Home » Code » E. L. Wisty’s Secret Garden Leave Project

E. L. Wisty’s Secret Garden Leave Project

Maybe to get started we will look at Hager’s math library in the context of Black Scholes and simply beat this horse as only E. L. Wisty can.

So the way it looks right now  we have:

Dr. Johnson’s C++ code at 31  BS evaluations per ms

Dr. Johnson’s No Simpsons C++ code  at 5747 BS evaluations per ms

Dr. Johnson’s No Simpsons Python code at 135 BS evaluations per ms

and we have the Intel Vectorized code which we have yet to run.

Is Python really this slow?

Is Java about the same speed as Python?

Can Hager make C++ templates fly at competitive speeds?

Stay tuned to E.L. Wisty’s Secret Garden Leave Project (SGLP), to find out.

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