Merge pull request #1057.

Reduce run time for longest-running test cases.
lballabio · Feb 28, 2021 · f69b36c · f69b36c
2 parents 9aa5cfb + dc82ea9
commit f69b36c
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Showing 26 changed files with 316 additions and 259 deletions.
diff --git a/.github/workflows/test-times.yml b/.github/workflows/test-times.yml
@@ -0,0 +1,38 @@
+name: Check test times
+on: [push, pull_request]
+jobs:
+  check-test-times:
+    runs-on: ubuntu-20.04
+    steps:
+    - uses: actions/checkout@v2
+    - name: Cache
+      uses: actions/cache@v2
+      with:
+        path: ~/.ccache
+        key: linux-build-times-${{ github.ref }}-${{ github.head_ref }}-${{ hashFiles('**/*.hpp', '**/*.cpp') }}
+        restore-keys: |
+          linux-build-times-${{ github.ref }}-${{ github.head_ref }}-
+          linux-build-times-${{ github.ref }}-
+          linux-build-times-refs/heads/master-
+          linux-build-times-
+    - name: Setup
+      run: |
+        sudo apt install -y libboost-all-dev autoconf automake libtool ccache
+    - name: Build
+      run: |
+        ./autogen.sh
+        ./configure --disable-static CC="ccache gcc" CXX="ccache g++" CXXFLAGS="-O2 -g0"
+        make -j 2
+    - name: Run tests
+      run: |
+        ./test-suite/quantlib-test-suite --logger=JUNIT,warning,faster.xml:HRF,message -- --faster
+        ./test-suite/quantlib-test-suite --logger=JUNIT,warning,fast.xml:HRF,message -- --fast
+        ./test-suite/quantlib-test-suite --logger=JUNIT,warning,all.xml:HRF,message
+    - name: Save test times
+      uses: actions/upload-artifact@v2
+      with:
+        name: test-reports
+        path: ./all.xml
+    - name: Check test times
+      run: |
+        python ./tools/check_test_times.py
diff --git a/test-suite/americanoption.cpp b/test-suite/americanoption.cpp
@@ -604,21 +604,20 @@ void AmericanOptionTest::testFDShoutNPV() {
     }
 }
 
-test_suite* AmericanOptionTest::suite() {
+test_suite* AmericanOptionTest::suite(SpeedLevel speed) {
     auto* suite = BOOST_TEST_SUITE("American option tests");
-    suite->add(
-        QUANTLIB_TEST_CASE(&AmericanOptionTest::testBaroneAdesiWhaleyValues));
-    suite->add(
-        QUANTLIB_TEST_CASE(&AmericanOptionTest::testBjerksundStenslandValues));
-    // FLOATING_POINT_EXCEPTION
+
+    suite->add(QUANTLIB_TEST_CASE(&AmericanOptionTest::testBaroneAdesiWhaleyValues));
+    suite->add(QUANTLIB_TEST_CASE(&AmericanOptionTest::testBjerksundStenslandValues));
     suite->add(QUANTLIB_TEST_CASE(&AmericanOptionTest::testJuValues));
-    // FLOATING_POINT_EXCEPTION
     suite->add(QUANTLIB_TEST_CASE(&AmericanOptionTest::testFdValues));
-    // FLOATING_POINT_EXCEPTION
     suite->add(QUANTLIB_TEST_CASE(&AmericanOptionTest::testFdAmericanGreeks));
-    // FLOATING_POINT_EXCEPTION
-    suite->add(QUANTLIB_TEST_CASE(&AmericanOptionTest::testFdShoutGreeks));
     suite->add(QUANTLIB_TEST_CASE(&AmericanOptionTest::testFDShoutNPV));
+
+    if (speed <= Fast) {
+        suite->add(QUANTLIB_TEST_CASE(&AmericanOptionTest::testFdShoutGreeks));
+    }
+
     return suite;
 }
 
diff --git a/test-suite/americanoption.hpp b/test-suite/americanoption.hpp
@@ -23,6 +23,7 @@
 #define quantlib_test_american_option_hpp
 
