Posted by
Luigi Ballabio on
Sep 18, 2012; 7:23am
URL: http://quantlib.414.s1.nabble.com/Slow-impliedVolatility-and-NPV-calculation-when-using-Business252-dayCounter-tp200p201.html
While actual/365 just counts days by taking the difference between the
start and end dates, the business/252 day counter has no choice but to
loop over each day and check whether it's a business day or a holiday.
The speed is better in version 1.2, since the day counter caches day
counts for months and years (you might want to switch to that version
if you're still using QuantLib 1.1) but there are still quite a few
calculations done at each call. If that is still too slow, you may
try adding caching results for pairs of dates; that would speed you up
a lot if you're always recalculating the same options. If you do,
please send the patch here and I'll apply it to the repository.
Later,
Luigi
On Tue, Sep 18, 2012 at 8:57 AM, aimz <
[hidden email]> wrote:
>
> I am having a bit of an issue with the speed of calculation. As I need to
> recalculate hundreds of options every few hundred milliseconds it generates
> a problem.
>
> Here is what I do to calculate simple vanilla EuropeanOptions: I use a
> simple BlackConstantVol, a BlackScholesMertonProcess to calculate NPV and
> impliedVolatility.
>
> Question: this process is very fast when I use a Actual365Fixed but VERY
> SLOW when I replace this counter with a Business 252 day counter. Basically
> the calculation takes many orders of magnitudes more.
>
> Note: in both cases I use the correct respective calendar.
>
> What could be the reason as the only diff is the day counter?
> --
> View this message in context:
http://old.nabble.com/Slow-impliedVolatility-and-NPV-calculation-when-using-Business252-dayCounter-tp34446063p34446063.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
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