[Quantlib-users] SOFR SwapRateHelpers - slow ?

[Suhas G. <suh...@gm...>]

While building SOFR curve for discounting, I am noticing that creating
SwapRateHelper gets progressively slower. Below is my test case and the
output. There is also comparison with USDLibor 3M where I do not see this
behavior. I wonder if I am doing something wrong in creating Sofr index.
Any help is appreciated.
 Thanks.

#include <catch.hpp>
#include <ql/indexes/ibor/sofr.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/instruments/forwardrateagreement.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/utilities/dataparsers.hpp>
#include <string>
#include <iostream>

using namespace QuantLib;

TEST_CASE("sofr curvebuilder build test") {

  Settings::instance().evaluationDate() = Date(16,August,2021);

  std::vector<std::string> periods {"1M","2M","3M","4M","5M","6M","9M","1Y",
                                   "18M","2Y","3Y","4Y","5Y","7Y","10Y","12Y",
                                   "15Y","20Y","25Y","30Y","40Y","50Y"};
  Calendar swapcalendar = UnitedStates(UnitedStates::Market::FederalReserve);
  Frequency frequency = Frequency::Annual;
  DayCounter fDayCount = Actual360();
  std::vector<ext::shared_ptr<RateHelper>> sofrhelpers,liborhelpers;
  sofrhelpers.reserve(22);liborhelpers.reserve(22);
  ext::shared_ptr<Sofr> sofr(new Sofr());
  ext::shared_ptr<IborIndex> usdlibor =
ext::make_shared<USDLibor>(Period(3, Months));

  for (auto& period_str : periods){

    Period period = PeriodParser::parse(period_str);

    ext::shared_ptr<SimpleQuote> s =
ext::make_shared<SimpleQuote>(0.05 / 100.0);
    auto start = std::chrono::steady_clock::now(); //START
    std::shared_ptr<SwapRateHelper> helper =
std::make_shared<SwapRateHelper>(Handle<Quote>(s), period,
swapcalendar,

       frequency, BusinessDayConvention::ModifiedFollowing,

       fDayCount, sofr);
    auto end = std::chrono::steady_clock::now(); //STOP
    std::cout << period << " sofrhelper took : " <<
std::chrono::duration_cast<std::chrono::milliseconds>(end -
start).count() << " ms" << std::endl;
    sofrhelpers.emplace_back(helper);
  }
  REQUIRE(sofrhelpers.size()==22);

  std::cout << "====================================" << std::endl;

  for (auto& period_str : periods){

    Period period = PeriodParser::parse(period_str);

    ext::shared_ptr<SimpleQuote> s =
ext::make_shared<SimpleQuote>(0.05 / 100.0);
    auto start = std::chrono::steady_clock::now(); //START
    std::shared_ptr<SwapRateHelper> helper =
std::make_shared<SwapRateHelper>(Handle<Quote>(s), period,
swapcalendar,

       frequency, BusinessDayConvention::ModifiedFollowing,

       fDayCount, usdlibor);
    auto end = std::chrono::steady_clock::now(); //STOP
    std::cout << period << " liborhelper took : " <<
std::chrono::duration_cast<std::chrono::milliseconds>(end -
start).count() << " ms" << std::endl;
    liborhelpers.emplace_back(helper);
  }
  REQUIRE(liborhelpers.size()==22);

}

1M sofrhelper took : 0 ms
2M sofrhelper took : 0 ms
3M sofrhelper took : 1 ms
4M sofrhelper took : 0 ms
5M sofrhelper took : 1 ms
6M sofrhelper took : 1 ms
9M sofrhelper took : 1 ms
1Y sofrhelper took : 2 ms
1Y6M sofrhelper took : 4 ms
2Y sofrhelper took : 5 ms
3Y sofrhelper took : 12 ms
4Y sofrhelper took : 15 ms
5Y sofrhelper took : 21 ms
7Y sofrhelper took : 34 ms
10Y sofrhelper took : 65 ms
12Y sofrhelper took : 85 ms
15Y sofrhelper took : 115 ms
20Y sofrhelper took : 211 ms
25Y sofrhelper took : 326 ms
30Y sofrhelper took : 451 ms
40Y sofrhelper took : 728 ms
50Y sofrhelper took : 1112 ms
====================================
1M liborhelper took : 0 ms
2M liborhelper took : 0 ms
3M liborhelper took : 0 ms
4M liborhelper took : 0 ms
5M liborhelper took : 0 ms
6M liborhelper took : 0 ms
9M liborhelper took : 0 ms
1Y liborhelper took : 0 ms
1Y6M liborhelper took : 0 ms
2Y liborhelper took : 0 ms
3Y liborhelper took : 0 ms
4Y liborhelper took : 0 ms
5Y liborhelper took : 0 ms
7Y liborhelper took : 0 ms
10Y liborhelper took : 0 ms
12Y liborhelper took : 0 ms
15Y liborhelper took : 0 ms
20Y liborhelper took : 1 ms
25Y liborhelper took : 1 ms
30Y liborhelper took : 1 ms
40Y liborhelper took : 1 ms
50Y liborhelper took : 2 ms
===============================================================================
All tests passed (2 assertions in 1 test case)