Re: Performance question
Posted by
Christopher Targett-Adams on
URL: http://quantlib.414.s1.nabble.com/Performance-question-tp8763p8766.html
Dear all,
Thanks for your responses. It turns out that the root of my problem was actually compiling my .exe in debug mode (using VS). When I compiled in release mode it was x250 quicker and was doing the 13M interpolations in under a second. Which is good. I know there were some additional checks been done in debug mode but I thought I'd diabled them all manually.
I managed to add some of my own interpolation methods into the framework and was impressed with how easy and elegant it was. However, today I've been working on a problem that involves interpolating a curve that is growing by one tenor at a time during a bootstrapping process. For arguments sake lets say it starts of with 10 tenors, I then do a few cubic spline interpolations, add another point (11 in total now), do another few interpolations, add another point, etc etc I tried to incorporate it into the QuantLib interpolation framework but ran into trouble because I couldn't see a way to update the interators in the base interpolation class.
What are people's thoughts on the most elegant solution for this kind of problem?
Cheers,
Chris
> From:
[hidden email]> Date: Thu, 4 Aug 2011 11:34:48 +0200
> Subject: Re: [Quantlib-users] Performance question
> To:
[hidden email]> CC:
[hidden email];
[hidden email]>
> Hi Christopher and all
>
> On Mon, Aug 1, 2011 at 9:19 AM, Bojan Nikolic <
[hidden email]> wrote:
> > Are you sure you're not recreating the curve at every iteration? You
> > should be able to get 10s millions interpolations per second from
> > quantlib when you are correctly re-using the curve.
>
> just to stress that I agree 200% with Bojan. If you experience such a
> slowness you're probably uselessly recreating the interpolation
> objects.
>
> Please let us know if this is the case.
>
> ciao -- Nando
------------------------------------------------------------------------------
BlackBerry® DevCon Americas, Oct. 18-20, San Francisco, CA
The must-attend event for mobile developers. Connect with experts.
Get tools for creating Super Apps. See the latest technologies.
Sessions, hands-on labs, demos & much more. Register early & save!
http://p.sf.net/sfu/rim-blackberry-1_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users