Closed formula suddenly very slow

[Lapin]

Hi,

Does anybody have encountered the following problem:
The closed formula are suddenly very slow.
For example, it takes 10 seconds to calculate option.NPV() for a simple barrier option.
For reference, I have written a pde implmentation on 2 assets, and it takes only 2 seconds.
The issue is it slows down all other processes. My local volatility pricer which was working fine on friday is now deadly slow (I don't have even the patience to see the end of the process).

If someone has any hints I will be very happy to avoid turning crazy.

Thanks

PS: I have tried rebooting the PC, recompiling, compiling in Release (it crashes when I try to use it but this is another story).

[Ferdinando M. Ametrano-3]

Hi Guillaume,

why don't you try to provide more informations?
Are you trying to use the current trunk? which is the latest revision
which was not slow?

ciao -- Nando

On 10/1/07, Yomi <[hidden email]> wrote:

>
> Hi,
>
> Does anybody have encountered the following problem:
> The closed formula are suddenly very slow.
> For example, it takes 10 seconds to calculate option.NPV() for a simple
> barrier option.
> For reference, I have written a pde implmentation on 2 assets, and it takes
> only 2 seconds.
> The issue is it slows down all other processes. My local volatility pricer
> which was working fine on friday is now deadly slow (I don't have even the
> patience to see the end of the process).
>
> If someone has any hints I will be very happy to avoid turning crazy.
>
> Thanks
>
> PS: I have tried rebooting the PC, recompiling, compiling in Release (it
> crashes when I try to use it but this is another story).
> --
> View this message in context: http://www.nabble.com/Closed-formula-suddenly-very-slow-tf4548797.html#a12980653
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2005.
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> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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[Lapin]

Ciao Nando,

Unfortunately I have found the mistake.
Someone on the desk has changed the interpolation method from bilinear to bicubic.
It made the interpolation process longer and so the pricing.
I had to track it down for the full day.

Thanks a lot anyway.

Ferdinando Ametrano wrote

Hi Guillaume,

why don't you try to provide more informations?
Are you trying to use the current trunk? which is the latest revision
which was not slow?

ciao -- Nando

On 10/1/07, Yomi <[e-mail]> wrote:
>
> Hi,
>
> Does anybody have encountered the following problem:
> The closed formula are suddenly very slow.
> For example, it takes 10 seconds to calculate option.NPV() for a simple
> barrier option.
> For reference, I have written a pde implmentation on 2 assets, and it takes
> only 2 seconds.
> The issue is it slows down all other processes. My local volatility pricer
> which was working fine on friday is now deadly slow (I don't have even the
> patience to see the end of the process).
>
> If someone has any hints I will be very happy to avoid turning crazy.
>
> Thanks
>
> PS: I have tried rebooting the PC, recompiling, compiling in Release (it
> crashes when I try to use it but this is another story).
> --
> View this message in context: http://www.nabble.com/Closed-formula-suddenly-very-slow-tf4548797.html#a12980653
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2005.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> _______________________________________________
> QuantLib-users mailing list
> [e-mail]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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