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

[Tom A. <tw...@ur...>]

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.