ │ │ +Testing FDM with barrier option for Heston model vs Black-Scholes 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 FDM Heston intraday pricing... │ │ │ │ +Testing method of lines to solve Heston PDEs... │ │ │ │ +Testing for spurious oscillations when solving the Heston PDEs... │ │ │ │ +Testing call/put parity for American options under the Heston model... │ │ │ │ +Testing FDM CIR 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... │ │ │ │ +Testing GMRES algorithm... │ │ │ │ +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 Black-Scholes mesher in a high interest rate scenario... │ │ │ │ +Testing Black-Scholes mesher in a low volatility and high discrete dividend scenario... │ │ │ │ +Testing local martingale property of CEV process with PDF... │ │ │ │ +Testing FDM constant elasticity of variance (CEV) operator... │ │ │ │ +Testing FDM SABR operator... │ │ │ │ +Testing FDM CEV pricing with trivial SABR model... │ │ │ │ +Testing FDM SABR vs approximations... │ │ │ │ +Testing Chen, Oosterlee and Weide test case IV... │ │ │ │ +Testing SABR BenchOp problem... │ │ │ │ +Testing that fitted bond curves work as evaluators... │ │ │ │ +Testing fitted bond curve with flat extrapolation... │ │ │ │ +Testing that fitted bond curves require a guess when given an L2 penalty... │ │ │ │ +Testing that fitted bond curves check the guess size when given... │ │ │ │ +Testing that fitted bond curves respect passed constraint... │ │ │ │ +Testing float-float swap calculation of fair spread on leg 1... │ │ │ │ +Testing float-float swap calculation of fair spread on leg 2... │ │ │ │ +Testing float-float swap payer/receiver NPV symmetry... │ │ │ │ +Testing float-float swap fair spread consistency between payer and receiver... │ │ │ │ +Testing float-float swap fair spread calculation with zero BPS... │ │ │ │ +Testing float-float swap fair spread calculation for expired swap... │ │ │ │ +Testing forward option values... │ │ │ │ +Testing forward performance option values... │ │ │ │ +Testing forward option greeks... │ │ │ │ +Testing forward performance option greeks... │ │ │ │ +Testing forward option greeks initialization... │ │ │ │ +Testing forward option MC prices... │ │ │ │ +Testing forward option Heston MC prices... │ │ │ │ +Testing Heston analytic vs MC prices... │ │ │ │ +Testing forward rate agreement construction... │ │ │ │ +Testing factorial numbers... │ │ │ │ +Testing Gamma function... │ │ │ │ +Testing Gamma values... │ │ │ │ +Testing cumulative gamma distribution... │ │ │ │ +Testing modified Bessel function of first and second kind... │ │ │ │ +Testing modified Bessel functions at integer order and large argument... │ │ │ │ +Testing weighted modified Bessel functions... │ │ │ │ +Testing complex valued expm1... │ │ │ │ +Testing complex valued log1p... │ │ │ │ +Testing FX-forward construction... │ │ │ │ +Testing FX-forward construction with rate... │ │ │ │ +Testing FX-forward contracted rate... │ │ │ │ +Testing FX-forward expiry... │ │ │ │ +Testing discounting FX-forward engine... │ │ │ │ +Testing fair forward rate calculation... │ │ │ │ +Testing that an FX forward at-the-money has zero NPV... │ │ │ │ +Testing FX-forward position direction... │ │ │ │ +Testing FX-forward sensitivity to IR curves... │ │ │ │ +Testing FX-forward sensitivity to spot FX... │ │ │ │ +Testing FX-forward additional results... │ │ │ │ +Testing FX-forward settlement days... │ │ │ │ +Testing FX-forward settlement days with calendar... │ │ │ │ +Testing that G2Process drift includes the term-structure shift... │ │ │ │ +Testing G2Process phi(t), shortRate(t, z1, z2), and initialValues... │ │ │ │ +Testing that G2Process::phi matches the G2 model fitting parameter... │ │ │ │ +Testing that G2Process expectation reproduces phi(t)... │ │ │ │ +Testing that G2Process::phi throws without a term structure... │ │ │ │ +Testing that G2Process phi(t) updates when the curve moves... │ │ │ │ +Testing that MultiPathGenerator on G2Process reproduces the curve-implied short-rate expectation... │ │ │ │ +Testing G2ForwardProcess phi(t) and shortRate(t, z1, z2)... │ │ │ │ +Testing GARCH model calibration... │ │ │ │ +Testing GARCH model calculation... │ │ │ │ +Testing Gauss-Jacobi integration... │ │ │ │ +Testing Gauss-Laguerre integration... │ │ │ │ +Testing Gauss-Laguerre integration for large orders... │ │ │ │ +Testing Gauss-Hermite integration... │ │ │ │ +Testing Gauss hyperbolic integration... │ │ │ │ +Testing tabulated Gauss-Laguerre integration... │ │ │ │ +Testing moment-based Gaussian polynomials... │ │ │ │ +Testing Gauss-Laguerre-Cosine quadrature... │ │ │ │ +Testing Gauss non-central chi-squared integration... │ │ │ │ +Testing Gauss non-central chi-squared sum of nodes... │ │ │ │ +Testing multi-dimensional Gaussian quadrature... │ │ │ │ +Testing quadrature weights at high orders... │ │ │ │ +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 GSR process path generation... │ │ │ │ +Testing GSR model when updating quotes... │ │ │ │ +Testing GSR Ibor swaption against Monte Carlo... │ │ │ │ +Testing GSR SOFR swaption against Monte Carlo... │ │ │ │ +Testing GSR payment-lagged SOFR swaption against Monte Carlo... │ │ │ │ +Testing GSR observation-lagged SOFR swaption against Monte Carlo... │ │ │ │ +Testing GSR payment- and observation-lagged SOFR swaption against Monte Carlo... │ │ │ │ +Testing Gaussian1d telescoping with SOFR observation conventions... │ │ │ │ +Testing Gaussian1d observation-shift accrual normalization... │ │ │ │ +Testing Gaussian1dSwaptionEngine with a VanillaSwap built on an overnight index... │ │ │ │ +Testing Gaussian1d engines with SOFR payment lag... │ │ │ │ +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 Monte Carlo Heston engine against cached values... │ │ │ │ +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 MC and FD Heston engines for the Kahl-Jaeckel example... │ │ │ │ +Testing different numerical Heston integration algorithms... │ │ │ │ +Testing multiple-strikes FD Heston engine... │ │ │ │ +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 semi-analytic Heston pricing with all integration methods... │ │ │ │ +Testing Heston COS cumulants... │ │ │ │ +Testing Heston pricing via COS method... │ │ │ │ +Testing Heston pricing via COS method outside truncation bounds... │ │ │ │ +Testing Heston characteristic function... │ │ │ │ +Testing Andersen-Piterbarg method to price under the Heston model... │ │ │ │ +Testing Andersen-Piterbarg Integrand with control variate... │ │ │ │ +Testing Andersen-Piterbarg pricing convergence... │ │ │ │ +Testing piecewise time dependent ChF vs Heston ChF... │ │ │ │ +Testing piecewise time dependent ChF vs Heston ChF... │ │ │ │ +Testing piecewise time dependent ChF vs Heston ChF... │ │ │ │ +Testing small sigma expansion of the characteristic function... │ │ │ │ +Testing small sigma expansion for the exponential fitting Heston engine... │ │ │ │ +Testing