Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Speed-optimization-for-YieldTermStructure-calculations-tp7814p7815.html
On Fri, 2009-07-24 at 16:19 -0400,
[hidden email] wrote:
> I am creating an YieldTermStructure object based on DepositRateHelper
> and SwapRateHelpers
> 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?
I'd guess it's more the change of evaluation date than the quotes.
May you try running your loop when changing only the evaluation date or
only the quotes? That way you could see what takes the most time...
Luigi
--
There is no likelihood man can ever tap the power of the atom.
-- Robert Millikan, Nobel Prize in Physics, 1923
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