R: Why is Quant math implemented in Floating Point?

[Gianni Piolanti]

Hi Peter,

As far as I know if you need to generate sobol numbers the algorithm is better implemented using
floating point arithmetic.
In my little contribution to developing a faure sequence (you can find it under randomnumbers directory)
we have only used long int data types.
In my opinion you should study every algorithm and try to "reverse" it to the
integer arithmetic that best fits your cpu but before doing it you should also pay attention to
integer versus floating operations benchmarks.

ciao,
Gianni.

 

----- Messaggio Originale -----

Da: Moreton, Peter

Inviato: 13 July 2006 12:20

A: [hidden email]

Oggetto: [Quantlib-users] Why is Quant math implemented in Floating Point?

 

Hi,

I have a simple question, which I'm sure has a straightforward answer: Given that some of the commonly used Quant algorithms are quite compute intensive, especially the Monte-Carlo routines, why are they so frequently implemented using Floating point maths? - wouldn't these routines run much faster if coded using scaled-integers?

Peter Moreton
Getronics UK Ltd


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[Moreton, Peter]

Hi Gianni,
Thanks for this advice; I'm working on a port of a European Lookback Option algorithm from Floating point to Integer right now. I'll post the resulting benchmarks (FP vs Integer) to the list.
Regards, Peter Moreton

________________________________

From: Gianni Piolanti [mailto:[hidden email]]
Sent: Thu 13/07/2006 20:52
To: Moreton, Peter; quantlib-users
Subject: R: [Quantlib-users] Why is Quant math implemented in Floating Point?


Hi Peter,
As far as I know if you need to generate sobol numbers the algorithm is better implemented using
floating point arithmetic.
In my little contribution to developing a faure sequence (you can find it under randomnumbers directory)
we have only used long int data types.
In my opinion you should study every algorithm and try to "reverse" it to the
integer arithmetic that best fits your cpu but before doing it you should also pay attention to
integer versus floating operations benchmarks.

ciao,
Gianni.
 

        ----- Messaggio Originale -----
        Da: Moreton, Peter
        Inviato: 13 July 2006 12:20
        A: [hidden email]
        Oggetto: [Quantlib-users] Why is Quant math implemented in Floating Point?
         
        Hi,
       
        I have a simple question, which I'm sure has a straightforward answer: Given that some of the commonly used Quant algorithms are quite compute intensive, especially the Monte-Carlo routines, why are they so frequently implemented using Floating point maths? - wouldn't these routines run much faster if coded using scaled-integers?
       
        Peter Moreton
        Getronics UK Ltd
       
       
        -------------------------------------------------------------------------
        Using Tomcat but need to do more? Need to support web services, security?
        Get stuff done quickly with pre-integrated technology to make your job easier
        Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
        http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
        _______________________________________________
        QuantLib-users mailing list
        [hidden email]
        https://lists.sourceforge.net/lists/listinfo/quantlib-users
       


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