#4491: finance.TimeSeries from numpy array doesn't work correctly
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Reporter: ghtdak | Owner: jason
Type: defect | Status: assigned
Priority: minor | Milestone: sage-3.2.1
Component: finance | Resolution:
Keywords: |
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Comment (by jason):
Okay, this will taken care of as part of the vector RDF/CDF rewrite (since
that already touched the relevant parts of the timeseries code). Timing
results for the case that worked before (simple double numpy arrays)
indicate a 3x slowdown. The new code should work for any numpy datatype
(the current code does not) and any sort of numpy array.
before patch:
{{{
sage: import numpy as np
sage: a=np.array(range(1e2), dtype='double')
sage: %timeit b=finance.TimeSeries(a)
100000 loops, best of 3: 2.13 µs per loop
sage: a=np.array(range(1e3), dtype='double')
sage: %timeit b=finance.TimeSeries(a)
100000 loops, best of 3: 3.51 µs per loop
sage: a=np.array(range(1e4), dtype='double')
sage: %timeit b=finance.TimeSeries(a)
10000 loops, best of 3: 21.6 µs per loop
sage: a=np.array(range(1e5), dtype='double')
sage: %timeit b=finance.TimeSeries(a)
100 loops, best of 3: 1.85 ms per loop
sage: a=np.array(range(1e6), dtype='double')
sage: %timeit b=finance.TimeSeries(a)
10 loops, best of 3: 18.5 ms per loop
sage: a=np.array(range(1e7), dtype='double')
sage: %timeit b=finance.TimeSeries(a)double')
10 loops, best of 3: 189 ms per loop
}}}
after patch:
{{{
sage: sage: import numpy as np
sage: sage: a=np.array(range(1e2), dtype='double')
sage: sage: %timeit b=finance.TimeSeries(a)
100000 loops, best of 3: 5.77 µs per loop
sage: sage: a=np.array(range(1e3), dtype='double')
sage: sage: %timeit b=finance.TimeSeries(a)
100000 loops, best of 3: 8.74 µs per loop
sage: sage: a=np.array(range(1e4), dtype='double')
sage: sage: %timeit b=finance.TimeSeries(a)
10000 loops, best of 3: 52.3 µs per loop
sage: sage: a=np.array(range(1e5), dtype='double')
sage: sage: %timeit b=finance.TimeSeries(a)
100 loops, best of 3: 3.83 ms per loop
sage: sage: a=np.array(range(1e6), dtype='double')
sage: sage: %timeit b=finance.TimeSeries(a)
10 loops, best of 3: 36.3 ms per loop
sage: sage: a=np.array(range(1e7), dtype='double')
sage: sage: %timeit b=finance.TimeSeries(a)
10 loops, best of 3: 365 ms per loop
}}}
--
Ticket URL: <http://trac.sagemath.org/sage_trac/ticket/4491#comment:5>
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