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Cuda Port for Quantlib

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Jose Luis San Martin

Cuda Port for Quantlib

Hi All,

I'm interested in the Cuda port for QuantLib, at the moment I'm looking
for an open source project with high performance requirements. I have no
idea about quantitative finance but i have no problem with learn about it.

The first thing i need is some advice to know where to start, which module
could be easy to understand to start analyzing code to evaluate if is
possible the Cuda port.

Thanks in advance.

--
.:. Jose Luis .:.

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Luigi Ballabio

Re: Cuda Port for Quantlib

On Fri, 2008-09-05 at 14:39 +0200, Jose Luis San Martin wrote:
> I'm interested in the Cuda port for QuantLib, at the moment I'm
> looking for an open source project with high performance requirements.
> I have no idea about quantitative finance but i have no problem with
> learn about it.
>
> The first thing i need is some advice to know where to start, which
> module could be easy to understand to start analyzing code to evaluate
> if is possible the Cuda port.

Hi Jose Luis,
sorry for the delay. I don't know much about CUDA, except for a quick
look at the site (maybe you could provide a short overview?) so you'll
forgive the question: does CUDA require C code? (In which case we're out
of luck---QuantLib is C++ and not easily rewritable in a procedural
way.) As for a candidate module, I guess that right now the most
computationally intensive, and also one that could make use of
parallelization, is the market-model code (i.e., the stuff in
<ql/models/marketmodels>.) If a port is possible, and if you're still
interested, you might want to get in touch with Mark Joshi; he wrote
most of the market-model code and might be interested in exploring the
possibility (Mark, are you reading this? Care to step in with any
thoughts?)

Later,
Luigi

--

Glendower: I can call spirits from the vasty deep.
Hotspur: Why, so can I, or so can any man;
But will they come when you do call for them?
-- King Henry the Fourth Part I, Act III, Scene I

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Jose Luis San Martin

Re: Cuda Port for Quantlib

Hi Luigi,

Thank you for your response.

About C++ compatibility i think there is no problem. I tried some examples that comes with the SDK about the c++ integration and works without problem. Even there is integration with python.

Quoting wikipedia "CUDA (Compute Unified Device Architecture) is a compiler and set of development tools that enable programmers to use a variation of C to code algorithms for execution on the graphics processing unit (GPU)." Cuda uses the high performance of the GPUs with parallel data to improve your application performance.

You only need to migrate to cuda the portions of your code that needs high parallelism. The rest of the code might remain in C++. And as you can see on wikipedia, cuda is only available in the new Nvidia Geforce (Since 8 Series), maybe there is no use for this right now, but everything have a start ;)

If you can get me in touch with Mark, I'll be grateful.

Regards,

On Mon, Sep 15, 2008 at 5:49 PM, Luigi Ballabio <[hidden email]> wrote:

On Fri, 2008-09-05 at 14:39 +0200, Jose Luis San Martin wrote:
> I'm interested in the Cuda port for QuantLib, at the moment I'm
> looking for an open source project with high performance requirements.
> I have no idea about quantitative finance but i have no problem with
> learn about it.
>
> The first thing i need is some advice to know where to start, which
> module could be easy to understand to start analyzing code to evaluate
> if is possible the Cuda port.

Hi Jose Luis,
sorry for the delay. I don't know much about CUDA, except for a quick
look at the site (maybe you could provide a short overview?) so you'll
forgive the question: does CUDA require C code? (In which case we're out
of luck---QuantLib is C++ and not easily rewritable in a procedural
way.) As for a candidate module, I guess that right now the most
computationally intensive, and also one that could make use of
parallelization, is the market-model code (i.e., the stuff in
<ql/models/marketmodels>.) If a port is possible, and if you're still
interested, you might want to get in touch with Mark Joshi; he wrote
most of the market-model code and might be interested in exploring the
possibility (Mark, are you reading this? Care to step in with any
thoughts?)

Later,
Luigi

--

Glendower: I can call spirits from the vasty deep.
Hotspur: Why, so can I, or so can any man;
But will they come when you do call for them?
-- King Henry the Fourth Part I, Act III, Scene I

--
.:. Jose Luis .:.

Mike S-10

Re: Cuda Port for Quantlib

> maybe there is no use for this right now
That's doubtful, if i may dare to speculate.
Perhaps Mr. Joshi (or anyone) could provide a reference to
parallelizable parts of the LIBOR Market Model ?
Certainly http://scholar.google.com ought to have something to say, as well...
-Mike

On Tue, Sep 23, 2008 at 10:11 AM, Jose Luis San Martin
<[hidden email]> wrote:

> Hi Luigi,
> Thank you for your response.
> About C++ compatibility i think there is no problem. I tried some examples
> that comes with the SDK about the c++ integration and works without problem.
> Even there is integration with python.
> Quoting wikipedia "CUDA (Compute Unified Device Architecture) is a compiler
> and set of development tools that enable programmers to use a variation of C
> to code algorithms for execution on the graphics processing unit (GPU)."
> Cuda uses the high performance of the GPUs with parallel data to improve
> your application performance.
> You only need to migrate to cuda the portions of your code that needs
> high parallelism. The rest of the code might remain in C++. And as you can
> see on wikipedia, cuda is only available in the new Nvidia Geforce (Since 8
> Series), maybe there is no use for this right now, but everything have a
> start ;)
> If you can get me in touch with Mark, I'll be grateful.
> Regards,
> On Mon, Sep 15, 2008 at 5:49 PM, Luigi Ballabio <[hidden email]>
> wrote:
>>
>> On Fri, 2008-09-05 at 14:39 +0200, Jose Luis San Martin wrote:
>> > I'm interested in the Cuda port for QuantLib, at the moment I'm
>> > looking for an open source project with high performance requirements.
>> > I have no idea about quantitative finance but i have no problem with
>> > learn about it.
>> >
>> > The first thing i need is some advice to know where to start, which
>> > module could be easy to understand to start analyzing code to evaluate
>> > if is possible the Cuda port.
>>
>> Hi Jose Luis,
>> sorry for the delay. I don't know much about CUDA, except for a
>> quick
>> look at the site (maybe you could provide a short overview?) so you'll
>> forgive the question: does CUDA require C code? (In which case we're out
>> of luck---QuantLib is C++ and not easily rewritable in a procedural
>> way.) As for a candidate module, I guess that right now the most
>> computationally intensive, and also one that could make use of
>> parallelization, is the market-model code (i.e., the stuff in
>> <ql/models/marketmodels>.) If a port is possible, and if you're still
>> interested, you might want to get in touch with Mark Joshi; he wrote
>> most of the market-model code and might be interested in exploring the
>> possibility (Mark, are you reading this? Care to step in with any
>> thoughts?)
>>
>> Later,
>> Luigi
>>
>>
>>
>> --
>>
>> Glendower: I can call spirits from the vasty deep.
>> Hotspur: Why, so can I, or so can any man;
>> But will they come when you do call for them?
>> -- King Henry the Fourth Part I, Act III, Scene I
>>
>>
>
>
>
> --
> .:. Jose Luis .:.
>
> -------------------------------------------------------------------------
> This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
> Build the coolest Linux based applications with Moblin SDK & win great
> prizes
> Grand prize is a trip for two to an Open Source event anywhere in the world
> http://moblin-contest.org/redirect.php?banner_id=100&url=/
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>