Posted by
Kurt CB Lee on
URL: http://quantlib.414.s1.nabble.com/MC-Performance-tp6940p6941.html
Hi,
Did you compile the code in the release mode? The performance of the debug mode compilation is pretty slow.
Regards,
Kurt
-----Original Message-----
From: Geonhak Lee <
[hidden email]>
Sent: December 17, 2008 9:08 AM
To:
[hidden email]
Subject: [Quantlib-users] MC Performance
Hello everyone,
I implemented equity derivatives using MC basket multi-path generator.
TimeStep = 506
Num of Simulations = 500
Num of Assets = 3
The codes are as below :
process - 3 correlated BSM process
MultiPathGenerator<rsg_type> * generator = new
MultiPathGenerator<rsg_type>(process, TimeGrid, rsg, false) ;
sample_type sample = generator->next();
The elapsed time is around 4.5s in my pc. My target is to run 10,000
times. In reality, this generator seems very slow. Let me know if you
have a good idea to improve efficiency. Thanks in advance.
Best Regards,
Geonhak Lee
------------------------------------------------------------------------------
SF.Net email is Sponsored by MIX09, March 18-20, 2009 in Las Vegas, Nevada.
The future of the web can't happen without you. Join us at MIX09 to help
pave the way to the Next Web now. Learn more and register at
http://ad.doubleclick.net/clk;208669438;13503038;i?http://2009.visitmix.com/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users------------------------------------------------------------------------------
SF.Net email is Sponsored by MIX09, March 18-20, 2009 in Las Vegas, Nevada.
The future of the web can't happen without you. Join us at MIX09 to help
pave the way to the Next Web now. Learn more and register at
http://ad.doubleclick.net/clk;208669438;13503038;i?http://2009.visitmix.com/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users