Hi, I have read with great fascination of the performance using vectorbased pricers - Performance | Strata Documentation
The aerticel says that there are extensoin points in the opensource version of Strata. Could you please provide an example of how this is supposed to be done? Thanks alot for the great effort !
Kr, Oyvind
The closed source code is sadly no longer maintained. But Strata does have scenario classes such as ScenarioMarketData. The idea is that a CalculationFunction can receive all the data for many scenarios and process that efficiently (the closed source code used native libraries for this). The standard Strata pricers simply loop around the scenarios, which is an approach that has sufficient performance for all the use cases we’ve seen. See FraMeasureCalculations.presentValue() for example.