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At Dirk's suggestion I am moving this
discussion to the dev list.
Dirk Eddelbuettel <[hidden email]> wrote on
09/01/2006 08:09:14 PM:
>
> Alan,
>
> On 1 September 2006 at 17:11, Alan King wrote:
> |
> | <br><font size=2 face="sans-serif">Most banks
and computer companies look
> | to SPECfp2000 in order to rate computer and networking equipment
for financial
> | computations. But there are no financial codes in SPECfp2000.
</font>
> | <br>
> | <br><font size=2 face="sans-serif">Now, it
takes a big effort to get a
> | proof of concept performed on a bank's proprietary software. IMHO
> | this inhibits progress in the financial industry. A project
based
> | on QuantLib would leverage the open source community to get over
this problem.
> | </font>
>
> Yup and yup.
>
> | <br><font size=2 face="sans-serif">For these
reasons, we are building a
> | benchmark based on QuantLib. We will run it on a variety
of platforms,
> | including IBM's Blue Gene. I can't *guarantee* that IBM
would contribute
> | this code, but our recent history suggests that IBM is very open
to doing
> | that (Apache, COIN-OR, etc). </font>
> | <br>
> | <br><font size=2 face="sans-serif">So ---
is there any community interest
> | in a QuantLib Benchmark Project? </font>
>
> Nice idea! [ I also tend to run the bermudan swap pricer as an openMosix
test
> on my Quantian (http://dirk.eddelbuettel.com/quantian/) builds. ]
Yes I have run the Bermudan Swap pricer on various
nodes. For a benchmark
we should run multiple instruments through the pricing
portion of BSwap. Also,
it would be good to run instruments with a representative
number of cashflows.
>
> As a first approximation, building QL and running the unit tests should
work.
>
> It may make sense to continue this on the QL developer (rather than
user)
> list. And, if I may, please don't post html mail.
>
My apologies for the html mail -- I thought html was
an option on the reader side. As
far as I can tell my Notes client is sending mime
format.
>
> Cheers, Dirk
>
> --
> Hell, there are no rules here - we're trying to accomplish something.
>
-- Thomas A. Edison
Alan
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