Re: Monte Carlo pricer slow compared to other financial softwares
I just had a look. The local volatility would be an instance of LocalVolSurface, which calculates the volatility at (t, x) on the fly for each call of the corresponding method localVol. So yes, I expect it to be inefficient. Implementing it so that it samples the volatility on a given grid and then interpolates it would probably give a speedup.