accelerating QuantLib on multi-core CPUs

[Ilya Mirman]

Hello,

 

As a test-case of accelerating QuantLib on multi-core CPUs, we have multithreaded the Discrete Hedging example using our product (Cilk++), and have gotten what (I think) are pretty awesome results (~14X on a 16-core system, chart provided below). 

 

Details are available at www.cilk.com/quantlib

 

Before doing much more to accelerate QuantLib, we’d be interested to hear from users and developers – to get a sense for what might be popular functions worth accelerating.  Since we are coders without domain expertise, it would be great to get some insight from folks working with QuantLib.  If anyone can spare a few minutes for a conversation on this, we’d love to hear from you.

 

Thank you,

Ilya Mirman

ilya[at]cilk[dot]com

Cilk Arts www.cilk.com 

 

 

 

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