Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Speed-optimization-for-YieldTermStructure-calculations-tp7814p7817.html
On Thu, 2009-08-06 at 08:51 -0400,
[hidden email] wrote:
> 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.
That's probably because when the date changes the SwapRateHelpers
recalculate the schedule of their underlying swaps and re-instantiate
them.
> So, the question changes to: am I using the right call when moving historical date?
It's the right call. I'm afraid there's not much to do except trying to
optimize the code...
Luigi
--
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