Problem with a list of times

Posted by Perissin Francesco on Oct 01, 2002; 3:06pm
URL: http://quantlib.414.s1.nabble.com/Problem-with-a-list-of-times-tp2221.html

Hi,

I am playing around with QL in order to get the pricing of a range accrual
on interest rates, using the tree pricing on one factor models. I am stuck
because of the following problem: when preparing the list of times to be
given to the model, it seems that the std::list<Time> is not able to sort
them efficiently!!!?!! (after waiting 1 minute, I realized that this much
more cpu consuming that the pricing itself!!)

The list contains no more than 2500 times, i.e. the starting and ending
times of a 5 years daily range accrual. Obviously, many of them are equal,
and should be removed using the unique() method.

The questions are:
+ is it necessary that the tree is built using all of these dates? (they are
relevant in order to calculate the digital options...)
+ is there a way to sort them more efficiently? Maybe I should insert them
in the correct place of the list, one by one?

Thanks

Francesco
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