Kooderive
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Dear All,
various people have shown interest in the use of CUDA with QuantLib. I have now made some progress on a CUDA implementation of the LIBOR market model. In particular, I now have a path generator for the LMM working which does 16384 paths for 40 rates, 40 steps, 5 factor model, displaced diffusion predictor-corrector that takes 0.1 seconds on my Quadro 4600. The state of the project is code fragments that can be called from other code. Those who are interested can get the code via the subversion repository on kooderive.sourceforge.net . The only project file is currently for VC9 x64. It also uses thrust and the CUDA SDK. The next stage will be writing routines, that use QuantLib for the CPU stuff and kooderive for the GPU stuff, to actually price things. A gentle reminder that I will be giving a course on the LMM and QuantLib in June in London, and I will include a session on kooderive if there is sufficient interest. I am happy to take code contributions for kooderive. However, I am not looking for a redesign of the library or contributions which introduce dependence on other libraries. I am interested in contributions of separate routines and of optimizations of existing routines that do not change interfaces. regards Mark -- Pricing exotic interest rate derivatives - The LIBOR Market Model in QuantLib June 2010, London, http://www.moneyscience.com/training/index.html Assoc Prof Mark Joshi Centre for Actuarial Studies University of Melbourne My website is www.markjoshi.com ------------------------------------------------------------------------------ The Planet: dedicated and managed hosting, cloud storage, colocation Stay online with enterprise data centers and the best network in the business Choose flexible plans and management services without long-term contracts Personal 24x7 support from experience hosting pros just a phone call away. http://p.sf.net/sfu/theplanet-com _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hello does anyone know of a Quantlib-based course, or private tuition, based in London?
I work for a French investment bank I am keen to get my employer to use Quantlib. Towards this goal, I would like to learn the package thoroughly either through a class or through personal learning. I would be happy to "band together" with a few other London-based people to get this done, or to fund this myself. I hope this is the right forum for this request. Thanks and regards, Tom ------------------------------------------------------------------------------ SOLARIS 10 is the OS for Data Centers - provides features such as DTrace, Predictive Self Healing and Award Winning ZFS. Get Solaris 10 NOW http://p.sf.net/sfu/solaris-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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E.g.
Mark Joshi: Pricing exotic interest rate derivatives - The LIBOR Market Model in QuantLib June 2010, London, http://www.moneyscience.com/training/index.html On Sat, Feb 13, 2010 at 6:20 PM, <[hidden email]> wrote: > Hello does anyone know of a Quantlib-based course, or private tuition, based in London? > > I work for a French investment bank I am keen to get my employer to use Quantlib. Towards this goal, I would like to learn the package thoroughly either through a class or through personal learning. I would be happy to "band together" with a few other London-based people to get this done, or to fund this myself. I hope this is the right forum for this request. > > Thanks and regards, > > Tom > > ------------------------------------------------------------------------------ > SOLARIS 10 is the OS for Data Centers - provides features such as DTrace, > Predictive Self Healing and Award Winning ZFS. Get Solaris 10 NOW > http://p.sf.net/sfu/solaris-dev2dev > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ------------------------------------------------------------------------------ SOLARIS 10 is the OS for Data Centers - provides features such as DTrace, Predictive Self Healing and Award Winning ZFS. Get Solaris 10 NOW http://p.sf.net/sfu/solaris-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by totalbull
Hello,
Telecom-Bretagne in Brest (France) ran a short course on "C++ for Finance with Quantlib" in Dec 09. I'm in the process of tidying up the lecture notes, and can send them your way when it's done. It's an introductory seminar for 3rd year engineering students, but may still be of help. Cheers, Patrick Hénaff On Sat, 2010-02-13 at 17:20 +0000, [hidden email] wrote: > Hello does anyone know of a Quantlib-based course, or private tuition, based in London? > > I work for a French investment bank I am keen to get my employer to use Quantlib. Towards this goal, I would like to learn the package thoroughly either through a class or through personal learning. I would be happy to "band together" with a few other London-based people to get this done, or to fund this myself. I hope this is the right forum for this request. > > Thanks and regards, > > Tom > > ------------------------------------------------------------------------------ SOLARIS 10 is the OS for Data Centers - provides features such as DTrace, Predictive Self Healing and Award Winning ZFS. Get Solaris 10 NOW http://p.sf.net/sfu/solaris-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Dear Patrick
I guess we are many who could benefit from the lecture notes you mention. I would definitely be happy to have a copy as well. Maybe it could be put somewhere on the web so that all users could access it? Also it might resolve some of the problems people share on the QuantLib mail on beforehand. Best regards, Peter -----Oprindelig meddelelse----- Fra: P. Henaff [mailto:[hidden email]] Sendt: Tuesday, February 16, 2010 12:49 PM Til: [hidden email] Cc: Henaff, Patrick; [hidden email] Emne: Re: [Quantlib-users] Quantlib course Hello, Telecom-Bretagne in Brest (France) ran a short course on "C++ for Finance with Quantlib" in Dec 09. I'm in the process of tidying up the lecture notes, and can send them your way when it's done. It's an introductory seminar for 3rd year engineering students, but may still be of help. Cheers, Patrick Hénaff On Sat, 2010-02-13 at 17:20 +0000, [hidden email] wrote: > Hello does anyone know of a Quantlib-based course, or private tuition, based in London? > > I work for a French investment bank I am keen to get my employer to use Quantlib. Towards this goal, I would like to learn the package thoroughly either through a class or through personal learning. I would be happy to "band together" with a few other London-based people to get this done, or to fund this myself. I hope this is the right forum for this request. > > Thanks and regards, > > Tom > > ------------------------------------------------------------------------------ SOLARIS 10 is the OS for Data Centers - provides features such as DTrace, Predictive Self Healing and Award Winning ZFS. Get Solaris 10 NOW http://p.sf.net/sfu/solaris-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ SOLARIS 10 is the OS for Data Centers - provides features such as DTrace, Predictive Self Healing and Award Winning ZFS. Get Solaris 10 NOW http://p.sf.net/sfu/solaris-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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On Wed, 2010-02-17 at 09:26 +0100, Peter Toke Heden Ahlgren wrote:
> I guess we are many who could benefit from the lecture notes you > mention. I would definitely be happy to have a copy as well. Maybe it > could be put somewhere on the web so that all users could access it? I can put it on the QuantLib site. Luigi -- Debugging is twice as hard as writing the code in the first place. Therefore, if you write the code as cleverly as possible, you are, by definition, not smart enough to debug it. -- Brian W. Kernighan ------------------------------------------------------------------------------ SOLARIS 10 is the OS for Data Centers - provides features such as DTrace, Predictive Self Healing and Award Winning ZFS. Get Solaris 10 NOW http://p.sf.net/sfu/solaris-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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