Re: [Quantlib-users] Release candidate for version 1.32

[Luigi B. <lui...@gm...>]

Hmm.  Thanks for reporting this—would you mind trying to see when the
performance got worse?  I can send you a few tarballs from different points
between 1.31.1 and now.

Luigi


On Fri, Oct 6, 2023 at 7:09 PM Tom Anderson <tw...@ur...> wrote:

> Hi Luigi,
>
> On Wed, 4 Oct 2023, Luigi Ballabio wrote:
>
> > Hello everybody,
> >    I just published sources for a release candidate for 1.32 at <
> > https://github.com/lballabio/QuantLib/releases/tag/1.32rc>.  If you have
> > some time, please try them out this week or the next and report any
> > problems here.  Thanks!
>
> I tried it. It builds, my app builds (after a few changes needed due to
> the introduction of the FixedVsFloatingSwap), and then produces the same
> results as with 1.31.
>
> However, it seems to be much slower in some places. I haven't dug into why
> yet. But for example, the job which builds an ESTR curve and prices a load
> of swaps off it went from 92 ms to 328 ms, and the job which does the same
> for Euribor went from 210 ms to 631 ms. Pricing our swap inventory went
> from 85 ms to 257 ms, and calculating risk metrics went from 15,270 ms to
> 50,037 ms. This is all based on a single run with each version, so i have
> no error bars on these numbers, but the random variance is much smaller
> than these differences.
>
> The inventory and risk jobs do not build curves, but use the curves built
> by the previous jobs, so this looks like it could be a big slowdown in
> pricing swaps.
>
> I built QuantLib with GCC 7.2.0, and my app with GCC 13.1.0. I am building
> QuantLib with GCC 7 because when i last tried to built it with GCC 13, it
> was much slower!
>
> Regards,
> tom
>
>
> --
> Subvert normality.
>