Precompute annuities #1965
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Precompute annuities #1965
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lballabio
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May 7, 2024
| for (Size k=0; k<numberOfFactors_; ++k) { | ||
| // taken care in the constructor | ||
| // wkpj1_[k][numberOfRates_-1]= 0.0; | ||
| // wkaj_[k][numberOfRates_-1] = 0.0; | ||
| for (Integer j=numberOfRates_-2; j>=static_cast<Integer>(alive_)-1; --j) { | ||
| // < 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]; |
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can the same vector annuities be used also in the other loop ~20 lines below?
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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.
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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)