Hi,
I have rewritten some number crunching code from C++ to Clojure.
I was pleasantly surprised to find that the Clojure code is within 10x
of the C++ excecution time (both multicore implementations), but
always eager for more speed, I (reluctantly) moved away from incanter
(only used a couple of thin wrappers over Colt) to Clojure 1.3
(Clojure 1.3.0-master-SNAPSHOT) for type hinting.
However, no matter how hard I try, I fail to resolve some
"recur arg for primitive local: put_value is not matching primitive,
had: Object, needed: double"
leading to "Auto-boxing loop arg: put-value" in the most performance
sensitive code :(
( complete code on github [*]) the relevant parts are :
(let [double-normal-rng (Normal. 0. volatility
(DoubleMersenneTwister. (swap! seed inc)))]
(loop [put-value 0.
call-value 0.]
(if (neg? (swap! n-iters-todo dec))
[put-value call-value]
(let [delta-price (- strike-price
(reduce compute-
step stock-price
(repeatedly n-
steps
#(.nextDouble double-normal-rng
0. volatility))))
[next-put-value next-call-value] (if
(pos? delta-price)
[(+
put-value delta-price) call-value]
[put-
value (- call-value delta-price)])]
(recur next-put-value next-call-
value)))))))))
And with
(set! *warn-on-reflection* true)
(set! *unchecked-math* true)
I get
Reflection warning, NO_SOURCE_PATH:2535 - call to
cern.jet.random.tdouble.engine.DoubleMersenneTwister ctor can't be
resolved.
NO_SOURCE_FILE:2548 recur arg for primitive local: put_value is not
matching primitive, had: Object, needed: double
NO_SOURCE_FILE:2548 recur arg for primitive local: call_value is not
matching primitive, had: Object, needed: double
Auto-boxing loop arg: put-value
Auto-boxing loop arg: call-value
When I eval the whole function def. :(
I should note that have type hinted the inner most function,
previously defined in a letfn
(compute-step
^:static ^double [^double price ^double rnd-number]
(* price (+ 1.
(* rnd-number (Math/sqrt (/ years-to-maturity
n-steps)))
(* risk-free-rate (/ years-to-maturity n-
steps)))))
What is wrong with the DoubleMersenneTwister ctor ?
Shouldn' t the reduce call preserve the type information from
compute ? strike-price is type-hinted to double so shouldn't the
*unchecked-math* preserve this type info all the way to next-put-value
and next-call-value ?
Any help (even only a hint ;) on where to look for) *greatly*
appreciated !
Best Regards,
Bernard
[*]
https://github.com/scientific-coder/Black-Scholes/blob/master/src/black-scholes/src/montecarlo.clj#L57
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