0.8.1 performances

[moloko]

Hi all,

I'm using the QL lib in a java process via JNI functions ( but not using SWIG ).
While updating from 0.3.4 to 0.8.1 version I've detected a drop in the performance.

Is there some gcc options that can be used ?

Thanks & regards,

Pierre

[Luigi Ballabio]

On Thu, 2008-04-24 at 05:09 -0700, moloko wrote:
> I'm using the QL lib in a java process via JNI functions ( but not using
> SWIG ).
> While updating from 0.3.4 to 0.8.1 version I've detected a drop in the
> performance.
>
> Is there some gcc options that can be used ?

Hi Pierre,
        is the drop related to any particular class, or it's just a general
effect?

Luigi


--

The First Rule of Optimization: Don't do it.
The Second Rule of Optimization (For experts only): Don't do it yet.
-- Michael Jackson



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[moloko]

Hello Luigi,

      I haven't looked in details yet, but I think it concerns implied
      volatility on analytics formulas and americans with FD engines.

      Is the QL lib compiled in debug mode when the compilation is made
      with the ./configure without any specific options ?

      Do I need to use specific option to improve the performances ?

      On VCC the release mode is much more efficient than the debug
      one. Is it the same thing with linux gcc ?

      Regards,

      Pierre
     
LB> Hi Pierre,
LB>         is the drop related to any particular class, or it's just a general
LB> effect?

LB> Luigi





--
Best regards,
 Pierre                            mailto:[hidden email]


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[harshanagesh-3]

Hi,

        I am new user of quantlib. I am looking for calculating the
implies volatility of an american option on a dividend paying stock. I
googled this and found that this was answered way back in 2002. But it
appears the code has changed and I am not able to locate the class
mentioned in the link below. Can anybody tell me what is the correct
class/optimizer to use for calculating the implied vol when I use a
binomial tree for finding american option value.

 http://osdir.com/ml/finance.quantlib.user/2002-02/msg00011.html

Thanks
Harsha

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[Luigi Ballabio]

On Fri, 2008-04-25 at 11:52 -0400, Nagesh, Harsha wrote:
> Can anybody tell me what is the correct
> class/optimizer to use for calculating the implied vol when I use a
> binomial tree for finding american option value.

Harsha,
        you can try using the facilities in
ql/instruments/impliedvolatility.hpp.  Write back to the list if you
need directions on how to use them.

Luigi


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get to keep all our old mistakes.
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[Luigi Ballabio]

Hi Pierre,
        sorry---I seem to have lost track of your email.

On Thu, 2008-04-24 at 23:24 +0200, Pierre Mauchamp wrote:
>       I haven't looked in details yet, but I think it concerns implied
>       volatility on analytics formulas and americans with FD engines.

Hmm. implied volatility was refactored when equity options were, so it
might have lost performance somewhere. Did you try running a profiler?

>       Is the QL lib compiled in debug mode when the compilation is made
>       with the ./configure without any specific options ?

Yes and no. With gcc, debug information and optimization are somewhat
independent. When no options are provided, gcc uses '-g -O2' which adds
debug info to the binaries but at the same time enables most
optimizations.


>       Do I need to use specific option to improve the performances ?

You can try

./configure CXXFLAGS='-O3'

to optimize a bit more.

Luigi


--

Discontent is the first necessity of progress.
-- Thomas A. Edison



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