Hi Bernhard,
apologies for the delay.
On Mon, 2009-04-20 at 04:33 -0700, Bernhard MAeder wrote:
> I've got a question about the usage of the Settings::evaluationDate() in a
> multithreaded environment.
>
> First of all, I'm not completely sure whether I really need to set this. I'm
> evaluating bonds and barrier options only. Where exactly is the Settings
> class really used?
It might be used for determining what coupons are still to be paid and
what coupons are expired. In case of floating-rate bonds, it's
definitely used to determine what libor fixings are to be forecast and
what are fixed.
> Second, I would like to evaluate multiple instruments for different
> valuation dates, and I want to do this concurrently with multiple threads.
> It appears to me, that - if I really need to use the Settings singleton -
> this would not be possible at all. Do I miss something here?
You can turn the Singleton in a Multiton, so to speak. If you define
the QL_ENABLE_SESSIONS macro, you can have a different Singleton
instance (and therefore a different valuation date) for each thread.
You'll have to provide and link with your program a function sessionId()
that returns a different integer for each thread (the mechanism to do
that is up to you.) Finally, to define the macro: if you're using
Windows, edit ql/userconfig.hpp and uncomment the macro definition (it's
at the end of the file.) If you're using another platform, run
configure as
./configure --enable-sessions
Luigi
--
No, I'm not interested in developing a powerful brain. All I'm after
is just a mediocre brain, something like the president of American
Telephone and Telegraph Company.
-- Alan Turing on the possibilities of a thinking machine, 1943.
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