 #include <boost/test/unit_test.hpp>
+#include "speedlevel.hpp"
 
 /* remember to document new and/or updated tests in the Doxygen
    comment block of the corresponding class */
@@ -36,7 +37,7 @@ class AmericanOptionTest {
     static void testFdAmericanGreeks();
     static void testFdShoutGreeks();
     static void testFDShoutNPV();
-    static boost::unit_test_framework::test_suite* suite();
+    static boost::unit_test_framework::test_suite* suite(SpeedLevel);
 };
 
 

diff --git a/test-suite/asianoptions.cpp b/test-suite/asianoptions.cpp
@@ -514,15 +514,23 @@ void testDiscreteGeometricAveragePriceHeston(const ext::shared_ptr<PricingEngine
 
     // data from "A Recursive Method for Discretely Monitored Geometric Asian Option
     // Prices", Kim, Kim, Kim & Wee, Bull. Korean Math. Soc. 53, 733-749, 2016
-    int days[] =    {30, 91, 182, 365, 730, 1095, 30, 91, 182, 365, 730, 1095, 30,
-                      91, 182, 365, 730, 1095};
-    Real strikes[] = {90, 90, 90, 90, 90, 90, 100, 100, 100, 100, 100, 100, 110,
-                      110, 110, 110, 110, 110};
+    int days[] = {
+        30, 91, 182, 365, 730, 1095,
+        30, 91, 182, 365, 730, 1095,
+        30, 91, 182, 365, 730, 1095
+    };
+    Real strikes[] = {
+        90, 90, 90, 90, 90, 90,
+        100, 100, 100, 100, 100, 100,
+        110, 110, 110, 110, 110, 110
+    };
 
     // Prices from Tables 1, 2 and 3
-    Real prices[] =  {10.2732, 10.9554, 11.9916, 13.6950, 16.1773, 18.0146, 2.4389,
-                      3.7881, 5.2132, 7.2243, 9.9948, 12.0639, 0.1012, 0.5949, 1.4444,
-                      2.9479, 5.3531, 7.3315};
+    Real prices[] = {
+        10.2732, 10.9554, 11.9916, 13.6950, 16.1773, 18.0146,
+        2.4389, 3.7881, 5.2132, 7.2243, 9.9948, 12.0639,
+        0.1012, 0.5949, 1.4444, 2.9479, 5.3531, 7.3315
+    };
 
     DayCounter dc = Actual365Fixed();
     Date today = Settings::instance().evaluationDate();
@@ -616,9 +624,11 @@ void AsianOptionTest::testMCDiscreteGeometricAveragePriceHeston() {
 
     // 30-day options need wider tolerance due to uncertainty around what "weekly
     // fixing" dates mean over a 30-day month!
-    Real tol[] =     {4.0e-2, 2.0e-2, 2.0e-2, 3.0e-2, 3.0e-2, 2.0e-2, 1.0e-1, 1.0e-2,
-                      2.0e-2, 2.0e-2, 2.0e-2, 1.0e-2, 2.0e-2, 1.0e-2, 1.0e-2, 1.0e-2,
-                      1.0e-2, 1.0e-2};
+    Real tol[] = {
+        4.0e-2, 2.0e-2, 2.0e-2, 3.0e-2, 3.0e-2, 6.0e-2,
+        1.0e-1, 1.0e-2, 2.0e-2, 2.0e-2, 4.0e-2, 6.0e-2,
+        2.0e-2, 1.0e-2, 1.0e-2, 1.0e-2, 4.0e-2, 6.0e-2
+    };
 
     DayCounter dc = Actual365Fixed();
     Date today = Settings::instance().evaluationDate();
@@ -641,7 +651,7 @@ void AsianOptionTest::testMCDiscreteGeometricAveragePriceHeston() {
 
     ext::shared_ptr<PricingEngine> engine =
         MakeMCDiscreteGeometricAPHestonEngine<LowDiscrepancy>(hestonProcess)
-        .withSamples(65535)
+        .withSamples(32767)
         .withSeed(43);
 
     testDiscreteGeometricAveragePriceHeston(engine, tol);
@@ -965,7 +975,7 @@ void AsianOptionTest::testMCDiscreteArithmeticAveragePriceHeston() {
         ext::shared_ptr<PricingEngine> engine =
             MakeMCDiscreteArithmeticAPHestonEngine<LowDiscrepancy>(hestonProcess)
                 .withSeed(42)
-                .withSamples(32768);
+                .withSamples(8191);
 
