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.