diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 5 | ||||
| -rw-r--r-- | python/analytics/utils.py | 28 |
2 files changed, 19 insertions, 14 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 5cd152f3..c55a3bd3 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -18,6 +18,8 @@ import numpy as np class DualCorrTranche(): + _cache = LRU(64) + def __init__(self, index_type: str, series: int, tenor: str, *, attach: float, detach: float, corr_attach: float, corr_detach: float, tranche_running: float, @@ -46,7 +48,6 @@ class DualCorrTranche(): self.cs = credit_schedule(value_date, None, 1., self._index.yc, self._index.maturities[0]) self._accrued = cds_accrued(value_date, tranche_running * 1e-4) - self._cache = LRU(64) self._ignore_hash = set(['_Z', '_w', 'cs', '_cache', '_ignore_hash']) def _default_prob(self): @@ -97,7 +98,7 @@ class DualCorrTranche(): self.cs = credit_schedule(d, None, 1., self._index.yc, self._index.maturities[0]) self._accrued = cds_accrued(d, self.tranche_running * 1e-4) - @memoize + @memoize(lambda args: (hash(args[0]._index), *args[1:])) def tranche_legs(self, K, rho): if K == 0.: return 0., 0. diff --git a/python/analytics/utils.py b/python/analytics/utils.py index fab94397..0100f5bc 100644 --- a/python/analytics/utils.py +++ b/python/analytics/utils.py @@ -102,15 +102,19 @@ def build_table(rows, format_strings, row_format): return r -def memoize(f): - @wraps(f) - def cached_f(*args, **kwargs): - obj = args[0] - key = (f.__name__, hash(args)) - if key in obj._cache: - return obj._cache[key] - else: - v = f(*args, **kwargs) - obj._cache[key] = v - return v - return cached_f +def memoize(hasher=lambda args: (hash(args),)): + + def memoize_(f): + @wraps(f) + def cached_f(*args, **kwargs): + self = args[0] + key = (f.__name__, *hasher(args)) + if key in self._cache: + return self._cache[key] + else: + v = f(*args, **kwargs) + self._cache[key] = v + return v + return cached_f + + return memoize_ |