SensitivityPerformancePlusTest Class Reference

Sensitivity Performance tests. More...

#include <test/sensitivityperformanceplus.hpp>

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

Member Function Documentation

testSensiPerformanceBTSetupNoneObs()

static void testSensiPerformanceBTSetupNoneObs ( )

static

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