exponential fitting Heston engine with high precision results for large moneyness... │ │ │ │ +Testing Heston engine integration signature... │ │ │ │ +Testing optimal control variate choice for the Heston model... │ │ │ │ +Testing Heston asymptotic control variate... │ │ │ │ +Testing Local Volatility pricing from Heston Model... │ │ │ │ +Testing optimal Alpha k_min for characteristic function... │ │ │ │ +Testing optimal Alpha k_min for characteristic function... │ │ │ │ +Testing atmLevel on HestonBlackVolSurface... │ │ │ │ +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 local volatility vs SLV model... │ │ │ │ +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 diffusion and drift of the SLV process... │ │ │ │ +Testing Himalaya option against cached values... │ │ │ │ +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 convergence speed of Heston-Hull-White engine... │ │ │ │ +Testing spatial convergence speed of Heston engine... │ │ │ │ +Testing the Heston Hull-White calibration... │ │ │ │ +Testing the H1-HW approximation engine... │ │ │ │ +Testing observability of index fixings... │ │ │ │ +Testing if index has historical fixings... │ │ │ │ +Testing that interest-rate index tenor is normalized correctly... │ │ │ │ +Testing CustomIborIndex... │ │ │ │ +Testing Brazil CDI forecastFixing... │ │ │ │ +Testing Shir index... │ │ │ │ +Testing zero inflation indices... │ │ │ │ +Testing zero inflation term structure... │ │ │ │ +Testing seasonality correction on zero inflation term structure... │ │ │ │ +Testing that zero inflation indices forecast future fixings... │ │ │ │ +Testing interpolated zero-rate inflation curve... │ │ │ │ +Testing quoted year-on-year inflation indices... │ │ │ │ +Testing that quoted year-on-year inflation indices forecast future fixings... │ │ │ │ +Testing ratio year-on-year inflation indices... │ │ │ │ +Testing that ratio year-on-year inflation indices forecast future fixings... │ │ │ │ +Testing year-on-year inflation term structure... │ │ │ │ +Testing YoY inflation swap fair rate/spread with zero BPS... │ │ │ │ +Testing YoY inflation swap fair rate/spread for expired swap... │ │ │ │ +Testing inflation period... │ │ │ │ +Testing CPI flat interpolation for inflation fixings... │ │ │ │ +Testing CPI linear interpolation for inflation fixings... │ │ │ │ +Testing CPI as-index interpolation for inflation fixings... │ │ │ │ +Testing CPI flat interpolation for year-on-year quoted rates... │ │ │ │ +Testing CPI linear interpolation for year-on-year quoted rates... │ │ │ │ +Testing CPI flat interpolation for year-on-year ratios... │ │ │ │ +Testing CPI linear interpolation for year-on-year ratios... │ │ │ │ +Testing notifications from zero-inflation cash flow... │ │ │ │ +Testing inflation term structure regression when extrapolating... │ │ │ │ +Testing US CPI bootstrap with CPI::Linear across evaluation dates... │ │ │ │ +Testing EU HICP bootstrap with CPI::Flat across evaluation dates... │ │ │ │ +Testing UK RPI bootstrap with CPI::Flat across evaluation dates... │ │ │ │ +Testing US CPI bootstrap with GlobalBootstrap across evaluation dates... │ │ │ │ +Testing CPI::Linear pillar assignment across months of different length... │ │ │ │ +Testing consistency between yoy inflation cap, floor and collar... │ │ │ │ +Testing yoy inflation cap/floor parity... │ │ │ │ +Testing yoy inflation cap repricing when its volatility quote moves... │ │ │ │ +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... │ │ │ │ +Checking cached pricers for CPI bond... │ │ │ │ +Checking CPI leg with or without explicit base CPI fixing... │ │ │ │ +Checking CPI cap/floor against price surface... │ │ │ │ +Checking CPI cap/floor pricer... │ │ │ │ +Checking CPI swap against inflation term structure... │ │ │ │ +Checking CPI swap against zero-coupon inflation swap... │ │ │ │ +Checking CPI swap against CPI bond... │ │ │ │ +Testing CPI swap fair rate/spread calculation with zero BPS... │ │ │ │ +Testing CPI swap fair rate/spread for expired swap... │ │ │ │ +Testing conversion from YoY price surface to YoY volatility surface... │ │ │ │ +Testing conversion from YoY cap-floor surface to YoY inflation term structure... │ │ │ │ +Testing that constant inflation volatility surfaces observe their quote... │ │ │ │ +Testing observability of instruments... │ │ │ │ +Testing reaction of composite instrument to date changes... │ │ │ │ +Testing segment integration... │ │ │ │ +Testing trapezoid integration... │ │ │ │ +Testing mid-point trapezoid integration... │ │ │ │ +Testing Simpson integration... │ │ │ │ +Testing adaptive Gauss-Kronrod integration... │ │ │ │ +Testing adaptive Gauss-Lobatto integration... │ │ │ │ +Testing tanh-sinh integration... │ │ │ │ +Testing exp-sinh integration... │ │ │ │ +Testing Gauss-Legendre integrator... │ │ │ │ +Testing Gauss-Chebyshev integrator... │ │ │ │ +Testing Gauss-Chebyshev 2nd integrator... │ │ │ │ +Testing non-adaptive Gauss-Kronrod integration... │ │ │ │ +Testing two dimensional adaptive Gauss-Lobatto integration... │ │ │ │ +Testing Folin's integral formulae... │ │ │ │ +Testing discrete integral formulae... │ │ │ │ +Testing discrete integrals on degenerate grids... │ │ │ │ +Testing discrete integrator formulae... │ │ │ │ +Testing piecewise integral... │ │ │ │ +Testing exponential integrals... │ │ │ │ +Testing real Ci and Si... │ │ │ │ +Testing limits for Ei... │ │ │ │ +Testing interest-rate conversions... │ │ │ │ +Testing basic behavior of linearly interpolated smile section... │ │ │ │ +Testing extrapolation behavior of linearly interpolated smile section... │ │ │ │ +Testing that linearly interpolated smile section observes its quotes... │ │ │ │ +Testing flat strike extrapolation in interpolated smile section... │ │ │ │ +Testing that creation of interpolated smile section with non-sorted strikes throws... │ │ │ │ +Testing digital option price at strikes large enough to absorb the differencing gap... │ │ │ │ +Testing smile-section density at equity index level strikes, which absorb the differencing gap... │ │ │ │ +Testing that smile-section density honours an explicit gap... │ │ │ │ +Testing spline approximation on Gaussian data sets... │ │ │ │ +Testing spline interpolation on a Gaussian data set... │ │ │ │ +Testing spline interpolation on RPN15A data set... │ │ │ │ +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 N-dimensional cubic spline... │ │ │ │ +Testing use of interpolations as functors... │ │ │ │ +Testing Fritsch-Butland interpolation... │ │ │ │ +Testing Akima interpolation with few points... │ │ │ │ +Testing backward-flat interpolation... │ │ │ │ +Testing forward-flat interpolation... │ │ │ │ +Testing switch point bounds of mixed linear/cubic interpolation... │ │ │ │ +Testing Sabr interpolation... │ │ │ │ +Testing Sabr guess... │ │ │ │ +Testing kernel 1D interpolation... │ │ │ │ +Testing kernel 2D interpolation... │ │ │ │ +Testing bicubic spline