setting evaluation date slowing down computation?

[JURAJ HUSKA]

Hello all,

I use QuantLib in C# code (the swig extension to C#). I need to build discount curves with reference dates going back 10 years (that is, several thousand curves). This is posing some problems as  each call of the function NQuantLib.Settings.Instance().SetEvaluationDate(...) gets longer to complete. Initially, this takes (as one would expect) a split second but each further iteration takes longer and eventually the whole compuation becomes extremely slow.

Any ideas why repeated calls trying to set evaluation date would take longer to respond? I can provide code if anyone thinks it would help.

thanks for any help,

Juraj

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[Luigi Ballabio]

On Thu, 2007-07-05 at 22:36 -0500, JURAJ HUSKA wrote:
> Any ideas why repeated calls trying to set evaluation date would take
> longer to respond? I can provide code if anyone thinks it would help.

Yes, please do.

Luigi


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