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colab
2010 Feb 12
3
Code working but too slow, any idea for how to speed it up ?(no loop in it)
...that is taking too long (2
seconds and I call him 720 times --> 12 minutes):
mat1 and mat2 are both matrix with 103 columns and 164 rows.
sequence <- matrix(seq(1 : ncol(mat1)))
returns <- apply(sequence, 1, function, mat1= mat1, mat2 = mat2, day = 1)
function<- function(mat1, mat2, colNb, day){
mat1<- matrix(mat1[, colNb] )
mat2<- matrix(mat2[, colNb])
nbDays <- length(mat1)
returns <- abs(mat1[1:(nbDays - day)]) * ((as.ts(lag(mat2,
day))/as.ts(mat2))^mat1[1:(nbDays - day)] - 1)
return(returns)
}
I am wondering if the fact of usin...