derivatives... │ │ │ │ +Testing that bicubic splines actually update... │ │ │ │ +Testing Richardson extrapolation with unknown order of convergence... │ │ │ │ +Testing Richardson extrapolation... │ │ │ │ +Testing no-arbitrage Sabr interpolation... │ │ │ │ +Testing Sabr calibration single cases... │ │ │ │ +Testing Sabr and no-arbitrage Sabr transformation functions... │ │ │ │ +Testing that Andersen SABR formula is smooth close to the ATM level... │ │ │ │ +Testing Le Floc'h Kennedy SABR Example... │ │ │ │ +Testing Lagrange interpolation... │ │ │ │ +Testing Lagrange interpolation at supporting points... │ │ │ │ +Testing Lagrange interpolation derivatives... │ │ │ │ +Testing Lagrange interpolation on Chebyshev nodes... │ │ │ │ +Testing B-Splines... │ │ │ │ +Testing piecewise constant interpolation on a single point... │ │ │ │ +Testing Chebyshev interpolation... │ │ │ │ +Testing Chebyshev interpolation on and around nodes... │ │ │ │ +Testing Y update for Chebyshev interpolation... │ │ │ │ +Testing Laplace interpolation... │ │ │ │ +Testing flat extrapolation of 1-D interpolation... │ │ │ │ +Testing Merton 76 jump-diffusion model for European options... │ │ │ │ +Testing jump-diffusion option greeks... │ │ │ │ +Testing that lazy objects can discard notifications after the first against default... │ │ │ │ +Testing that lazy objects can discard notifications after the first by default... │ │ │ │ +Testing that lazy objects can forward all notifications by default... │ │ │ │ +Testing that lazy objects can forward all notifications against default... │ │ │ │ +Testing that lazy objects manage recursive notifications... │ │ │ │ +Testing that lazy objects forward notifications after a failed calculation... │ │ │ │ +Testing simple covariance models... │ │ │ │ +Testing caplet pricing... │ │ │ │ +Testing calibration of a Libor forward model... │ │ │ │ +Testing forward swap and swaption pricing... │ │ │ │ +Testing caplet LMM process initialisation... │ │ │ │ +Testing caplet LMM lambda bootstrapping... │ │ │ │ +Testing caplet LMM Monte-Carlo caplet pricing... │ │ │ │ +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 Monte Carlo engines for lookback options... │ │ │ │ +Testing random-seed generator... │ │ │ │ +Testing 21200 primitive polynomials modulo two... │ │ │ │ +Testing randomized low-discrepancy sequences up to dimension 21200... │ │ │ │ +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 Sobol sequences up to dimension 21200... │ │ │ │ +Testing Faure sequences... │ │ │ │ +Testing Halton 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 Jaeckel-Sobol discrepancy... │ │ │ │ +Testing Levitan-Sobol discrepancy... │ │ │ │ +Testing Levitan-Lemieux-Sobol discrepancy... │ │ │ │ +Testing unit Sobol discrepancy... │ │ │ │ +Testing Sobol sequence skipping... │ │ │ │ +Testing Sobol Burley sequence skipping... │ │ │ │ +Testing high-dimensional integrals... │ │ │ │ +Testing that the output of Burley 2020 is strictly in (0,1)... │ │ │ │ +Testing European one-asset-for-another option... │ │ │ │ +Testing analytic European exchange option greeks... │ │ │ │ +Testing American one-asset-for-another option... │ │ │ │ +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... │ │ │ │ +Testing exact repricing of inverse floater in forward rate market model... │ │ │ │ +Testing exact repricing of all multi-step products in a lognormal forward rate market model... │ │ │ │ +Testing period-adaptation routines in LIBOR market model... │ │ │ │ +Pricing callable swap with naif exercise strategy in a LIBOR market model... │ │ │ │ +Pricing callable swap with Longstaff-Schwartz 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 caplet deltas in a lognormal forward rate market model using pathwise method... │ │ │ │ +Testing pathwise vegas in a lognormal forward rate market model... │ │ │ │ +Testing pathwise market vegas in a lognormal forward rate market model... │ │ │ │ +Testing Abcd-volatility integration... │ │ │ │ +Testing different implementations of Abcd-volatility... │ │ │ │ +Testing Abcd-volatility fit... │ │ │ │ +Testing exact repricing of forwards and optionlets in a stochastic vol displaced diffusion forward rate 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 SmileSectionUtils with W-shaped smile... │ │ │ │ +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 eigenvalues and eigenvectors calculation... │ │ │ │ +Testing matricial square root... │ │ │ │ +Testing Higham matricial square root... │ │ │ │ +Testing singular value decomposition... │ │ │ │ +Testing QR decomposition... │ │ │ │ +Testing QR solve... │ │ │ │ +Testing LU inverse calculation... │ │ │ │ +Testing LU determinant calculation... │ │ │ │ +Testing orthogonal projections... │ │ │ │ +Testing Cholesky Decomposition... │ │ │ │ +Testing Moore-Penrose inverse... │ │ │ │ +Testing iterative solvers... │ │ │ │ +Testing matrix initializers... │ │ │ │ +Testing sparse matrix memory layout... │ │ │ │ +Testing matrix operators... │ │ │ │ +Testing principal matrix pseudo sqrt... │ │ │ │ +Testing CholeskySolverFor... │ │ │ │ +Testing CholeskySolverFor with incomplete matrix... │ │ │ │ +Testing Householder Transformation... │ │ │ │ +Testing Householder Reflection... │ │ │ │ +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 money comparisons... │ │ │ │ +Testing coupon with multiple compounded resets... │ │ │ │ +Testing coupon with multiple averaged resets... │ │ │ │ +Testing ex-coupon cash flow... │ │ │ │ +Testing multiple-resets leg consistency checks... │ │ │ │ +Testing number of fixing dates in multiple-resets coupons... │ │ │ │ +Testing fair rate of multiple-resets swap... │ │ │ │ +Testing that multiple-resets swap NPV is consistent with legs NPV... │ │ │ │ +Testing averaging vs compounding in multiple-resets swaps... │ │ │ │ +Testing payment lag preservation on conversion to a nonstandard swap... │ │ │ │ +Testing bootstrapping using multiple-resets swap helpers... │ │ │ │ +Testing the swap underlying a multiple-resets swap helper... │ │ │ │ +Testing multiple-resets swap schedules when the maturity is a holiday... │ │ │ │ +Testing multiple-resets swap helper last relevant date... │ │ │ │ +Testing no-arbitrage Sabr absorption matrix... │ │ │ │ +Testing consistency of noarb-sabr with Hagan et al (2002) │ │ │ │ +Testing Black-Scholes cumulative distribution function with constant volatility... │ │ │ │ +Testing Heston cumulative distribution function... │ │ │ │ +Testing illustrative 1D example of normal CLV model... │ │ │ │ +Testing Monte Carlo BS option pricing... │ │ │ │ +Testing double no-touch pricing with normal CLV model... │ │ │ │ +Testing sparse matrix apply... │ │ │ │ +Testing two points first order derivative operator apply on an uniform grid... │ │ │ │ +Testing three points first order derivative operator on an uniform grid... │ │ │ │ +Testing five points first order derivative operator on an uniform grid... │ │ │ │ +Testing two points first order derivative operator on an uniform grid... │ │ │ │ +Testing four points first order derivative operator on an uniform grid... │ │ │ │ +Testing two points first order derivative operator on a 2 dimensional uniform grid... │ │ │ │ +Testing three points second order derivative operator on a non-uniform grid... │ │ │ │ +Testing four points second order derivative operator on a non-uniform grid... │ │ │ │ +Testing four points third order derivative operator on a uniform grid... │ │ │ │ +Testing Heston model option pricing convergence with higher order finite difference operators... │ │ │ │ +Testing Heston option pricing convergence with higher order FDM operators and Richardson Extrapolation... │ │ │ │ +Testing with FirstDerivativeOp on a non-uniform grid... │ │ │ │ +Testing with FirstDerivativeOp on a 2d uniform grid... │ │ │ │ +Testing nine points mixed second order derivative operator on a uniform grid... │ │ │ │ +Testing nth-to-default against Hull-White values with Gaussian copula... │ │ │ │ +Testing nth-to-default against Hull-White values with 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 observable settings... │ │ │ │ +Testing duplicate observer registration... │ │ │ │ +Testing deep update of observers... │ │ │ │ +Testing unregisterWith call on empty observer... │ │ │ │ +Testing addition and deletion of observers during notifyObserver... │ │ │ │ +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 optimizers... │ │ │ │ +Testing nested optimizations... │ │ │ │ +Testing hybrid simulated annealing temperature termination... │ │ │ │ +Testing hybrid simulated annealing iteration termination... │ │ │ │ +Testing hybrid simulated annealing stationary-point termination... │ │ │ │ +Testing L-BFGS-B optimizer... │ │ │ │ +Testing L-BFGS-B with active bounds, corners and pinned coordinates... │ │ │ │ +Testing L-BFGS-B small memory, infeasible start and finite-difference gradient... │ │ │ │ +Testing differential evolution... │ │ │ │ +Testing CMA-ES optimizer... │ │ │ │ +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 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 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 flat term vol surface using OptionletStripper1 class with an overnight index and a payment lag... │ │ │ │ +Testing forward/forward vol stripping from non-flat term vol surface using OptionletStripper1 class with an overnight index and a payment lag... │ │ │ │ +Testing forward/forward vol stripping from flat term vol surface using OptionletStripper1 class with an Ibor index and a payment lag... │ │ │ │ +Testing forward/forward vol stripping from non-flat term vol surface using OptionletStripper1 class with an Ibor index and a payment lag... │ │ │ │ +Testing that Ibor stripping preserves the legacy volatility reference date... │ │ │ │ +Testing ATM adjustment with OptionletStripper2 using an Ibor index and a payment lag... │ │ │ │ +Testing ATM adjustment from a flat term vol curve using OptionletStripper2 with an overnight index and a payment lag... │ │ │ │ +Testing ATM adjustment from a non-flat term vol curve using OptionletStripper2 with an overnight index and a payment lag... │ │ │ │ +Testing that OptionletStripper2 still accepts a front-stub Ibor cap... │ │ │ │ +Testing that OptionletStripper2 rejects an Ibor cap with no optionlets... │ │ │ │ +Testing that OptionletStripper2 still accepts mismatched volatility reference dates... │ │ │ │ +Testing OptionletStripper2 adjustment from zero base volatility... │ │ │ │ +Testing rate for past overnight-indexed coupon... │ │ │ │ +Testing rate for past overnight-indexed coupon with compounded spread... │ │ │ │ +Testing rate for current overnight-indexed coupon... │ │ │ │ +Testing rate for future overnight-indexed coupon... │ │ │ │ +Testing rate for overnight-indexed coupon when today is a holiday... │ │ │ │ +Testing accrued amount in the past for overnight-indexed coupon... │ │ │ │ +Testing accrued amount spanning today for current overnight-indexed coupon... │ │ │ │ +Testing accrued amount in the future for overnight-indexed coupon... │ │ │ │ +Testing accrued amount on a past holiday for overnight-indexed coupon... │ │ │ │ +Testing accrued amount on a future holiday for overnight-indexed coupon... │ │ │ │ +Testing rate for past overnight-indexed coupon with lookback period... │ │ │ │ +Testing rate for past overnight-indexed coupon with lookback period and observation shift... │ │ │ │ +Testing rate for past overnight-indexed coupon with lockout... │ │ │ │ +Testing rate for past overnight-indexed coupon with lookback period, observation shift and lockout... │ │ │ │ +Testing incorrect number of lockout days... │ │ │ │ +Testing rate for future overnight-indexed coupon with lookback period... │ │ │ │ +Testing rate for future overnight-indexed coupon with lookback period and observation shift... │ │ │ │ +Testing rate for future overnight-indexed coupon with lockout... │ │ │ │ +Testing partially accrued amount for future overnight-indexed coupon with lockout... │ │ │ │ +Testing telescopic formula when lookback with observation shift is applied and the index has no fixing delay... │ │ │ │ +Testing error when telescopic value dates enforced with lookback... │ │ │ │ +Testing error when lookback or lockout is applied for simple averaging... │ │ │ │ +Testing Black compounding overnight-indexed coupon pricer... │ │ │ │ +Testing Black averaging overnight-indexed coupon pricer... │ │ │ │ +Testing Black compounding pricer with zero volatility (should match vanilla pricer)... │ │ │ │ +Testing Black averaging pricer with zero volatility (should match vanilla pricer)... │ │ │ │ +Testing basic functionality of overnight leg... │ │ │ │ +Testing overnight leg construction with lookback days... │ │ │ │ +Testing overnight leg construction with lockout days... │ │ │ │ +Testing overnight leg construction with observation shift... │ │ │ │ +Testing overnight leg construction with gearings and spreads... │ │ │ │ +Testing overnight leg NPV... │ │ │ │ +Testing overnight leg with caps and floors... │ │ │ │ +Testing overnight leg construction with simple averaging... │ │ │ │ +Testing error conditions for overnight leg... │ │ │ │ +Testing overnight coupon amount with rounded rate... │ │ │ │ +Testing that an overnight coupon with inconsistent dates throws... │ │ │ │ +Testing compounded interest when an accrual start/end date lands on a fixing holiday... │ │ │ │ +Testing compounded interest when an accrual start/end date lands on a fixing holiday... │ │ │ │ +Test that the expected error is raised when the curve cannot value the coupon... │ │ │ │ +Test ex-coupon accrued amount around the accrual end date... │ │ │ │ +Test ex-coupon accrued amount when ex-coupon date is after the accrual end date... │ │ │ │ +Test rate and accrued amount for in-advance compounding SOFR swaps... │ │ │ │ +Test forward