Re: bermudan swaption, simplex

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/bermudan-swaption-simplex-tp2377p2378.html

At 11:23 AM 2/5/03 +0100, Ferdinando Ametrano wrote:
>Luigi wrote
>>the numerical calibration takes over 10 minutes to complete---which might
>>as well give the impression of hanging (and suggests choosing the
>>analytic calibration for actual work :)
>I am under the impression that the numerical calibration has not been so
>slow in the past. Am I wrong? [Didn't bother to check it with older
>releases yet]

Sad did some work on the framework which made it more robust and fixed a
few bugs. Some part of the increased time is a price we have to pay, I
guess. But I'm not sure that at least part of it could not be
reduced---maybe switching from polymorphism to templates, or trying to
optimize some code. It would be nice to see some profiling... Sad? Any
insights?

Bye,
         Luigi