Posted by
Bojan Nikolic on
May 01, 2009; 1:48pm
URL: http://quantlib.414.s1.nabble.com/Financial-Software-Performance-Benchmarking-tp7444p7451.html
Jace A Mogill <
[hidden email]> writes:
> QuantLib is very promising due to it's wide use and
> diverse feature set. However, the benchmark that comes
> with it runs 27 different experiments in less than 90
> seconds, and only requires about 20MB of memory. In an
> ideal benchmark, each experiment would take at least
> one minute and would use several GB of memory.
If fact, it is not a bad approximation to real life to simply loop
some of the tests in the quantlib benchmark many times. The reason is
that in practice one often needs to value a large portfolio (say 1000)
of instruments for a wide range of different scenarios (one can easily
get to 10000) and computationally this is similar to simply repeating
the valuations. Further some valuation strategies are actually based
on running many multiple scenarios of simpler models.
Best,
Bojan
--
Bojan Nikolic ||
http://www.bnikolic.co.uk------------------------------------------------------------------------------
Register Now & Save for Velocity, the Web Performance & Operations
Conference from O'Reilly Media. Velocity features a full day of
expert-led, hands-on workshops and two days of sessions from industry
leaders in dedicated Performance & Operations tracks. Use code vel09scf
and Save an extra 15% before 5/3.
http://p.sf.net/sfu/velocityconf_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users