Hello OG Team
We have a piece of code that calculates the PV Series for CDS (Single names and Indices) based on CdsScenarioExample.java and were noticing it would take around 130s to go through a portfolio of 2500 trades. This is slow. To make sure we were not doing anything wrong, we tried running the CdsScenarioExample.java for 2500 trades for multiple curves and it came to around 100s.
Want to get your opinion as to whether you expect these timelines and hope to make them better ? Any feedback appreciated.