OpenGamma Curve Fitting Speed


#1

Hello Everybody,

I am very interested in seeing results of some performance (speed) tests of interpolated curve fitting in OpenGamma. Is there anything out there that I can take a look at?

I ran some of my own tests, and I set up a discount and forward curve pair that consists of roughly 25 instruments for each curve (half futures and half swaps). Running on a 3.3GHz machine, I found that the MulticurveProviderDiscount took about 70 miliseconds to bootstrap the curves. In addtion, calculating the sensitivity of a 30Y swap took about 400 microseconds. I would like to see if these numbers are characteristic of the performance of the OG engine, or if there is perhaps a way to achieve a substantially better result.

Thanks,
Haonan