[Quantlib-users] Sqrt of large correlation matrix

[ian_dfw <ian...@ya...>]

I am a risk manager and trying to run Monte Carolo sim for a large number of
issues. So far I have a 4000 x 4000 correlation matrix. With rankreducedSqrt
function with Spectral and 100% retention, it took 3 hrs to complete the
calculation.  Am I doing this the most efficient way? Is there anyway to
improve performance wise?  Thanks.  Following is the code:

rankReducedSqrt(*corr_mat, 4000, 1.0, SalvagingAlgorithm::Spectral);



--
View this message in context: http://quantlib.10058.n7.nabble.com/Sqrt-of-large-correlation-matrix-tp17596.html
Sent from the quantlib-users mailing list archive at Nabble.com.