google / google/tf-quant-finance
Fair performance comparison with QuantLib
Open
- Dominant language
- Python
- Stars
- 5.5k
- Forks
- 698
- PR merge metrics
- No merged PRs in 30d
Description
Hi guys,
In the "Monte Carlo via Euler Scheme" example you compare TF with QuantLib pricing and conclude that TF finance is x100 times faster(or more).
I want to note that in QL you evolve 100 time steps of Log Normal process, but in TF you work in log space and only apply exp() at the end.
I agree QL may not be very fast, but in this example you compare 100 exponents per path in QL to just 1 exponent in TF...
Thank you!
Contributor guide
Assessment
This issue has not been assessed yet.