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Performance of gamma calculations for swaps #1409

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cjkent opened this issue Nov 2, 2016 · 0 comments
Open

Performance of gamma calculations for swaps #1409

cjkent opened this issue Nov 2, 2016 · 0 comments
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@cjkent
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cjkent commented Nov 2, 2016

There is a performance problem with SwapMeasureCalculations.pv01SingleNodeGammaBucketed. It is accounting for 73% of the runtime in one of my benchmarks even though it is only calculated for one scenario and other measures are calculated for over 1200 scenarios.
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