Hi,
Did you compile the code in the release mode? The performance of the debug mode compilation is pretty slow.
Regards,
Kurt
-----Original Message-----
From: Geonhak Lee <
[hidden email]>
Sent: December 17, 2008 9:08 AM
To:
[hidden email]
Subject: [Quantlib-users] MC Performance
Hello everyone,
I implemented equity derivatives using MC basket multi-path generator.
TimeStep = 506
Num of Simulations = 500
Num of Assets = 3
The codes are as below :
process - 3 correlated BSM process
MultiPathGenerator<rsg_type> * generator = new
MultiPathGenerator<rsg_type>(process, TimeGrid, rsg, false) ;
sample_type sample = generator->next();
The elapsed time is around 4.5s in my pc. My target is to run 10,000
times. In reality, this generator seems very slow. Let me know if you
have a good idea to improve efficiency. Thanks in advance.
Best Regards,
Geonhak Lee
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