SensitivityPerformancePlusTest Class Reference

Sensitivity Performance tests. More...

#include <test/sensitivityperformanceplus.hpp>

Collaboration diagram for SensitivityPerformancePlusTest:

Static Public Member Functions
static void	testSensiPerformanceNoneObs ()
	Test performance of sensitivities run ("None" observation mode) More...
static void	testSensiPerformanceDisableObs ()
	Test performance of sensitivities run ("Disable" observation mode) More...
static void	testSensiPerformanceDeferObs ()
	Test performance of sensitivities run ("Defer" observation mode) More...
static void	testSensiPerformanceUnregisterObs ()
	Test performance of sensitivities run ("Unregister" observation mode) More...
static void	testSensiPerformanceCrossGammaNoneObs ()
	Test performance of sensitivities run (including cross-gammas) ("None" observation mode) More...
static void	testSensiPerformanceCrossGammaDisableObs ()
	Test performance of sensitivities run (including cross-gammas) ("Disable" observation mode) More...
static void	testSensiPerformanceCrossGammaDeferObs ()
	Test performance of sensitivities run (including cross-gammas) ("Defer" observation mode) More...
static void	testSensiPerformanceCrossGammaUnregisterObs ()
	Test performance of sensitivities run (including cross-gammas) ("Unregister" observation mode) More...
static void	testSensiPerformanceBigScenarioNoneObs ()
	Test performance of sensitivities run with lots of buckets ("None" observation mode) More...
static void	testSensiPerformanceBigScenarioDisableObs ()
	Test performance of sensitivities run with lots of buckets ("Disable" observation mode) More...
static void	testSensiPerformanceBigScenarioDeferObs ()
	Test performance of sensitivities run with lots of buckets ("Defer" observation mode) More...
static void	testSensiPerformanceBigScenarioUnregisterObs ()
	Test performance of sensitivities run with lots of buckets ("Unregister" observation mode) More...
static void	testSensiPerformanceBigPortfolioNoneObs ()
	Test performance of sensitivities run for a large portfolio ("None" observation mode) More...
static void	testSensiPerformanceBigPortfolioDisableObs ()
	Test performance of sensitivities run for a large portfolio ("Disable" observation mode) More...
static void	testSensiPerformanceBigPortfolioDeferObs ()
	Test performance of sensitivities run for a large portfolio ("Defer" observation mode) More...
static void	testSensiPerformanceBigPortfolioUnregisterObs ()
	Test performance of sensitivities run for a large portfolio ("Unregister" observation mode) More...
static void	testSensiPerformanceBigPortfolioBigScenarioNoneObs ()
	Test performance of sensitivities run for a large portfolio, with lots of buckets ("None" observation mode) More...
static void	testSensiPerformanceBigPortfolioBigScenarioDisableObs ()
	Test performance of sensitivities run for a large portfolio, with lots of buckets ("Disable" observation mode) More...
static void	testSensiPerformanceBigPortfolioBigScenarioDeferObs ()
	Test performance of sensitivities run for a large portfolio, with lots of buckets ("Defer" observation mode) More...
static void	testSensiPerformanceBigPortfolioBigScenarioUnregisterObs ()
	Test performance of sensitivities run for a large portfolio, with lots of buckets ("Unregister" observation. More...
static void	testSensiPerformanceBigPortfolioCrossGammaNoneObs ()
	Test performance of sensitivities run (including cross-gammas) for a large portfolio ("None" observation mode) More...
static void	testSensiPerformanceBigPortfolioCrossGammaDisableObs ()
	Test performance of sensitivities run (including cross-gammas) for a large portfolio ("Disable" observation. More...
static void	testSensiPerformanceBigPortfolioCrossGammaDeferObs ()
	Test performance of sensitivities run (including cross-gammas) for a large portfolio ("Defer" observation mode) More...
static void	testSensiPerformanceBigPortfolioCrossGammaUnregisterObs ()
	Test performance of sensitivities run (including cross-gammas) for a large portfolio ("Unregister" observation. More...
static void	testSensiPerformanceBigScenarioCrossGammaNoneObs ()
	Test performance of sensitivities run (including cross-gammas) for a single-trade portfolio, with lots of. More...
static void	testSensiPerformanceBigScenarioCrossGammaDisableObs ()
	Test performance of sensitivities run (including cross-gammas) for a single-trade portfolio, with lots of. More...
static void	testSensiPerformanceBigScenarioCrossGammaDeferObs ()
	Test performance of sensitivities run (including cross-gammas) for a single-trade portfolio, with lots of. More...
static void	testSensiPerformanceBigScenarioCrossGammaUnregisterObs ()
	Test performance of sensitivities run (including cross-gammas) for a single-trade portfolio, with lots of. More...
static void	testSensiPerformanceBigPortfolioBigScenarioCrossGammaNoneObs ()
	Test performance of sensitivities run (including cross-gammas) for a large portfolio, with lots of buckets. More...
static void	testSensiPerformanceBigPortfolioBigScenarioCrossGammaDisableObs ()
	Test performance of sensitivities run (including cross-gammas) for a large portfolio, with lots of buckets. More...
static void	testSensiPerformanceBigPortfolioBigScenarioCrossGammaDeferObs ()
	Test performance of sensitivities run (including cross-gammas) for a large portfolio, with lots of buckets. More...
static void	testSensiPerformanceBigPortfolioBigScenarioCrossGammaUnregisterObs ()
	Test performance of sensitivities run (including cross-gammas) for a large portfolio, with lots of buckets. More...
static void	testSensiPerformanceBTSetupNoneObs ()
static boost::unit_test_framework::test_suite *	suite ()

