slow performance QLXL

[gj!!!]

hi all,
 
i have built a spreadsheet which uses the quantlibXL addin
 
it makes use of approx 350 objects. most of them are quote and ratehelper objects. further i have some bond and swap objects.
 
i have a market data feed which updates each 2 minutes. this triggers 3 bootstrapping routines and based on these new curves two small portfolios are recalculated. when i start the feed all goes fine and everything goes relatively fast.
 
however somehow over time the performance and the excelapp stalls. i tried using the CollectGarbageRoutine to try speeding it up but unfortunately to no avail
 
any clues/ideas from the forum-members here?
 
thanks! brgds GJ

[Eric Ehlers-2]

Hi GJ,

Quoting gj!!! <[hidden email]>:

> hi all,
>
> i have built a spreadsheet which uses the quantlibXL addin
>
> it makes use of approx 350 objects. most of them are quote and ratehelper
> objects. further i have some bond and swap objects.
>
> i have a market data feed which updates each 2 minutes. this triggers 3
> bootstrapping routines and based on these new curves two small portfolios
> are recalculated. when i start the feed all goes fine and everything goes
> relatively fast.
>
> however somehow over time the performance and the excelapp stalls. i tried
> using the CollectGarbageRoutine to try speeding it up but unfortunately to
> no avail
>
> any clues/ideas from the forum-members here?

The best I can suggest is to attach a memory profiler to the process  
and see if that sheds some light on the problem.

Regards,
Eric


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[gj!!!]

hi eric,

thanks for your suggestion.

however i am not that familiar with memory profilers...can you give me a pointer how to apply this specific for checking xlls?

further: might using the flags overwrite and/or permanent help???

help very appreciated.

brgds GJ

Eric Ehlers-2 wrote

Hi GJ,

Quoting gj!!! <[e-mail]>:

> hi all,
>
> i have built a spreadsheet which uses the quantlibXL addin
>
> it makes use of approx 350 objects. most of them are quote and ratehelper
> objects. further i have some bond and swap objects.
>
> i have a market data feed which updates each 2 minutes. this triggers 3
> bootstrapping routines and based on these new curves two small portfolios
> are recalculated. when i start the feed all goes fine and everything goes
> relatively fast.
>
> however somehow over time the performance and the excelapp stalls. i tried
> using the CollectGarbageRoutine to try speeding it up but unfortunately to
> no avail
>
> any clues/ideas from the forum-members here?

The best I can suggest is to attach a memory profiler to the process  
and see if that sheds some light on the problem.

Regards,
Eric


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[Piter Dias-4]

GJ,

I saw a similar problem with a XLL that behaves pretty like QuantLibXL. In my case the solution couldn't be more simple. The user was including date and time in the name of object handlers. This way every time a new one was created the old one remained in the memory!

Using a static named solved the problem because in this case the logic of the object handler in that XLL destroyed to object before creating a new one.

I don't know if THE ObjectHandler behaves that way or CollectGarbageRoutine makes a similar job but it worth to try.

In another case the problem was the amount of calculation. I believe someone already had a problem like that:

• Make a complex spreadsheet with complex and (a little) slow formulas, may be depending of each other
• Testing with static data show it is pretty usable (well, sometime light speed)
• We turn on the data feed and the spreadsheet start calculation. You can see that it goes a lot of time to 100% calculated
• For some reason, in some point, it never reaches 100% calculated anymore

I had this problem too but couldn't make a smart solution. When you turn on data feed the data arrives slowly and Excel has time enough to calculated everything. After the all first set of data arrives Excel starts receiving data changes only. Data changes arrives in a much higher frequency and invalidate the calculation dependency that Excel uses. It has to start over and depending of data frequency never reaches 100% calculated.

For this problem we just turn off automatic calculation (lazy solution but we didn't need that sheet on line anyway) but I would try a cache between Excel and data feeder if you could not make manual calculation.
What came in my mind, and never implemented, is subscribe the data feed in a application that sends to Excel. When Excel starts a calculation, somehow, the cache application stop send data change to Excel but keep receiving the latest data from data feeder. When Excel stop calculation it is ready to receive a full set of fresh data (in fact data changed, in order to be faster). Of course this "cache" only saves the latest data and not the whole queue.

I don't know if any of situations applies to you but both occurred with different proprietary XLLs that implement a kind of Object Handler and was linked to real-time data feed.

Regards,


gj!!! escreveu:

hi eric,

thanks for your suggestion.

however i am not that familiar with memory profilers...can you give me a
pointer how to apply this specific for checking xlls?

further: might using the flags overwrite and/or permanent help???

help very appreciated.

brgds GJ


Eric Ehlers-2 wrote:
  

Hi GJ,

Quoting gj!!! [hidden email]:

    

hi all,

i have built a spreadsheet which uses the quantlibXL addin

it makes use of approx 350 objects. most of them are quote and ratehelper
objects. further i have some bond and swap objects.

i have a market data feed which updates each 2 minutes. this triggers 3
bootstrapping routines and based on these new curves two small portfolios
are recalculated. when i start the feed all goes fine and everything goes
relatively fast.

however somehow over time the performance and the excelapp stalls. i
tried
using the CollectGarbageRoutine to try speeding it up but unfortunately
to
no avail

any clues/ideas from the forum-members here?
      

The best I can suggest is to attach a memory profiler to the process  
and see if that sheds some light on the problem.

Regards,
Eric


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