[Quantlib-users] QuantLib Python vs Cython benchmark performance

[Alix L. <ali...@gm...>]

Hello Luigi and QL-community,

I would like to share some of my findings regarding QuantLib performance in
Python. Over the last few days, I was comparing the speed of SABR formula
run through 3 different ways in Python: 1/ the pure Python implementation
(my benchmark), 2/ the exposed Python function via QuantLib SWIG, and 3/
the same formula compiled through Cython.

I would expect method 3 with Cython to reach the same level of performance
of the usual QuantLib-Python from method 2 with a backend in C++, but I am
surprised to observe Cython is faster than QuantLib-Python by a factor of
around 2 (see attached python script extracted from a notebook).

QuantLib C++ was compiled with the below command
./configure --enable-unity-build --disable-static CC=clang CXX=clang++ CXXFLAGS=
'-O3 -g0 -fPIC'

And then, QuantLib-Python:
./configure PYTHON=/usr/bin/python3 CXXFLAGS='-O3'

I also tried to compile PyQL, and I observed the same level of speed-up.

Should I review the compilation of QuantLb in C++ or SWIG to increase the
performance?

Interested to know any thoughts!

Thanks,
Alix