Why does DayCounter Business252 blow up thepricing time
Posted by
Piter Dias-4 on
URL: http://quantlib.414.s1.nabble.com/Why-does-DayCounter-Business252-blow-up-the-pricing-time-tp852p857.html
What worried me was Business252 calculated the price of the option with time to maturity 7 days and 1 year with nearly same time frame. I would have expected it to vary a lot.
I made some tests here and the performance changed linearly with time frame, what is expected due to algorithm implemented. Each 1000 days added 0.009s to dayCount call.
Changing the way that holidays are stored may increase the performance, perhaps it may increase memory use and add a setup time. By the way, I wrote the (slow) businessDaysBetween method that is slowing down your project.
Regards,
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