Experiment CPP against JQuantLib

[Richard Gomes]

Compare performance of CPP implementation and JQuantLib

See also:
http://www.quanteam.de/papers/cpp_java_speed.pdf
http://www.quanteam.de/site_en/publications.html

Source code:
http://www.quanteam.de/papers/cpp_java_speed.tar.gz

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Relationships
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child of http://bugs.launchpad.net/bugs/jquantlib-329

[Richard Gomes (frgomes)]

Kicking to v0.1.4

[Richard Gomes (frgomes)]

I am attempting to independently verify the report produced by quanteam.
However the C++ code does not compile because the tar archive is missing the allocate.h file which is needed for compilation of the C++ version of the code.

I will attempt to contact quanteam to get the source for allocate.h
and get an independent reproducible version of their code.

[Richard Gomes (frgomes)]

I've seen that the sources do not have anything specific to QuantLib. So the idea would be compare C++ against Java in a first step and in a second step "translate to QuantLib and JQuantLib", I mean, reimplement the basic functionality of these tests using QuantLib API and JQuantLib API.

This second step will provide us some feedback about how QuantLib and JQuantLib APIs compare in resemblance and performance.

Thanks a lot! :)

[Q Boiler (q.boiler)]

We will add a wiki page Document to detail
how any benchmarking or comparisons will be done.

Adding tasks for this ticket:
1. Create wiki performance page.
2. Identify java/c++ comparisons and benchmarks.
3. Identify starting point for JQuantLib/Quantlib direct performance comparisons.

Once that is done, this ticket can be closed, and new work/tickets can be generated as needed.

[Q Boiler (q.boiler)]

Created the Wiki page.
I have added NO content at this point, but should start doing that shortly.
http://www.jquantlib.org/index.php/JQL_Benchmarking

[Q Boiler (q.boiler)]

Just updating to indicate that this needs to encompass Bonds examples from both JQL and QL.

Will request information from other developers