Re: [Quantlib-dev] market models code

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

I would suggest sticking with valarray. We all know the issue with
resizing now.

best

Mark


2009/11/18 Luigi Ballabio <lui...@gm...>:
> On Tue, 2009-11-17 at 20:09 +1100, Mark joshi wrote:
>> Well all that really needs to be done is changing all the valarrays I
>> changed to deques and timing the testsuite. The only slight subtlety
>> is that the argument orders tend to be different for valarrays.
>
> Ok, done.  I've run the market-model test cases.  On VC9, deque is about
> 1.5 % faster than vector (about 10 seconds out of 10 minutes) and
> valarray is 2.5% faster than deque (another 15 sec.)  Optimizations were
> as specified in release mode.
> With gcc and -O2, it makes hardly any difference in timing.
>
> So what do we do? Do we switch to deque?
>
> Luigi
>
>
> --
>
> The first thing we do, let's kill all the lawyers.
> -- W. Shakespeare, "King Henry VI, Part II"
>
>
>



-- 
Pricing exotic interest rate derivatives - The LIBOR Market Model in
QuantLib June 2009, London,
http://www.moneyscience.com/training/index.html

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