Benchmark

.travis.yml

@@ -1,34 +1,47 @@
 language: rust
-
 sudo: required
 
-rust:
-  - stable
-  - beta
-  - nightly
-
-env:
-  - secure: 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
 addons:
   apt:
     packages:
-      - libcurl4-openssl-dev
-      - libelf-dev
-      - libdw-dev
-      - cmake
-      - gcc
-      - binutils-dev
-      - libiberty-dev
-
+    - libcurl4-openssl-dev
+    - libelf-dev
+    - libdw-dev
+    - cmake
+    - gcc
+    - binutils-dev
+    - libiberty-dev
+    - gnuplot
 before_cache: |
   if [ "$TRAVIS_RUST_VERSION" = "nightly" ]; then
     RUSTFLAGS="--cfg procmacro2_semver_exempt" cargo install cargo-tarpaulin
   fi
-
 after_success: |
   if [ "$TRAVIS_RUST_VERSION" = "nightly" ]; then
     cargo tarpaulin --out Xml
     bash <(curl -s https://codecov.io/bash)
+  fi
+  if [ "$TRAVIS_RUST_VERSION" = stable ]; then
+    cargo bench
     cargo doc
     cargo publish --token "$CARGO_API" --allow-dirty
-  fi
+  fi
+
+matrix:
+  include:
+  - rust: stable
+    env:
+    - secure: smQ1nBQ8pM12u6LWc+elM5bSyj4Hgd61h3HcStqtLF88KZBbGlqgZCxewfrWQg7eAk1SPTtiaqc6c6XpZEEWMTYqfa2tkBChnlnatJTwWCGaPjrpBxRyvDhQp/xzTbWfbCNMYtSrA6DnTu2TssBh7HGTt9nffFRRqlX4aBbDePWWxK/1V99fHNYN6kz1g2N/GVxawQ0naUDyzG3bIvQqi1S+ERHNS3gkJo4g7zaeJOhPOQeCfztrqWKC9Bmh8uzOQjumlPj5t0WIrFYYkQpHNZ+uy/uwuZbSopAehIjShrhT9zoFCJQTW4dSKVbJQleKc6QKhw03FNzUHQOLH5ztULttKrcXmVm0e/CetMruhkLwMaVZVoWu/UR2t+Om4LfGWMFnNtf98LkUTkFewzQ9EsU7mqEK9AoNSWhMtAV8BJtFOEdczkO67FDeAFJWf/fpPBjfFjtC49L0wNIH8+9JyEv1Np7FCMV/epO4PXu5na3rUkMYZQAc4mmwptNiHupnsyW4bN5sEwb/Z/Kgy7+sRU++/dISH3v8bs6sZp2z5hJ4tgu1YFmYJTiYy//KUTfSPo3HTx6+/qKE/c/AQDsRZqcIYNP2iSOkVpmVU1VpgLMG5XuC/crMlRacw7PPautXaQf9gmcOkEhgL5Jmku/fiCKM8MiNBKkpOWTtq4P8Cbc=
+    - secure: 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
+  - rust: nightly
+  - rust: beta
+
+deploy:
+  provider: pages
+  skip_cleanup: true
+  github_token: "$GITHUB_TOKEN"
+  keep_history: true
+  local_dir: target/criterion
+  on:
+    branch: master
+    rust: stable

Cargo.toml

@@ -17,6 +17,11 @@ num-complex = "0.2"
 [dev-dependencies]
 approx = "0.2.0"
 statrs = "0.7.0"
+criterion = "0.2"
+
+[[bench]]
+name = "fang_oost_bench"
+harness = false
 
 [badges]
 travis-ci = { repository = "phillyfan1138/fang_oost_rust" }

README.md

@@ -9,9 +9,9 @@
 
 # Fang-Oosterlee Library for Rust
 
-Implements [Fang-Oosterlee](https://mpra.ub.uni-muenchen.de/8914/4/MPRA_paper_8914.pdf) algorithm in Rust.  While the algorithm originally was used for option pricing, it can be used for a variety of use cases.  For example, it can be used to compute the Value at Risk of a distribution, the density of a distribution, and the partial expectation.  
+Implements [Fang-Oosterlee](https://mpra.ub.uni-muenchen.de/8914/4/MPRA_paper_8914.pdf) algorithm in Rust.  While the algorithm originally was used for option pricing, it can be used for a variety of use cases.  For example, it can be used to compute the Value at Risk of a distribution, the density of a distribution, and the partial expectation.
 
-It requires a characteristic function computed at various specific intervals.  A utility function is provided which converts an analytical characteristic function into a vector. 
+It requires a characteristic function computed at various specific intervals.  A utility function is provided which converts an analytical characteristic function into a vector.
 
 Documentation is at [docs.rs](https://docs.rs/fang_oost/0.13.7/fang_oost/)
 
@@ -32,7 +32,7 @@ extern crate fang_oost;
 extern crate rayon;
 use rayon::prelude::*;
 use num_complex::Complex;
- 
+
 let num_x = 1024;
 let num_u = 256;
 let x_min = -20.0;
@@ -51,4 +51,8 @@ let density:Vec<f64> = fang_oost::get_density(
 ## Related Crates
 
 * [Option Pricing with Fang Oost](https://crates.io/crates/fang_oost_option)
-* [Distribution Utilities (including CDF, VaR, and Expected Shortfall)](https://crates.io/crates/cf_dist_utils)
+* [Distribution Utilities (including CDF, VaR, and Expected Shortfall)](https://crates.io/crates/cf_dist_utils)
+
+## Benchmarks
+
+View benchmarks at https://phillyfan1138.github.io/fang_oost_rust/report.

benches/fang_oost_bench.rs

@@ -0,0 +1,31 @@
+#[macro_use]
+extern crate criterion;
+extern crate fang_oost;
+extern crate num_complex;
+use rayon::prelude::*;
+use criterion::Criterion;
+use num_complex::Complex;
+
+fn bench_fang_oost_normal_density(c: &mut Criterion) {
+    let mu=2.0;
+    let sigma=1.0;
+    let num_x=5;
+    let num_u=256;
+    let x_min=-3.0;
+    let x_max=7.0;
+    let norm_cf=move |u:&Complex<f64>|(u*mu+0.5*u*u*sigma*sigma).exp();
+    c.bench_function("normal density", move |b| {
+        b.iter(move || {
+            let my_x_domain=fang_oost::get_x_domain(num_x, x_min, x_max);
+            let discrete_cf=fang_oost::get_discrete_cf(num_u, x_min, x_max, &norm_cf);
+            let _my_inverse:Vec<f64>=fang_oost::get_density(
+                x_min, x_max,
+                my_x_domain, &discrete_cf
+            ).collect();
+        })
+    });
+}
+
+
+criterion_group!(benches, bench_fang_oost_normal_density);
+criterion_main!(benches);