• Aurélien Campéas's avatar
    staircase: prune the needed history insertion dates using the value dates · d4ce6a27bc09
    Aurélien Campéas authored
    This can achieve a nice performance improvement (time and memory wise)
    since we can query less series.
    Performance implications:
    DELTA all value dates 0.5080251693725586
    DELTA 1 day  0.04896068572998047
    DELTA all value dates 0.5207259654998779
    DELTA 1 day  0.03272509574890137
    We lose a bit on the commplete horizon but get nice benefits on the
    small one. We might want to rewrite the prune function for speed ...