Optimization and refactoring: fitness.

pmorissette / ffn

ffn - a financial function library for Python

pmorissette.github.io/ffn

MIT License

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Optimization and refactoring: fitness. #236

Closed quant12345 closed 4 months ago

quant12345 commented 4 months ago

This PR makes method fitness from the _erc_weights_slsqp (core.py) faster. Here are the comparison results. Loops are replaced by vector operations.