Precompute annuities#1965
Merged
lballabio merged 1 commit intoMay 9, 2024
Merged
Conversation
|
Thanks for opening this pull request! It might take a while before we look at it, so don't worry if there seems to be no feedback. We'll get to it. |
|
|
lballabio
reviewed
May 7, 2024
| // < W(k) | P(j+1)/P(n) > = | ||
| // = SR(j+1) a(j+1,k) A(j+1) / P(n) + SR(j+1) < W(k) | A(j+1)/P(n) > | ||
| Real annuity = cs.coterminalSwapAnnuity(numberOfRates_,j+1); | ||
| Real annuity = annuities[j+1]; |
Owner
There was a problem hiding this comment.
can the same vector annuities be used also in the other loop ~20 lines below?
Contributor
Author
There was a problem hiding this comment.
Yes! I'll make that change too, thanks for pointing it out. In fact the quantitative results stated above were including this change, but I forgot to add it when making the final PR.
eleanorTurintech
force-pushed
the
feature/smmdrift-calculator-performance
branch
from
5f3b8e0 to
3dabf86
Compare
|
Congratulations on your first merged pull request! |
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
4 participants
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Pre-computation of Annuities: The updated code introduces a pre-computation of annuities for all rates and stores them in a vector. This avoids repeated calls to
cs.coterminalSwapAnnuity()within the nested loops, potentially reducing computational overhead and improving performance.Corresponding unit test runs ~30% faster on a single processor (standard build, g++ 11.4.0)