Options portfolio pricer in modern C++ 14 - RSI

Ronnie Chowdhury
Ronnie Chowdhury
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Published 2017-08-08
Choosing the right algorithm and data-structures is part of Data oriented design (distinct from OOP), which often leads to better cache and cpu friendly algorithms.

I explore writing Relative Strength Indicator using parallel prefix-sums, and then parallelise RSI as well to give near 30x speed improvement over the naïve version.
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