accrued amount when the rate-computation start date lands on a fixing holiday... │ │ │ │ +Testing overnight leg with weekend stub period... │ │ │ │ +Testing Estr-swap calculation of fair fixed rate... │ │ │ │ +Testing Estr-swap calculation of fair floating spread... │ │ │ │ +Testing Estr-swap calculation against cached value... │ │ │ │ +Testing Estr-swap curve building with daily compounded ON rates... │ │ │ │ +Testing Estr-swap curve building with arithmetic average ON rates... │ │ │ │ +Testing Estr-swap curve building with telescopic value dates and DCON rates... │ │ │ │ +Testing Estr-swap curve building with telescopic value dates and AAON rates... │ │ │ │ +Testing Estr-swap curve building with custom pricer... │ │ │ │ +Testing Estr-swap curve building with lookback days... │ │ │ │ +Testing Estr-swap curve building with lookback days and observation shift... │ │ │ │ +Testing Estr-swap curve building with lookback and lockout days... │ │ │ │ +Testing Estr-swap curve building with lookback and lockout days and observation shift... │ │ │ │ +Testing seasoned Estr-swap calculation... │ │ │ │ +Testing 1.16 regression with OIS bootstrap... │ │ │ │ +Testing 1.31 regression with OIS bootstrap... │ │ │ │ +Testing OIS bootstrap when the swap maturity is not a fixing day for the index... │ │ │ │ +Testing different constructors for OIS... │ │ │ │ +Testing cash-flow notifications for OIS... │ │ │ │ +Testing default settlement days in MakeOIS... │ │ │ │ +Testing end-of-month regression in MakeOIS... │ │ │ │ +Testing preservation of overnight conventions when converting to NonstandardSwap... │ │ │ │ +Testing that MakeOIS rejects settlementDays and effectiveDate together... │ │ │ │ +Testing rounding of the compounded rate in overnight-indexed swaps... │ │ │ │ +Testing that the OIS spot date is calculated from the actual evaluation date when the latter is not a business day... │ │ │ │ +Testing that the OIS spot date can be calculated on an explicit settlement calendar... │ │ │ │ +Testing pagoda option against cached values... │ │ │ │ +Testing analytic engine for partial-time barrier option... │ │ │ │ +Testing analytic engine for partial-time put barrier option... │ │ │ │ +Testing put-call symmetry for the partial-time barrier option... │ │ │ │ +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 period operators... │ │ │ │ +Testing conversion of periods to years... │ │ │ │ +Testing conversion of periods to months... │ │ │ │ +Testing conversion of periods to weeks... │ │ │ │ +Testing period normalization... │ │ │ │ +Testing comparison of negative periods... │ │ │ │ +Testing computation of frequency from period... │ │ │ │ +Testing perpetual futures value against analytic form for constant parameters... │ │ │ │ +Testing exact repricing at input tenors... │ │ │ │ +Testing linear variance interpolation between tenors... │ │ │ │ +Testing blackVol derivation from blackVariance... │ │ │ │ +Testing flat-vol extrapolation beyond last tenor... │ │ │ │ +Testing observer notification from SmileSections... │ │ │ │ +Testing strike-dependent smile interpolation... │ │ │ │ +Testing interpolation between tenors with different smiles... │ │ │ │ +Testing makeFromGrid factory method... │ │ │ │ +Testing constructor validation checks... │ │ │ │ +Testing makeFromGrid validation checks... │ │ │ │ +Testing dayCounter, maxDate, minStrike, maxStrike... │ │ │ │ +Testing blackVariance at reference date (t=0)... │ │ │ │ +Testing surface with a single tenor... │ │ │ │ +Testing surface with ragged strike grids across tenors... │ │ │ │ +Testing single-section constructor... │ │ │ │ +Testing equivalence with SABRVolTermStructure... │ │ │ │ +Testing with SVI smile section... │ │ │ │ +Testing FD local-vol pricing from SABR smile surface... │ │ │ │ +Testing SmileSection extraction from BlackVolTermStructure... │ │ │ │ +Testing smileSection() throws on stack-allocated surface... │ │ │ │ +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 regression for at-par FRA... │ │ │ │ +Testing observability of piecewise yield curve... │ │ │ │ +Testing use of today's LIBOR fixings in swap curve... │ │ │ │ +Testing bootstrap over JPY LIBOR swaps... │ │ │ │ +Testing futures rate helpers with act/365 Canadian day counter... │ │ │ │ +Testing instantiation of curves without passing an interpolator... │ │ │ │ +Testing SwapRateHelper last relevant date... │ │ │ │ +Testing SwapRateHelper spot date... │ │ │ │ +Testing bootstrap starting from bad guess... │ │ │ │ +Testing that construction with an explicit bootstrap succeeds... │ │ │ │ +Testing bootstrap with large input rates... │ │ │ │ +Testing global bootstrap... │ │ │ │ +Testing multicurve bootstrap with two piecewise yield curves... │ │ │ │ +Testing multicurve bootstrap with piecewise yield curve and spreaded curve... │ │ │ │ +Testing PiecewiseSpreadYieldCurve... │ │ │ │ +Testing iterative bootstrap with retries... │ │ │ │ +Testing futures rate helpers with custom dates... │ │ │ │ +Testing single-coupon swap rate helpers... │ │ │ │ +Testing DepositRateHelper with custom fixingDate... │ │ │ │ +Testing FraRateHelper with custom dates... │ │ │ │ +Testing dated swap rate helpers... │ │ │ │ +Testing SwapRateHelper with a custom coupon pricer... │ │ │ │ +Testing that rate-helper dates are calculated from the actual evaluation date when the latter is not a business day... │ │ │ │ +Testing the swap underlying a BMA swap-rate helper... │ │ │ │ +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 forward flat interpolation between two dates... │ │ │ │ +Testing backward 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 midEquivalent()... │ │ │ │ +Testing midSafe()... │ │ │ │ +Testing IntervalPrice inspectors... │ │ │ │ +Testing IntervalPrice modifiers... │ │ │ │ +Testing creation of IntervalPrice series... │ │ │ │ +Testing extraction of IntervalPrice values... │ │ │ │ +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 FDM quanto helper... │ │ │ │ +Testing quanto-option values with PDEs... │ │ │ │ +Testing American quanto-option values with PDEs... │ │ │ │ +Testing quanto-double-barrier option values... │ │ │ │ +Testing observability of quotes... │ │ │ │ +Testing observability of quote handles... │ │ │ │ +Testing derived quotes... │ │ │ │ +Testing composite quotes... │ │ │ │ +Testing multi composite quotes... │ │ │ │ +Testing forward-value and implied-standard-deviation quotes... │ │ │ │ +Testing infinite range accrual floaters... │ │ │ │ +Testing price monotonicity with respect to the lower strike... │ │ │ │ +Testing price monotonicity with respect to the upper strike... │ │ │ │ +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 probability density for a BSM process with strike dependent volatility vs local volatility... │ │ │ │ +Testing the mass at zero for a constant elasticity of variance (CEV) process... │ │ │ │ +Testing CDF for a constant elasticity of variance (CEV) process... │ │ │ │ +Testing SmileSectionRNDCalculator on a flat-vol smile against BSMRNDCalculator... │ │ │ │ +Testing SmileSectionRNDCalculator quantile-range saturation... │ │ │ │ +Testing SmileSectionRNDCalculator quantile range at a low at-the-money volatility... │ │ │ │ +Testing SmileSectionRNDCalculator on a Heston-implied smile against HestonRNDCalculator... │ │ │ │ +Testing that SmileSectionRNDCalculator raises when the smile has no atmLevel... │ │ │ │ +Testing that SmileSectionRNDCalculator reproduces the forward across volatility levels... │ │ │ │ +Testing SmileSectionRNDCalculator cdf deep in the left tail... │ │ │ │ +Testing risk measures... │ │ │ │ +Testing Gaussian pseudo-random number generation... │ │ │ │ +Testing Poisson pseudo-random number generation... │ │ │ │ +Testing custom Poisson pseudo-random number generation... │ │ │ │ +Testing known RanLux sequence... │ │ │ │ +Testing fractional Adams scheme against known solutions... │ │ │ │ +Testing product-trapezoidal Riemann-Liouville integration... │ │ │ │ +Testing reusable Riemann-Liouville quadrature weights... │ │ │ │ +Testing that the rough Heston engine drops cached quadrature weights when the Hurst exponent moves... │ │ │ │ +Testing rough Heston engine against the classical Heston engine for H = 0.5... │ │ │ │ +Testing consistency of rough Heston prices across Fourier integration algorithms... │ │ │ │ +Testing rough Heston prices against an independent reference implementation... │ │ │ │ +Testing put-call parity for the rough Heston engine... │ │ │ │ +Testing rough Heston call-price monotonicity, convexity and no-arbitrage bounds... │ │ │ │ +Testing input validation of the rough Heston engine... │ │ │ │ +Testing rough Heston short-maturity skew explosion... │ │ │ │ +Testing rough Heston calibration to a synthetic surface... │ │ │ │ +Testing short- and long-time asymptotics of the Pade Riccati solution... │ │ │ │ +Testing the Pade Riccati solution against the exact solution on the contour where the Riccati equation degenerates... │ │ │ │ +Testing the Pade Riccati solution against the Adams reference... │ │ │ │ +Testing Pade rough Heston prices against the Adams reference... │ │ │ │ +Testing the Pade rough Heston engine against classical Heston for H = 0.5... │ │ │ │ +Testing no-arbitrage bounds of the Pade engine... │ │ │ │ +Testing rough Heston calibration through the fast Pade engine... │ │ │ │ +Testing the sum-of-exponentials approximation of the fractional kernel... │ │ │ │ +Testing convergence of the lifted Riccati solution to the Adams reference... │ │ │ │ +Testing the lifted rough Heston engine against classical Heston for H = 0.5... │ │ │ │ +Testing convergence of lifted rough Heston prices to the Adams reference... │ │ │ │ +Testing rough Heston calibration through the lifted engine... │ │ │ │ +Testing closest decimal rounding... │ │ │ │ +Testing upward decimal rounding... │ │ │ │ +Testing downward decimal rounding... │ │ │ │ +Testing floor decimal rounding... │ │ │ │ +Testing ceiling decimal rounding... │ │ │ │ +Testing schedule with daily frequency... │ │ │ │ +Testing end-of-month adjustment with different conventions... │ │ │ │ +Testing end date for schedule with end-of-month adjustment... │ │ │ │ +Testing that no dates are past the end date with EOM adjustment... │ │ │ │ +Testing that next-to-last date same as end date is removed... │ │ │ │ +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 schedule with first date and EOM adjustments... │ │ │ │ +Testing schedule with next to last date and EOM adjustments... │ │ │ │ +Testing forward schedule with EOM adjustment and effective date and first date in the same month... │ │ │ │ +Testing CDS2015 semi-annual rolling convention... │ │ │ │ +Testing CDS2015 convention against ISDA doc... │ │ │ │ +Testing CDS convention against ISDA doc... │ │ │ │ +Testing old CDS convention... │ │ │ │ +Testing all dates in sample CDS schedule(s) for rule CDS2015... │ │ │ │ +Testing all dates in sample CDS schedule(s) for rule CDS... │ │ │ │ +Testing all dates in sample CDS schedule(s) for rule OldCDS... │ │ │ │ +Testing 0M tenor for CDS2015 where matured... │ │ │ │ +Testing the constructor taking a vector of dates and possibly additional meta information... │ │ │ │ +Testing that a four-weeks tenor works... │ │ │ │ +Testing that Once frequency works... │ │ │ │ +Testing that variations of MakeSchedule always produce a schedule with a start date... │ │ │ │ +Testing short end-of-month schedule... │ │ │ │ +Testing schedule with first date on maturity... │ │ │ │ +Testing schedule with next-to-last date on start date... │ │ │ │ +Testing schedule truncation... │ │ │ │ +Testing that backward schedule marks regular first period correctly when the first date is provided... │ │ │ │ +Testing evaluation-date handling... │ │ │ │ +Testing notifications on evaluation-date change... │ │ │ │ +Testing Hull-White r0 update when the term structure is relinked... │ │ │ │ +Testing extended CIR updates when the term structure is relinked... │ │ │ │ +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 zero-bond pricing for extended CIR model... │ │ │ │ +Testing zero-bond pricing for Vasicek model with small mean reversion... │ │ │ │ +Testing bootstrap over SOFR futures... │ │ │ │ +Testing bootstrap over SOFR futures when third Wednesday falls on Juneteenth... │ │ │ │ +Testing compounded SOFR futures when maturity is a holiday... │ │ │ │ +Testing pillar date support in SOFR futures helpers... │ │ │ │ +Testing that OvernightIndexRateFutureHelper is not notified during bootstrap... │ │ │ │ +Testing the future underlying a SOFR futures helper... │ │ │ │ +Testing soft barrier option pricing against textbook values... │ │ │ │ +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 Halley solver... │ │ │ │ +Testing vanilla option pricing with square-root kernel process... │ │ │ │ +Testing mapping function of the square-root kernel process... │ │ │ │ +Testing statistics... │ │ │ │ +Testing sequence statistics... │ │ │ │ +Testing convergence statistics... │ │ │ │ +Testing incremental statistics... │ │ │ │ +Testing SviSmileSection construction... │ │ │ │ +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 third-Wednesday adjustment... │ │ │ │ +Testing cash-flow notifications for vanilla swap... │ │ │ │ +Testing MakeVanillaSwap fixed-tenor inference with explicit termination date... │ │ │ │ +Testing that MakeVanillaSwap rejects settlementDays and effectiveDate together... │ │ │ │ +Testing that MakeVanillaSwap derives the spot date on the index fixing calendar... │ │ │ │ +Testing that the swap spot date is calculated from the actual evaluation date when the latter is not a business day... │ │ │ │ +Testing that the swap spot date can be calculated on an explicit settlement calendar... │ │ │ │ +Testing vanilla swap fair rate/spread calculation with zero BPS... │ │ │ │ +Testing vanilla