Optimize OIS Curve Bootstrapping

[lballabio]

Migrated from lballabio/quantlib-old#83 by @pcaspers

[lballabio]

@fametrano , @paolomazzocchi : did you have any objection on this one?

[fametrano]

NOACK for me
code should be clarified

On Thu, Feb 25, 2016 at 12:35 PM, Luigi Ballabio notifications@github.com
wrote:

@fametrano https://github.com/fametrano , @paolomazzocchi
https://github.com/paolomazzocchi : did you have any objection on this
one?

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Reply to this email directly or view it on GitHub
#2 (comment).

[pcaspers]

you mean, the code should be better commented or I should just explain here what the intention is ?

[MiiRaGe]

Is there any news on that ? We're using quantlib to bootstrap OIS Curve, and we've notice Bootstraping is a bit sluggish. We would definetely enjoys the optimization =D

[pcaspers]

I think we (@fametrano, @paolomazzocchi, @lballabio) should discuss that again, I don't quite remember what the objection was (and not even what I've done here in detail).

[lballabio]

We can try to hash it out in a couple of weeks when we meet in Düsseldorf, I guess.

[pcaspers]

yes good idea

[MiiRaGe]

That would be awesome, let me know how it goes!

[MiiRaGe]

Hey Guys,

Any news on this feature ?

[robtrip]

Hello @lballabio @pcaspers I'm also interested in anything that can speed this up.
any update on this please?

[pcaspers]

updated in #258