Posted by
Sergey.Andreyev on
URL: http://quantlib.414.s1.nabble.com/Speed-optimization-for-YieldTermStructure-calculations-tp7814p7816.html
Thanks Luigi,
I finally made a test and it looks like that you were absolutely right. The main time spent in call
Settings::instance().evaluationDate() = tEvalDate;
The quote update time looks negligible. Even swap->fairRate takes much less time then switching the evalDate.
Test was done for one swap and 365 days of Libor surface.
Results in CPu ticks:
QuotesUpdate 16 ticks
EvalDateUpdate 81663 ticks
FairRateCalc 15385 ticks
Interesting enough that I had a completely different impression when run code in debug mode.
So, the question changes to: am I using the right call when moving historical date?
Thanks,
Sergey Andreyev
RBS Global Banking & Markets
Office: +1 203 897 6224
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Friday, July 31, 2009 9:35 AM
To: Andreyev, Sergey, GBM
Cc:
[hidden email]
Subject: Re: [Quantlib-users] Speed optimization for YieldTermStructure calculations?
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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