Detailed Description

Sensitivity Performance tests.

This is a performance test for the zero rate sensitivities generation in ORE+. It is almost identical to the test in ORE, but it instead makes use of oreplus::sensitivity::SensitivityAnalysis (which uses a DeltaScenarioFactory)

Definition at line 37 of file sensitivityperformanceplus.hpp.

Member Function Documentation

testSensiPerformanceNoneObs()

void testSensiPerformanceNoneObs ( )

static

Test performance of sensitivities run ("None" observation mode)

Definition at line 830 of file sensitivityperformanceplus.cpp.

                                                                 {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::None;
    test_performance(false, false, false, false, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceDisableObs()

void testSensiPerformanceDisableObs ( )

static

Test performance of sensitivities run ("Disable" observation mode)

Definition at line 838 of file sensitivityperformanceplus.cpp.

                                                                    {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::Disable;
    test_performance(false, false, false, false, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceDeferObs()

void testSensiPerformanceDeferObs ( )

static

Test performance of sensitivities run ("Defer" observation mode)

Definition at line 846 of file sensitivityperformanceplus.cpp.

                                                                  {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::Defer;
    test_performance(false, false, false, false, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceUnregisterObs()

void testSensiPerformanceUnregisterObs ( )

static

Test performance of sensitivities run ("Unregister" observation mode)

Definition at line 854 of file sensitivityperformanceplus.cpp.

                                                                       {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::Unregister;
    test_performance(false, false, false, false, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceCrossGammaNoneObs()

void testSensiPerformanceCrossGammaNoneObs ( )

static

Test performance of sensitivities run (including cross-gammas) ("None" observation mode)

Definition at line 862 of file sensitivityperformanceplus.cpp.

                                                                           {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::None;
    test_performance(false, false, false, true, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceCrossGammaDisableObs()

static void testSensiPerformanceCrossGammaDisableObs ( )

static

Test performance of sensitivities run (including cross-gammas) ("Disable" observation mode)

testSensiPerformanceCrossGammaDeferObs()

static void testSensiPerformanceCrossGammaDeferObs ( )

static

Test performance of sensitivities run (including cross-gammas) ("Defer" observation mode)

testSensiPerformanceCrossGammaUnregisterObs()

static void testSensiPerformanceCrossGammaUnregisterObs ( )

static

Test performance of sensitivities run (including cross-gammas) ("Unregister" observation mode)

testSensiPerformanceBigScenarioNoneObs()

void testSensiPerformanceBigScenarioNoneObs ( )

static

Test performance of sensitivities run with lots of buckets ("None" observation mode)

Definition at line 870 of file sensitivityperformanceplus.cpp.

                                                                            {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::None;
    test_performance(false, true, false, false, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceBigScenarioDisableObs()

static void testSensiPerformanceBigScenarioDisableObs ( )

static

Test performance of sensitivities run with lots of buckets ("Disable" observation mode)

testSensiPerformanceBigScenarioDeferObs()

static void testSensiPerformanceBigScenarioDeferObs ( )

static

Test performance of sensitivities run with lots of buckets ("Defer" observation mode)

testSensiPerformanceBigScenarioUnregisterObs()

static void testSensiPerformanceBigScenarioUnregisterObs ( )

static

Test performance of sensitivities run with lots of buckets ("Unregister" observation mode)

testSensiPerformanceBigPortfolioNoneObs()

void testSensiPerformanceBigPortfolioNoneObs ( )

static

Test performance of sensitivities run for a large portfolio ("None" observation mode)

Definition at line 878 of file sensitivityperformanceplus.cpp.