swap fair rate/spread for expired swap... │ │ │ │ +Testing forward-rate coinitial-swap Jacobian... │ │ │ │ +Testing forward-rate constant-maturity swap Jacobian... │ │ │ │ +Testing implied swaption vol in LMM using HW approximation... │ │ │ │ +Testing swaption result caching in Black engine... │ │ │ │ +Testing swaption dependency on strike... │ │ │ │ +Testing swaption dependency on spread... │ │ │ │ +Testing swaption treatment of spread... │ │ │ │ +Testing swaption values against cached values... │ │ │ │ +Testing swaption vega... │ │ │ │ +Testing cash settled swaptions modified annuity... │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 31st, 2034 │ │ │ │ + physical delivered swaption npv : 23590.477654677459 annuity : 3714109.6206934201 │ │ │ │ + cash delivered swaption npv : 23596.89481337371 annuity : 3715311.4493770963 │ │ │ │ + npv ratio : 1.0002720232625293 │ │ │ │ + annuity ratio : 1.0003235846020753 │ │ │ │ + difference : 5.1561339545980189e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 31st, 2036 │ │ │ │ + physical delivered swaption npv : 31454.069447372902 annuity : 4957674.1923676403 │ │ │ │ + cash delivered swaption npv : 31459.562817734026 annuity : 4958904.40016782 │ │ │ │ + npv ratio : 1.0001746473654327 │ │ │ │ + annuity ratio : 1.0002481421231904 │ │ │ │ + difference : 7.3494757757641693e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 31st, 2039 │ │ │ │ + physical delivered swaption npv : 41958.022433707862 annuity : 6606182.6551841069 │ │ │ │ + cash delivered swaption npv : 41969.702914903202 annuity : 6608687.9561755089 │ │ │ │ + npv ratio : 1.0002783849313632 │ │ │ │ + annuity ratio : 1.0003792358041199 │ │ │ │ + difference : 0.00010085087275668592 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 31st, 2044 │ │ │ │ + physical delivered swaption npv : 56202.82520101613 annuity : 8856908.8095449284 │ │ │ │ + cash delivered swaption npv : 56212.493784699669 annuity : 8859724.3716943394 │ │ │ │ + npv ratio : 1.0001720302075376 │ │ │ │ + annuity ratio : 1.0003178944494018 │ │ │ │ + difference : 0.00014586424186413538 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 29th, 2029 │ │ │ │ + Swap start date : October 31st, 2029 │ │ │ │ + Swap end date : October 29th, 2049 │ │ │ │ + physical delivered swaption npv : 67329.867994622982 annuity : 10608698.168412276 │ │ │ │ + cash delivered swaption npv : 67344.19121640618 annuity : 10612733.798588047 │ │ │ │ + npv ratio : 1.0002127320639385 │ │ │ │ + annuity ratio : 1.0003804076722427 │ │ │ │ + difference : 0.00016767560830421857 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 31st, 2033 │ │ │ │ + physical delivered swaption npv : 12025.837816478654 annuity : 1446971.0758256691 │ │ │ │ + cash delivered swaption npv : 12023.604942289965 annuity : 1446800.913080181 │ │ │ │ + npv ratio : 0.99981432693316141 │ │ │ │ + annuity ratio : 0.99988240072774714 │ │ │ │ + difference : 6.8073794585732372e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2034 │ │ │ │ + physical delivered swaption npv : 17652.344663353473 annuity : 2117107.4976887726 │ │ │ │ + cash delivered swaption npv : 17655.783349136545 annuity : 2117711.4272307982 │ │ │ │ + npv ratio : 1.0001948005122634 │ │ │ │ + annuity ratio : 1.0002852616329991 │ │ │ │ + difference : 9.0461120735740863e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2036 │ │ │ │ + physical delivered swaption npv : 27991.113678801703 annuity : 3360842.4323426127 │ │ │ │ + cash delivered swaption npv : 27991.090004855396 annuity : 3361203.9989728965 │ │ │ │ + npv ratio : 0.99999915423349783 │ │ │ │ + annuity ratio : 1.0001075821427403 │ │ │ │ + difference : 0.00010842790924248114 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 29th, 2038 │ │ │ │ + physical delivered swaption npv : 37364.384678415758 annuity : 4484692.4269520445 │ │ │ │ + cash delivered swaption npv : 37366.275484143967 annuity : 4485439.9227215741 │ │ │ │ + npv ratio : 1.0000506044926065 │ │ │ │ + annuity ratio : 1.0001666771538305 │ │ │ │ + difference : 0.00011607266122393156 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2041 │ │ │ │ + physical delivered swaption npv : 49816.04967455742 annuity : 5977771.9646017766 │ │ │ │ + cash delivered swaption npv : 49820.168082381097 annuity : 5979201.6373752449 │ │ │ │ + npv ratio : 1.0000826723084344 │ │ │ │ + annuity ratio : 1.0002391648229365 │ │ │ │ + difference : 0.00015649251450211565 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2046 │ │ │ │ + physical delivered swaption npv : 66777.465051164414 annuity : 8014374.9930977216 │ │ │ │ + cash delivered swaption npv : 66780.51705219374 annuity : 8016242.8221297953 │ │ │ │ + npv ratio : 1.0000457040564057 │ │ │ │ + annuity ratio : 1.0002330598497926 │ │ │ │ + difference : 0.00018735579338691188 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2031 │ │ │ │ + Swap start date : October 30th, 2031 │ │ │ │ + Swap end date : October 30th, 2051 │ │ │ │ + physical delivered swaption npv : 80007.659454131077 annuity : 9601058.4106886201 │ │ │ │ + cash delivered swaption npv : 80014.110226805453 annuity : 9603856.8779901415 │ │ │ │ + npv ratio : 1.0000806269389504 │ │ │ │ + annuity ratio : 1.0002914748751457 │ │ │ │ + difference : 0.00021084793619530195 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 31st, 2039 │ │ │ │ + physical delivered swaption npv : 19691.560781858945 annuity : 1648508.4628164654 │ │ │ │ + cash delivered swaption npv : 19699.544794669553 annuity : 1649249.7607376976 │ │ │ │ + npv ratio : 1.0004054535290043 │ │ │ │ + annuity ratio : 1.0004496779591689 │ │ │ │ + difference : 4.4224430164607753e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2041 │ │ │ │ + physical delivered swaption npv : 31259.597508931729 annuity : 2616929.532259163 │ │ │ │ + cash delivered swaption npv : 31272.305844801645 annuity : 2618200.8955182317 │ │ │ │ + npv ratio : 1.0004065418905757 │ │ │ │ + annuity ratio : 1.0004858225043496 │ │ │ │ + difference : 7.9280613773935471e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2043 │ │ │ │ + physical delivered swaption npv : 41726.789993210383 annuity : 3493193.1523053162 │ │ │ │ + cash delivered swaption npv : 41743.772558267963 annuity : 3494944.0952656954 │ │ │ │ + npv ratio : 1.0004069942849747 │ │ │ │ + annuity ratio : 1.0005012442438872 │ │ │ │ + difference : 9.4249958912495657e-05 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Yearsy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2046 │ │ │ │ + physical delivered swaption npv : 55565.197133873953 annuity : 4653532.5607551094 │ │ │ │ + cash delivered swaption npv : 55579.871387453473 annuity : 4655252.0371663496 │ │ │ │ + npv ratio : 1.0002640907319049 │ │ │ │ + annuity ratio : 1.0003694991683825 │ │ │ │ + difference : 0.00010540843647754983 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2051 │ │ │ │ + physical delivered swaption npv : 