Thank you very much for the help !
On Jul 24, 2:30 pm, Chas Emerick <cemer...@snowtide.com> wrote:
> A couple of thoughts:
>
> You should be using 1.3.0-beta1 of Clojure 1.3 -- anything with
> -master-SNAPSHOT is woefully out of date at
> this point.
Damned, I thought -master-SNAPSHOT was as snapshot of the current
HEAD.
Thanks for pointing that out.
> ...
> However, I wouldn't expect (much of) a speedup from those minor tweaks.
> First, if that reduce with the >`compute-step` fn is your hot loop, reduce
> will box you into oblivion. At least until primitives work across
> applications of HOFs, you'll need to unroll that by hand. Second, you're
> destructuring with `[next-put-value
> next-call-value]`. Destructuring is convenient and usually not a bottleneck,
> but it often is if you're
> attempting to avoid boxing overhead: what you have now is boxing the two
> values you're binding, and then
> creating a vector to hold them, and then pulling that vector apart to get to
> the original values. You can just
> move your conditional out of the let's binding vector, and use it to choose
> between two recur paths:
>...
I had a wallclock time of 54094 msecs and two relection warnings about
the loop variables (plus the unimportnant one about the swap! return
type).
I first followed your advice to remove destructuring and was surprised
to see that the warnings for the two loop variables had disappeared !
However, the speedup was indeed minor, down to 50573 msecs.
I then removed the reduce as you suggested and went to this inner
loop :
(loop [put-value 0.
call-value 0.]
(if (neg? (swap! n-iters-todo dec))
[put-value call-value]
(let [delta-price (- strike-price
(loop [price stock-price
s n-steps]
(if (== s 0)
price
(recur (* price (+ 1.
(*
(.nextDouble double-normal-rng 0. volatility)
coeff)
(* risk-
free-rate (/ years-to-maturity n-steps))))
(dec s)))))]
(if (pos? delta-price)
(recur (+ put-value delta-price) call-value)
(recur put-value (- call-value delta-price)))))))
Quiet ugly by Clojure standard I confess, but *incredibly* efficient
with a run time down to 5993 msecs !
(No missing digit: a near x10 speedup !) : faster than both my C++
OpenMP and my C++ 0X multi-threaded implementations !
This is the first time that I witness this (discounting micro
benchmarks made on purpose to show off the JIT).
Thanks for making this happen :)
Best Regards,
Bernard
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