• Aurélien Campéas's avatar
    staircase: make it simpler · 349c870faa73
    Aurélien Campéas authored
    We get the base dates from the current series value dates.
    For each of those we query one point, then concatenate
    the result.
    
    Conceptually much simpler to grasp.
    Bonus side effect: staircase discrepencies of formula vs alias
    extensions have disappeared.
    
    Performance implications:
    
    base:
    DELTA all value dates 0.9304628372192383
    DELTA 1 day  0.10948061943054199
    
    correctness:
    DELTA all value dates 1.174530267715454
    DELTA 1 day  0.05773115158081055
    
    So on the whole horizon we are a tad slower but there is an
    interesting speedup already in a well-bounded case. This is not bad.
    349c870faa73
tsio.py 28.1 KB