adding benchmarking

Pricer.Benchmark/App.config

@@ -0,0 +1,6 @@
+<?xml version="1.0" encoding="utf-8"?>
+<configuration>
+  <startup>
+    <supportedRuntime version="v4.0" sku=".NETFramework,Version=v4.5" />
+  </startup>
+</configuration>

Pricer.Benchmark/AssemblyInfo.fs

@@ -0,0 +1,41 @@
+namespace Pricer.Benchmark.AssemblyInfo
+
+open System.Reflection
+open System.Runtime.CompilerServices
+open System.Runtime.InteropServices
+
+// General Information about an assembly is controlled through the following 
+// set of attributes. Change these attribute values to modify the information
+// associated with an assembly.
+[<assembly: AssemblyTitle("Pricer.Benchmark")>]
+[<assembly: AssemblyDescription("")>]
+[<assembly: AssemblyConfiguration("")>]
+[<assembly: AssemblyCompany("")>]
+[<assembly: AssemblyProduct("Pricer.Benchmark")>]
+[<assembly: AssemblyCopyright("Copyright ©  2016")>]
+[<assembly: AssemblyTrademark("")>]
+[<assembly: AssemblyCulture("")>]
+
+// Setting ComVisible to false makes the types in this assembly not visible 
+// to COM components.  If you need to access a type in this assembly from 
+// COM, set the ComVisible attribute to true on that type.
+[<assembly: ComVisible(false)>]
+
+// The following GUID is for the ID of the typelib if this project is exposed to COM
+[<assembly: Guid("b6f00746-8eb4-4e05-8d87-d5e423bf9fe7")>]
+
+// Version information for an assembly consists of the following four values:
+// 
+//       Major Version
+//       Minor Version 
+//       Build Number
+//       Revision
+// 
+// You can specify all the values or you can default the Build and Revision Numbers 
+// by using the '*' as shown below:
+// [<assembly: AssemblyVersion("1.0.*")>]
+[<assembly: AssemblyVersion("1.0.0.0")>]
+[<assembly: AssemblyFileVersion("1.0.0.0")>]
+
+do
+    ()

Pricer.Benchmark/Benchmarking.fsx

@@ -0,0 +1,22 @@
+#r "bin/Debug/Pricer.Core.dll"
+#r "bin/Debug/Pricer.dll"
+#r "bin/Debug/Pricer.Benchmark.exe"
+
+#r "../packages/BenchmarkDotNet/lib/net45/BenchmarkDotNet.dll"
+#r "../packages/BenchmarkDotNet.Core/lib/net45/BenchmarkDotNet.Core.dll"
+#r "../packages/BenchmarkDotNet.Toolchains.Roslyn/lib/net45/BenchmarkDotNet.Toolchains.Roslyn.dll"
+#r "../packages/BenchmarkDotNet.Diagnostics.Windows/lib/net45/BenchmarkDotNet.Diagnostics.Windows.dll"
+#r "../packages/Microsoft.CodeAnalysis.CSharp/lib/net45/Microsoft.CodeAnalysis.CSharp.dll"
+#r "../packages/Microsoft.CodeAnalysis.Common/lib/net45/Microsoft.CodeAnalysis.dll" 
+#r "../packages/System.Reflection.Metadata/lib/netstandard1.1/System.Reflection.Metadata.dll"
+#r "../packages/System.Collections.Immutable/lib/netstandard1.0/System.Collections.Immutable.dll"
+#r "../packages/System.Threading.Tasks.Extensions/lib/netstandard1.0/System.Threading.Tasks.Extensions.dll"
+
+
+open Pricer.Core
+open Pricer
+open Pricer.Benchmark
+open BenchmarkDotNet.Running
+
+let summary = BenchmarkRunner.Run<BinomialBenchmark>();
+printfn "%A" summary

Pricer.Tests/PerfTests.fs → Pricer.Benchmark/BinomialBenchmark.fs

@@ -1,52 +1,44 @@
-namespace Pricer.Tests
-
-open System
-open Pricer
-open Pricer.Core
-open BenchmarkDotNet.Attributes
-open BenchmarkDotNet.Running
-open BenchmarkDotNet.Configs
-open BenchmarkDotNet.Jobs
-
-#if MONO
-#else
-open BenchmarkDotNet.Diagnostics.Windows
-#endif
-
-type BenchConfig () =
-    inherit ManualConfig()
-    do 
-        base.Add Job.RyuJitX64
-        #if MONO
-        #else
-        base.Add(new MemoryDiagnoser())
-        #endif
-
-[<Config (typeof<BenchConfig>)>]
-type BinomialBenchmark () =    
-
-    let stock = {
-        Volatility = 0.05
-        Rate = 0.03
-        CurrentPrice = 230.0
-    }
-
-    let europeanCall = {
-        Strike = 231.0
-        Expiry = new DateTime(2015,12,12)
-        Direction = 1.0
-        Kind = Call
-        Style = European
-        PurchaseDate = new DateTime(2015,9,5)
-    }
-
-    [<Params (1000)>] 
-    member val public Steps = 0 with get, set
-
-    [<Setup>]
-    member self.SetupData () =        
-       () 
-
-    [<Benchmark>]
-    member self.Func () = 
+namespace Pricer.Benchmark
+
+open System
+open Pricer
+open Pricer.Core
+open BenchmarkDotNet.Attributes
+open BenchmarkDotNet.Running
+open BenchmarkDotNet.Configs
+open BenchmarkDotNet.Jobs
+open BenchmarkDotNet.Diagnostics.Windows
+
+type BenchConfig () =
+    inherit ManualConfig()
+    do 
+        base.Add Job.RyuJitX64
+        #if MONO
+        #else
+        base.Add(new MemoryDiagnoser())
+        #endif
+
+[<Config (typeof<BenchConfig>)>]
+type BinomialBenchmark () =    
+
+    let stock = {
+        Volatility = 0.05
+        Rate = 0.03
+        CurrentPrice = 230.0
+    }
+
+    let europeanCall = {
+        Strike = 231.0
+        Expiry = new DateTime(2015,12,12)
+        Direction = 1.0
+        Kind = Call
+        Style = European
+        PurchaseDate = new DateTime(2015,9,5)
+    }
+
+    [<Params (1000, 2000, 3000)>] 
+    member val public Steps = 0 with get, set
+
+    [<Benchmark>]
+    member self.Binomial () = 
         Binomial.binomial stock europeanCall self.Steps Functional