Enhance performance by avoiding Math.pow#2027
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jodastephen merged 2 commits intomasterfrom Jul 15, 2019
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Math.pow is slow when the power is a small integer This particularly affects SABR volatility adjoint
wjnicholson
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Jul 12, 2019
| } | ||
| } else { | ||
| rhoBar = (1 / (Math.sqrt(1 - 2 * rho * z + z * z) + z - rho) * | ||
| (-Math.pow(1 - 2 * rho * z + z * z, -0.5) * z - 1) + 1 / rhoStar) * xzBar; |
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This line also reuses 1 - 2 * rho * z + z * z
| * @return {@code value * value * value * value} | ||
| */ | ||
| public static double pow4(double value) { | ||
| return value * value * value * value; |
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Since we're doing micro optimisation, is there any performance difference between this and doing
double sq = value * value;
return sq * sq;
Or is that equivalent to what's done in hotspot?
...a/com/opengamma/strata/pricer/impl/volatility/smile/SabrHaganVolatilityFunctionProvider.java
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wjnicholson
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Jul 12, 2019
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| double sf1 = sfK * (1 + (betaStarPow2 / 24) * lnrfKPow2 + betaStarPow4Div1920 * lnrfKPow4); | ||
| double sf2 = (1 + (pow2(betaStar * alpha / sfK) / 24 + (rho * beta * nu * alpha) / | ||
| sfKMul4 + (2 - 3 * rho * rho) * nu * nu / 24) * timeToExpiry); |
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(2 - 3 * rho * rho) gets reused lower down
...a/com/opengamma/strata/pricer/impl/volatility/smile/SabrHaganVolatilityFunctionProvider.java
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I've made some more changes. The goal isn't to fully optimise as there are too many code paths. Instead, I'm just looking for some key changes around pow/sqrt. Not every extraction is necessarily faster as too many local variables may well be a problem too. |
yukiiwashita
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Jul 12, 2019
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Math.pow is slow when the power is a small integer
This particularly affects SABR volatility adjoint