Re: Help with MC Simulation performance

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Help-with-MC-Simulation-performance-tp3992p3993.html

On 08/18/2005 11:36:37 AM, Mathias Zetterqvist wrote:

>
> Im using Quantlib for doing some MC simulations.
> [...]
> This working fine and I'm getting the paths and can use them. But we
> are having some perfomance issue, it takes about 1350 millisec to
> generate 100 paths (5 assets and a gridsize of 90) on a fairly new
> computer. This will take to long time when we wan't to increase the
> number of paths.
>
> Does anyone have any ideas how to improve speed?

Mathias,
        can you profile the code and see where the bottleneck is?

Later,
        Luigi

----------------------------------------

Call on God, but row away from the rocks.
-- Indian proverb