FinancePy
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Numba specialist to Examine how to JIT Optimisers
Scipy optimisers are used in a number of locations. However it is not been possible to Numba the objection functions. I have rewritten the optimisers in FinSolver but there are problems using njit The aim here is to
- Numba the optimisers
- Numba the objective function
- Amend all functions that use Scipy to use FinSolver to use the Numba versions
Overall aim is to make these functions as fast as possible.