Wsrtjtyk

Here is my dilemma:

• I am trying to price a physical asset to do this I need to simulate a lot of random paths.


• After each path is simulated I have to fill 26 equally sized matrices that are linked to not only the price paths but also to each other


• The problem I am having is that I am forced to go row by row in these matrices and this is really slowing down my code (13.33 seconds per simulation)


• What I mean by the matrices are linked is that if you have 2 matrices A and B that are already initialized (so the first rows are filled with initial values) row 2 of B is a function of row 1 of A, then row 2 of A is a function of row 2 of B, then row 3 of B is a function of row 2 of A so I can't fill be without filling A and vice versa.


• In reality the functions that link them are very very complex and the row of one matrix can be a function of the rows of up to 5 other matrices and the indices of the rows of these 5 matrices are not always as simple as row at index -1 and row at same index.


• I am finding myself forced go through all the matrices row by row to fill them all. So I am forced to fill row 2 of matrice B then row 2 of matrice A then row 3 of matrice B then row 3 of matrice A...

I will give the following reproducible example just to make it clear what I mean by linked together and what I am doing now. Please understand that on reality the functions are way more complex and so the links of the matrices between each other as well.

a <- matrix(c(1,0,0,1,0,0,1,0,0), nrow = 3, ncol = 3)

b <- matrix(c(2,0,0,2,0,0,2,0,0), nrow = 3, ncol = 3)



function_fill_a <- function(a, b, r = 2){

  a[r, ] <- a[r,] + b[r, ]

  return(a)

}



function_fill_b <- function(a, b, r = 2){

  b[r, ] <- a[r-1,] + 2

  return(b)

}



for( i in 2:nrow(a)){

  b <- function_fill_b(a, b, i)

  a <- function_fill_a(a, b, i)

}

Is there a way to not be forced to use this for loop at the end because it is what is slowing down my code I am certain.

EDIT - Reply to comments

in my code this for loop is actually a function that takes a list of matrices and then it applies the functions on the matrices in the list.

so it looks like this:

m <- list("a" = a, "b"= b)



fill_all <- function(m){

    for( i in 2:nrow(m$a)){

      m$b <- function_fill_b(m$a, m$b, i)

      m$a <- function_fill_a(m$a, m$b, i)

    }

return(m)

    }



m <- fill_all(m)

If I use Rcpp will I have to rewrite all the functions or only this last one ? is there a way to call these functions written in R into the cppFunction ?