Hello,
After some direction from the Wilmott
forums, we have parallelized the discrete hedging example in QuantLib, and got pretty good speed-up: almost 14X on a
16-core system.
Here's the write-up: Multicore-enabling Discrete Hedging in QuantLib
It feels like Cilk++ lends itself well to taking a large library or app like QuantLib, and creating a multicore-ready version pretty
quickly, by parallelizing just the pieces involved.
I'm curious whether there's other functions in QuantLib folks are interested in parallelizing? We’d love to hear from you.
Also - Cilk++ is available for download here.
Feel free to grab a copy, and we'd be glad to help.
Cheers,
ilya
Ilya
Mirman
Cilk
Arts, Inc.
55
Cambridge Street | Burlington | MA | 01803 | USA
Tel:
781-725-2455 x709 | Mobile: 978-460-1002 | Fax: 781-253-0280 |
www.cilk.com
Don't get caught with your
multicore pants down!
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