• Aurélien Campéas's avatar
    staircase: use a cache of the history to speed up the computation · 35770d059ad9
    Aurélien Campéas authored
    We introduce a generic `historycache` providing
    `get` and `staircase` methods.
    
    The `historycache` object embeds the output of a call to `history` for
    further use.
    
    
    Performance implications:
    
    correctness:
    DELTA all value dates 1.174530267715454
    DELTA 1 day  0.05773115158081055
    
    historycache:
    DELTA all value dates 0.5080251693725586
    DELTA 1 day  0.04896068572998047
    
    On the whole horizon we get a nice speed up (> 100%) and even the one
    day horizon gets slightly faster. This is good.
    35770d059ad9