In order to test how fast a naive round-trip calculation is using Quantlab realtime state engine, Qlang compiled code and our swap pricing libraries are. Here’s an example with live date for EUR 6M fix/float libor swaps. (link below to blog post)
In order to test how fast a naive round-trip calculation is using Quantlab realtime state engine, Qlang compiled code and our swap pricing libraries are. Here’s an example with live date for EUR 6M fix/float libor swaps. (link below to blog post)