[Quantlib-dev] sequence statistics

[Mark j. <mar...@gm...>]

I was testing the pathwise vegas class today and was a bit surprised
by the slowness and memory usage.
I eventually tracked the problem down to the SequenceStatistics class;
storing all the values for 32768 paths
was having a severe effect. By eliminating SequenceStatistics, I made
the problem go away.

I do wonder if this is why some of the other market model stuff is
running slow. Do we have alternative classes
for gathering statistics of arrays?

And should we make it possible to choose which statistics measure to
use in the market models code?

mark


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Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com