Posted by
Sergey.Andreyev on
URL: http://quantlib.414.s1.nabble.com/Speed-optimization-for-YieldTermStructure-calculations-tp7814.html
Hi,
Please, let me know if there are some solution to the following problem:
I am creating an YieldTermStructure object based on DepositRateHelper and SwapRateHelpers
The creation of the object looks like:
m_YieldTermStructurePtr = YieldTermStructurePtr(
new PiecewiseYieldCurve<ZeroYield,LogLinear>(
m_nSettlementDays,
m_Calendar,
m_RateHelperVec,
m_TermStructureDayCounter,
std::vector<Handle<Quote> >(),
std::vector<Date>(),
m_dTolerance));
Where m_RateHelperVec is a vector of RateHelper objects, every one of them has a dependancy on SimpleQuote object.
This YieldTermStructure used in swap calculations to find a fairRate.
I am doing historical calculations and
for every historical date I am changing SimpleQuotes values and Settings::instance().evaluationDate()
I found that the process of changing the shape of YieldTermStructure via SimpleQuotes mutations takes a lot of cpu time.(It is probably because every benchmark quote notify all observers.) Any suggestions how I can speed
up the update of Quotes,please?
Thanks,
Sergey Andreyev
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