         DiscreteAveragingAsianOption option(averageType, runningSum,
                                             pastFixings, fixingDates,
@@ -989,7 +999,7 @@ void AsianOptionTest::testMCDiscreteArithmeticAveragePriceHeston() {
             MakeMCDiscreteArithmeticAPHestonEngine<LowDiscrepancy>(hestonProcess)
                 .withSeed(42)
                 .withSteps(48)
-                .withSamples(8192)
+                .withSamples(8191)
                 .withControlVariate(true);
 
         option.setPricingEngine(engine2);
@@ -1039,14 +1049,14 @@ void AsianOptionTest::testMCDiscreteArithmeticAveragePriceHeston() {
     ext::shared_ptr<PricingEngine> engine3 =
         MakeMCDiscreteArithmeticAPHestonEngine<LowDiscrepancy>(hestonProcess2)
             .withSeed(42)
-            .withSteps(360)
-            .withSamples(32768);
+            .withSteps(180)
+            .withSamples(32767);
 
     ext::shared_ptr<PricingEngine> engine4 =
         MakeMCDiscreteArithmeticAPHestonEngine<LowDiscrepancy>(hestonProcess2)
             .withSeed(42)
-            .withSteps(360)
-            .withSamples(16384)
+            .withSteps(180)
+            .withSamples(16383)
             .withControlVariate(true);
 
     std::vector<Date> fixingDates(120);
@@ -1057,7 +1067,7 @@ void AsianOptionTest::testMCDiscreteArithmeticAveragePriceHeston() {
     ext::shared_ptr<Exercise> exercise(new
         EuropeanExercise(fixingDates[119]));
 
-    for (Size i=0; i<5; i++) {
+    for (Size i=0; i<LENGTH(prices); i++) {
         Real strike = strikes[i];
         Real expected = prices[i];
 
@@ -1070,7 +1080,7 @@ void AsianOptionTest::testMCDiscreteArithmeticAveragePriceHeston() {
 
         option.setPricingEngine(engine3);
         Real calculated = option.NPV();
-        Real tolerance = 5.0e-2;
+        Real tolerance = 6.0e-2;
 
         if (std::fabs(calculated-expected) > tolerance) {
             REPORT_FAILURE("value", averageType, runningSum, pastFixings,
@@ -1984,46 +1994,41 @@ void AsianOptionTest::testAnalyticContinuousGeometricAveragePriceHeston() {
 
 }
 
-test_suite* AsianOptionTest::suite() {
+test_suite* AsianOptionTest::suite(SpeedLevel speed) {
     auto* suite = BOOST_TEST_SUITE("Asian option tests");
 
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testAnalyticContinuousGeometricAveragePrice));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testAnalyticContinuousGeometricAveragePriceGreeks));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testAnalyticDiscreteGeometricAveragePrice));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testAnalyticDiscreteGeometricAverageStrike));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testMCDiscreteGeometricAveragePrice));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testMCDiscreteGeometricAveragePriceHeston));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testMCDiscreteArithmeticAveragePrice));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testMCDiscreteArithmeticAveragePriceHeston));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testMCDiscreteArithmeticAverageStrike));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testAnalyticDiscreteGeometricAveragePriceGreeks));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testPastFixings));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testAllFixingsInThePast));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testAnalyticContinuousGeometricAveragePrice));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testAnalyticContinuousGeometricAveragePriceGreeks));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testAnalyticDiscreteGeometricAveragePrice));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testAnalyticDiscreteGeometricAverageStrike));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testMCDiscreteGeometricAveragePrice));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testMCDiscreteArithmeticAverageStrike));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testAnalyticDiscreteGeometricAveragePriceGreeks));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testPastFixings));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testAllFixingsInThePast));
+
+    if (speed <= Fast) {
+        suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testMCDiscreteArithmeticAveragePrice));
+    }
+
+    if (speed == Slow) {
+        suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testMCDiscreteGeometricAveragePriceHeston));
+        suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testMCDiscreteArithmeticAveragePriceHeston));
+    }
 
