Re: Help with MC Simulation performance

Posted by Mathias Zetterqvist on
URL: http://quantlib.414.s1.nabble.com/Help-with-MC-Simulation-performance-tp3992p3994.html

Does QuantLib have any built in functions for profiling?

I looked at mcamericanbasketengine.cpp when i was writing the code and
it's very similar to that one. I don't even do anything with my
simulated paths at the moment, only generate them.

/Mathias

On 8/19/05, Luigi Ballabio <[hidden email]> wrote:

>
> 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
>
>