                                                                             {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::None;
    test_performance(true, false, false, false, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceBigPortfolioDisableObs()

static void testSensiPerformanceBigPortfolioDisableObs ( )

static

Test performance of sensitivities run for a large portfolio ("Disable" observation mode)

testSensiPerformanceBigPortfolioDeferObs()

static void testSensiPerformanceBigPortfolioDeferObs ( )

static

Test performance of sensitivities run for a large portfolio ("Defer" observation mode)

testSensiPerformanceBigPortfolioUnregisterObs()

static void testSensiPerformanceBigPortfolioUnregisterObs ( )

static

Test performance of sensitivities run for a large portfolio ("Unregister" observation mode)

testSensiPerformanceBigPortfolioBigScenarioNoneObs()

void testSensiPerformanceBigPortfolioBigScenarioNoneObs ( )

static

Test performance of sensitivities run for a large portfolio, with lots of buckets ("None" observation mode)

Definition at line 886 of file sensitivityperformanceplus.cpp.

                                                                                        {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::None;
    test_performance(true, true, false, false, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceBigPortfolioBigScenarioDisableObs()

static void testSensiPerformanceBigPortfolioBigScenarioDisableObs ( )

static

Test performance of sensitivities run for a large portfolio, with lots of buckets ("Disable" observation mode)

testSensiPerformanceBigPortfolioBigScenarioDeferObs()

static void testSensiPerformanceBigPortfolioBigScenarioDeferObs ( )

static

Test performance of sensitivities run for a large portfolio, with lots of buckets ("Defer" observation mode)

testSensiPerformanceBigPortfolioBigScenarioUnregisterObs()

static void testSensiPerformanceBigPortfolioBigScenarioUnregisterObs ( )

static

Test performance of sensitivities run for a large portfolio, with lots of buckets ("Unregister" observation.

testSensiPerformanceBigPortfolioCrossGammaNoneObs()

void testSensiPerformanceBigPortfolioCrossGammaNoneObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a large portfolio ("None" observation mode)

Definition at line 894 of file sensitivityperformanceplus.cpp.

                                                                                       {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::None;
    test_performance(true, false, false, true, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceBigPortfolioCrossGammaDisableObs()

static void testSensiPerformanceBigPortfolioCrossGammaDisableObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a large portfolio ("Disable" observation.

testSensiPerformanceBigPortfolioCrossGammaDeferObs()

static void testSensiPerformanceBigPortfolioCrossGammaDeferObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a large portfolio ("Defer" observation mode)

testSensiPerformanceBigPortfolioCrossGammaUnregisterObs()

static void testSensiPerformanceBigPortfolioCrossGammaUnregisterObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a large portfolio ("Unregister" observation.

testSensiPerformanceBigScenarioCrossGammaNoneObs()

void testSensiPerformanceBigScenarioCrossGammaNoneObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a single-trade portfolio, with lots of.

Definition at line 902 of file sensitivityperformanceplus.cpp.

                                                                                      {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::None;
    test_performance(false, true, false, true, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceBigScenarioCrossGammaDisableObs()

static void testSensiPerformanceBigScenarioCrossGammaDisableObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a single-trade portfolio, with lots of.

testSensiPerformanceBigScenarioCrossGammaDeferObs()

static void testSensiPerformanceBigScenarioCrossGammaDeferObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a single-trade portfolio, with lots of.

testSensiPerformanceBigScenarioCrossGammaUnregisterObs()

static void testSensiPerformanceBigScenarioCrossGammaUnregisterObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a single-trade portfolio, with lots of.

testSensiPerformanceBigPortfolioBigScenarioCrossGammaNoneObs()

void testSensiPerformanceBigPortfolioBigScenarioCrossGammaNoneObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a large portfolio, with lots of buckets.

Definition at line 910 of file sensitivityperformanceplus.cpp.

                                                                                                  {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::None;
    test_performance(true, true, false, true, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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testSensiPerformanceBigPortfolioBigScenarioCrossGammaDisableObs()

static void testSensiPerformanceBigPortfolioBigScenarioCrossGammaDisableObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a large portfolio, with lots of buckets.

testSensiPerformanceBigPortfolioBigScenarioCrossGammaDeferObs()

static void testSensiPerformanceBigPortfolioBigScenarioCrossGammaDeferObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a large portfolio, with lots of buckets.

testSensiPerformanceBigPortfolioBigScenarioCrossGammaUnregisterObs()

static void testSensiPerformanceBigPortfolioBigScenarioCrossGammaUnregisterObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a large portfolio, with lots of buckets.

testSensiPerformanceBTSetupNoneObs()

void testSensiPerformanceBTSetupNoneObs ( )

static

Test performance of sensitivities run (including cross-gammas) for a large portfolio, using the BackTest sensitivity setup

Definition at line 918 of file sensitivityperformanceplus.cpp.

                                                                        {
    boost::timer::cpu_timer timer;
    ObservationMode::Mode om = ObservationMode::Mode::None;
    BT_Benchmark(true, om);
    timer.stop();
    BOOST_TEST_MESSAGE("total time = " << timer.format(boost::timer::default_places, "%w") << " seconds");
}

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suite()

static boost::unit_test_framework::test_suite * suite ( )

static