     return suite;
 }
 
-test_suite* AsianOptionTest::experimental() {
+test_suite* AsianOptionTest::experimental(SpeedLevel speed) {
     auto* suite = BOOST_TEST_SUITE("Asian option experimental tests");
     suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testLevyEngine));
     suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testVecerEngine));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testAnalyticContinuousGeometricAveragePriceHeston));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testAnalyticDiscreteGeometricAveragePriceHeston));
-    suite->add(QUANTLIB_TEST_CASE(
-        &AsianOptionTest::testDiscreteGeometricAveragePriceHestonPastFixings));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testAnalyticContinuousGeometricAveragePriceHeston));
+    suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testAnalyticDiscreteGeometricAveragePriceHeston));
+
+    if (speed <= Fast) {
+        suite->add(QUANTLIB_TEST_CASE(&AsianOptionTest::testDiscreteGeometricAveragePriceHestonPastFixings));
+    }
+
     return suite;
 }
diff --git a/test-suite/asianoptions.hpp b/test-suite/asianoptions.hpp
@@ -23,6 +23,7 @@
 #define quantlib_test_asian_options_hpp
 
 #include <boost/test/unit_test.hpp>
+#include "speedlevel.hpp"
 
 /* remember to document new and/or updated tests in the Doxygen
    comment block of the corresponding class */
@@ -46,8 +47,8 @@ class AsianOptionTest {
     static void testAllFixingsInThePast();
     static void testLevyEngine();
     static void testVecerEngine();
-    static boost::unit_test_framework::test_suite* suite();
-    static boost::unit_test_framework::test_suite* experimental();
+    static boost::unit_test_framework::test_suite* suite(SpeedLevel);
+    static boost::unit_test_framework::test_suite* experimental(SpeedLevel);
 };
 
 

diff --git a/test-suite/brownianbridge.cpp b/test-suite/brownianbridge.cpp
@@ -173,7 +173,7 @@ void BrownianBridgeTest::testPathGeneration() {
 
     Size N = times.size();
 
-    Size samples = 262143;
+    Size samples = 131071;
     unsigned long seed = 42;
     SobolRsg sobol(N, seed);
     InverseCumulativeRsg<SobolRsg,InverseCumulativeNormal> gsg(sobol);
@@ -218,7 +218,7 @@ void BrownianBridgeTest::testPathGeneration() {
     std::vector<Real> mean = stats2.mean();
     Matrix covariance = stats2.covariance();
 
-    Real meanTolerance = 1.5e-5;
+    Real meanTolerance = 3.0e-5;
     Real covTolerance = 3.0e-3;
 
     Real maxMeanError = maxRelDiff(mean.begin(), mean.end(),

diff --git a/test-suite/distributions.cpp b/test-suite/distributions.cpp
@@ -760,19 +760,13 @@ test_suite* DistributionTest::suite(SpeedLevel speed) {
     suite->add(QUANTLIB_TEST_CASE(&DistributionTest::testBivariate));
     suite->add(QUANTLIB_TEST_CASE(&DistributionTest::testPoisson));
     suite->add(QUANTLIB_TEST_CASE(&DistributionTest::testCumulativePoisson));
-    suite->add(QUANTLIB_TEST_CASE(
-                            &DistributionTest::testInverseCumulativePoisson));
-    suite->add(QUANTLIB_TEST_CASE(
-                          &DistributionTest::testBivariateCumulativeStudent));
-    suite->add(QUANTLIB_TEST_CASE(
-                   &DistributionTest::testInvCDFviaStochasticCollocation));
-
-    suite->add(QUANTLIB_TEST_CASE(
-                   &DistributionTest::testSankaranApproximation));
-
-    if (speed <= Fast) {
-        suite->add(QUANTLIB_TEST_CASE(
-            &DistributionTest::testBivariateCumulativeStudentVsBivariate));
+    suite->add(QUANTLIB_TEST_CASE(&DistributionTest::testInverseCumulativePoisson));
+    suite->add(QUANTLIB_TEST_CASE(&DistributionTest::testBivariateCumulativeStudent));
+    suite->add(QUANTLIB_TEST_CASE(&DistributionTest::testInvCDFviaStochasticCollocation));
+    suite->add(QUANTLIB_TEST_CASE(&DistributionTest::testSankaranApproximation));
+
+    if (speed == Slow) {
+        suite->add(QUANTLIB_TEST_CASE(&DistributionTest::testBivariateCumulativeStudentVsBivariate));
     }
 