74515.955728711124 annuity : 6240215.9783460088 │ │ │ │ + cash delivered swaption npv : 74539.73818583462 annuity : 6243000.4860188169 │ │ │ │ + npv ratio : 1.0003191592577847 │ │ │ │ + annuity ratio : 1.0004462197594555 │ │ │ │ + difference : 0.00012706050167077265 │ │ │ │ +swaption.cpp(786): error: in "QuantLibTests/SwaptionTests/testCashSettledSwaptions": │ │ │ │ + The npv's ratio must be equal to annuities ratio │ │ │ │ + Swaption Daysy x Yearsy (underlying swap fixed leg Unadjusted, 30/360) │ │ │ │ + Today : October 28th, 2026 │ │ │ │ + Settlement date : October 30th, 2026 │ │ │ │ + Exercise date : October 28th, 2036 │ │ │ │ + Swap start date : October 30th, 2036 │ │ │ │ + Swap end date : October 30th, 2056 │ │ │ │ + physical delivered swaption npv : 89240.883777789204 annuity : 7475070.38847584 │ │ │ │ + cash delivered swaption npv : 89258.386226204369 annuity : 7477672.5910210377 │ │ │ │ + npv ratio : 1.0001961258973942 │ │ │ │ + annuity ratio : 1.0003481174637778 │ │ │ │ + difference : 0.00015199156638368017 │ │ │ │ +Testing implied volatility for swaptions... │ │ │ │ +Testing implied volatility for overnight-indexed swaptions... │ │ │ │ +Testing swaption delta in Black model... │ │ │ │ +Testing swaption delta in Bachelier model... │ │ │ │ +Testing MakeSwaption with exercise calendar override... │ │ │ │ +Testing MakeSwaption nominal with fixing-date-based constructor... │ │ │ │ +Testing sabr normal volatility... │ │ │ │ +Testing K-F interpolation in a two-pass normal SABR cube... │ │ │ │ +Testing exact SABR ATM calibration with asymmetric smiles... │ │ │ │ +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 interpolation of SABR smile sections... │ │ │ │ +Testing swaption volatility cube (ZABR interpolation)... │ │ │ │ +Testing ZABR swaption volatility cube smile sections... │ │ │ │ +Testing interpolation of ZABR smile section parameters... │ │ │ │ +Testing ZABR swaption volatility cube with gamma != 1.0... │ │ │ │ +Testing ZABR cube with free gamma calibration... │ │ │ │ +Testing that ZABR cube throws for non-zero ATM vol shift... │ │ │ │ +Testing ZABR cube with ZabrShortMaturityNormal kernel... │ │ │ │ +Testing ZABR volatility cube observability... │ │ │ │ +Testing swaption volatility matrix observability... │ │ │ │ +Testing swaption volatility matrix... │ │ │ │ +Testing extended Ornstein-Uhlenbeck process... │ │ │ │ +Testing finite difference mesher for the Kluge model... │ │ │ │ +Testing finite difference pricer for the Kluge model... │ │ │ │ +Testing Black-Scholes vanilla swing option pricing... │ │ │ │ +Testing simple swing option pricing for Kluge model... │ │ │ │ +Testing Kluge PDE Vanilla Pricing in comparison to moment matching... │ │ │ │ +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 linear interpolation of forward rates between two dates... │ │ │ │ +Testing forward flat interpolation of forward rates between two dates... │ │ │ │ +Testing backward flat interpolation of forward rates between two dates... │ │ │ │ +Testing backward flat interpolation of zero rates between two dates... │ │ │ │ +Testing that an underlying curve can be relinked to a null underlying curve... │ │ │ │ +Testing composite zero yield structures... │ │ │ │ +Testing zero-rate calculation for null time-to-reference... │ │ │ │ +Testing TimeGrid construction with additional steps... │ │ │ │ +Testing TimeGrid construction with only mandatory points... │ │ │ │ +Testing TimeGrid construction with time step length determined automatically... │ │ │ │ +Testing TimeGrid construction with n evenly spaced points... │ │ │ │ +Testing that the TimeGrid constructor raises an error for empty iterators... │ │ │ │ +Testing that the TimeGrid constructor raises an error for negative time values... │ │ │ │ +Testing that querying an index by floating-point time works for exact time nodes and throws otherwise... │ │ │ │ +Testing that the returned index is closest to the requested time... │ │ │ │ +Testing that the returned time matches the requested index... │ │ │ │ +Testing that mandatory times are recalled correctly... │ │ │ │ +Testing time series construction... │ │ │ │ +Testing time series interval price... │ │ │ │ +Testing iteration of time series with a default container which sorts by date... │ │ │ │ +Testing usage of a custom container for time series data... │ │ │ │ +Testing inspectors of time series... │ │ │ │ +Testing time series utilities... │ │ │ │ +Testing TQR eigenvalue decomposition... │ │ │ │ +Testing TQR zero-off-diagonal eigenvalues... │ │ │ │ +Testing TQR eigenvector decomposition... │ │ │ │ +Testing tracing... │ │ │ │ +Testing trinomial tree node count stays bounded with a small mandatory time gap... │ │ │ │ +Testing trinomial tree behaviour at the floor activation threshold (dt_i / dt_max = 0.01)... │ │ │ │ +Testing two-asset barrier options against Haug's values... │ │ │ │ +Testing analytic engine for two-asset correlation option... │ │ │ │ +Testing DNB replication of UFR zero annually compounded rates... │ │ │ │ +Testing DNB replication of UFR zero annually compounded rates with rounding... │ │ │ │ +Testing DNB replication of UFR zero continuously compounded rates with rounding... │ │ │ │ +Testing continuous forward rates in extrapolation region... │ │ │ │ +Testing zero rate on the first smoothing point... │ │ │ │ +Testing UFR curve inspectors... │ │ │ │ +Testing exception when the first smoothing point is less than or equal to zero... │ │ │ │ +Testing observability of the UFR curve... │ │ │ │ +Testing variance-gamma model for European options... │ │ │ │ +Testing variance-gamma model integration around zero... │ │ │ │ +Testing variance option with integral Heston engine... │ │ │ │ +Testing variance swap with replicating cost engine... │ │ │ │ +Testing variance swap with Monte Carlo engine... │ │ │ │ +Testing volatility model construction... │ │ │ │ +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 Xoshiro256StarStarUniformRng::nextReal() for mean=0.5 and stddev=1/12... │ │ │ │ +Testing Xoshiro256StarStarUniformRng::nextInt64() against reference implementation in C... │ │ │ │ +Testing Xoshiro256StarStarUniformRng for absence of interaction between instances... │ │ │ │ +Testing the consistency of ZABR interpolation... │ │ │ │ +Testing zero coupon swap valuation... │ │ │ │ +Testing fair fixed payment... │ │ │ │ +Testing fair fixed rate... │ │ │ │ +Testing fixed payment calculation from rate... │ │ │ │ +Testing arguments validation... │ │ │ │ +Testing expected cash flows in legs... │ │ │ │ +Testing ZigguratGaussianRng::nextReal() for mean, variance, skewness and kurtosis... │ │ │ │ +Testing ZigguratGaussianRng::nextReal() accepts a draw that falls in a wedge... │ │ │ │ + │ │ │ │ +Tests completed in 58 m 47 s │ │ │ │ + │ │ │ │ + │ │ │ │ +*** 18 failures are detected in the test module "QuantLibTests" │ │ │ │ +FAIL quantlib-test-suite (exit status: 201) │ │ │ │ +