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

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

Sure—I'll reply privately to minimise noise on the list.

Luigi


On Fri, Oct 6, 2023 at 7:55 PM Tom Anderson <tw...@ur...> wrote:

> I can try. It will be easiest if i build from source myself, but if you
> would like to suggest a few commits between 1.31 and 1.32, i can try those
> rather than picking randomly. Sadly, the process is too manual to simply
> do a git bisect.
>
> tom
>
> On Fri, 6 Oct 2023, Luigi Ballabio wrote:
>
> > 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.
> >>
> >
>
> --
> Subvert normality.