     return suite;

diff --git a/test-suite/doublebarrieroption.cpp b/test-suite/doublebarrieroption.cpp
@@ -595,7 +595,7 @@ void DoubleBarrierOptionTest::testMonteCarloDoubleBarrierWithAnalytical() {
 
     ext::shared_ptr<PricingEngine> mcdoublebarrierengine;
     mcdoublebarrierengine = MakeMCDoubleBarrierEngine<PseudoRandom>(bsmProcess)
-        .withSteps(10000)
+        .withSteps(5000)
         .withAntitheticVariate()
         .withAbsoluteTolerance(0.5)
         .withSeed(1);
@@ -618,18 +618,20 @@ void DoubleBarrierOptionTest::testMonteCarloDoubleBarrierWithAnalytical() {
     knockOutDoubleBarrierOption.setPricingEngine(analyticdoublebarrierengine);
     analytical = knockOutDoubleBarrierOption.NPV();
 
+    tolerance = 0.01;
+
     mcdoublebarrierengine = MakeMCDoubleBarrierEngine<PseudoRandom>(bsmProcess)
         .withSteps(10000)
         .withAntitheticVariate()
-        .withAbsoluteTolerance(0.005)
-        .withSeed(3);
+        .withAbsoluteTolerance(tolerance)
+        .withSeed(10);
     knockOutDoubleBarrierOption.setPricingEngine(mcdoublebarrierengine);
     monteCarlo = knockOutDoubleBarrierOption.NPV();
 
-    percentageDiff = std::abs(analytical - monteCarlo) / analytical;
+    Real diff = std::abs(analytical - monteCarlo);
 
-    if (percentageDiff > tolerance){
-        REPORT_FAILURE_DOUBLE_BARRIER_MC(analytical, monteCarlo, percentageDiff);
+    if (diff > tolerance){
+        REPORT_FAILURE_DOUBLE_BARRIER_MC(analytical, monteCarlo, diff);
     }
 
 }
@@ -638,18 +640,19 @@ test_suite* DoubleBarrierOptionTest::suite(SpeedLevel speed) {
     auto* suite = BOOST_TEST_SUITE("DoubleBarrier");
 
     if (speed <= Fast) {
-        suite->add(QUANTLIB_TEST_CASE(
-            &DoubleBarrierOptionTest::testEuropeanHaugValues));
+        suite->add(QUANTLIB_TEST_CASE(&DoubleBarrierOptionTest::testEuropeanHaugValues));
     }
 
     return suite;
 }
 
-test_suite* DoubleBarrierOptionTest::experimental() {
+test_suite* DoubleBarrierOptionTest::experimental(SpeedLevel speed) {
     auto* suite = BOOST_TEST_SUITE("DoubleBarrier_experimental");
-    suite->add(QUANTLIB_TEST_CASE(
-                      &DoubleBarrierOptionTest::testVannaVolgaDoubleBarrierValues));
-    suite->add(QUANTLIB_TEST_CASE(
-                   &DoubleBarrierOptionTest::testMonteCarloDoubleBarrierWithAnalytical));
+    suite->add(QUANTLIB_TEST_CASE(&DoubleBarrierOptionTest::testVannaVolgaDoubleBarrierValues));
+
+    if (speed == Slow) {
+        suite->add(QUANTLIB_TEST_CASE(&DoubleBarrierOptionTest::testMonteCarloDoubleBarrierWithAnalytical));
+    }
+
     return suite;
 }