QuantLib Benchmark Project?

[Alan King-2]

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.  

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.  

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).  

So --- is there any community interest in a QuantLib Benchmark Project?    

Best wishes,
Alan

Alan King
Math Sciences
IBM Thomas J Watson Research Center
914-945-1236
http://www.research.ibm.com/people/k/kingaj/

[Dirk Eddelbuettel]

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. &nbsp;But there are no financial codes in SPECfp2000. &nbsp;</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. &nbsp;IMHO
| this inhibits progress in the financial industry. &nbsp;A project based
| on QuantLib would leverage the open source community to get over this problem.
| &nbsp;</font>

Yup and yup.

| <br><font size=2 face="sans-serif">For these reasons, we are building a
| benchmark based on QuantLib. &nbsp;We will run it on a variety of platforms,
| including IBM's Blue Gene. &nbsp;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). &nbsp; </font>
| <br>
| <br><font size=2 face="sans-serif">So --- is there any community interest
| in a QuantLib Benchmark Project? &nbsp; &nbsp;</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. ]

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.

Cheers, Dirk

--
Hell, there are no rules here - we're trying to accomplish something.
                                                  -- Thomas A. Edison