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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 11 months |
| seen | Jul 20 '12 at 7:18 | |
| stats | profile views | 6 |
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Jun 7 |
comment |
Increasing recursion speed in Hull-White trinomial tree calculation NSolve may be more than I needed.So I've removed NSolve from the code, and replaced it with FindRoot and set the starting point each time as the previous alpha. This greatly speeds things up and lets me get more steps however I hit a wall around the 100 step mark (I get a recursion limit) |
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Jun 7 |
comment |
Increasing recursion speed in Hull-White trinomial tree calculation Thanks R.M. That makes sense. Now that I've changed by definition of P[t] from an analytic formula to a data set, Solve and NSolve work at the same speed. |
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Jun 7 |
revised |
Increasing recursion speed in Hull-White trinomial tree calculation edited body |
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Jun 7 |
revised |
Increasing recursion speed in Hull-White trinomial tree calculation added 4925 characters in body; edited tags |
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Jun 6 |
comment |
Increasing recursion speed in Hull-White trinomial tree calculation just edited a bug I missed. Also I have noticed that NSolve is quicker than Solve. Why woyuld this be so? |
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Jun 6 |
revised |
Increasing recursion speed in Hull-White trinomial tree calculation added 9 characters in body |
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Jun 6 |
comment |
Increasing recursion speed in Hull-White trinomial tree calculation ah! Didn't know of this. Will use that in my code going forward. |
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Jun 6 |
awarded | Student |
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Jun 6 |
comment |
Increasing recursion speed in Hull-White trinomial tree calculation Yes, I realised that it's bad practice to use capital letters so I wanted to Unprotect to be safe. This is to match the notation used in the paper as clsoe as possible. |
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Jun 6 |
revised |
Increasing recursion speed in Hull-White trinomial tree calculation deleted 287 characters in body |
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Jun 6 |
awarded | Editor |
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Jun 6 |
comment |
Increasing recursion speed in Hull-White trinomial tree calculation Thanks Mr.Wizard for sending it over. Much appreciated. I've included the rest of my code as suggested. |
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Jun 6 |
revised |
Increasing recursion speed in Hull-White trinomial tree calculation added 1862 characters in body; edited tags; edited title |
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Jun 6 |
asked | Increasing recursion speed in Hull-White trinomial tree calculation |
