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From: Anthony on 10 Apr 2010 15:44
Hey Bruno,

Just found out I'm not allowed to use any C scripts to solve my problem. But that function works really well, so thanks!

Would you be a way to make the loop faster using only MATLAB functions?

Thanks
Anthony
From: Bruno Luong on 10 Apr 2010 15:53
"Anthony " <antfarinaccio(a)gmail.comremove.spam> wrote in message <hpqke4$4uo$1(a)fred.mathworks.com>...
> Hey Bruno,
>
> Just found out I'm not allowed to use any C scripts to solve my problem. But that function works really well, so thanks!
>
> Would you be a way to make the loop faster using only MATLAB functions?

The function minmaxfilt performs equivalently to the so-called "morphology" operation in image processing language. If you own the image processing toolbox, I think you can replace the call of minmaxfilt with the dilatation function imdilate(). I don't have the toolbox, so might be someone else can guide you from there.

Bruno
From: Matt Fig on 10 Apr 2010 20:43
This runs in about half the time of your original loops on my machine.


SP = [true(NSims,1),(StockPrice>H).'];
ParisPayoffs3 = zeros(1,NSims);
st = [1 zeros(1,D)];

for ii = 1:NSims
if isempty(strfind(SP(ii,:),st))
ParisPayoffs3(ii) = max(StockPrice(Length+1,ii)-K,0);
end
end
From: Matt Fig on 10 Apr 2010 23:21
"Matt Fig" <spamanon(a)yahoo.com> wrote in message <hpr5up$ika$1(a)fred.mathworks.com>...
> This runs in about half the time of your original loops on my machine.
>
>
> SP = [true(NSims,1),(StockPrice>H).'];
> ParisPayoffs3 = zeros(1,NSims);
> st = [1 zeros(1,D)];
>
> for ii = 1:NSims
> if isempty(strfind(SP(ii,:),st))
> ParisPayoffs3(ii) = max(StockPrice(Length+1,ii)-K,0);
> end
> end




This may be even faster on some systems:

idx = [ones(1,NSims);(StockPrice>H);inf(1,NSims)];
idx = strfind(idx(:).',[1 zeros(1,D)]);
ParisPayoffs4 = max(StockPrice(Length+1,:)-K,0);
ParisPayoffs4(ceil(idx/(Length+3))) = 0;
From: Anthony on 11 Apr 2010 00:50
These work great Matt!

Thanks very much!

Anthony
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