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multi-threaded swapvaluation.cpp

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jlee

multi-threaded swapvaluation.cpp

Hi,
I am trying to calculate fair swap rate and using swapvaluation.cpp from the Examples. If I call the fairRate() method several times in a loop it works fine. But when I call it using threads I get random errors. I don't think it's actually the fairRate() method but part of the creation of the Swap object.

I have attached an example from my bigger program but it reproduces the error. It's in MSVC++ 2013 and when you start the program, it prompts you for the number of threads to use. Usually if you use 10 you'll get the error, definitely if you use 20 threads. If you use only 1 thread, it loops several times and no errors occur.

Hope this helps as it took awhile to isolate but I've reached the limit of my technical skills in debugging it. If you need any more information let me know.

ql_test.rar

Luigi Ballabio

Re: multi-threaded swapvaluation.cpp

Hello,
in its default configuration, QuantLib is not thread-safe (there's
a number of global objects that you're probably writing to from
different threads and that can cause race conditions). Your program
might work ("might") if you make those globals thread-local; to do
this with VC++, edit <ql/userconfig.hpp>, uncomment the line
//# define QL_ENABLE_SESSIONS
towards the end so that the macro is defined, and recompile both
QuantLib and your program.

Hope this helps,
Luigi

On Wed, Feb 12, 2014 at 1:10 AM, jlee <[hidden email]> wrote:

> Hi,
> I am trying to calculate fair swap rate and using swapvaluation.cpp from the
> Examples. If I call the fairRate() method several times in a loop it works
> fine. But when I call it using threads I get random errors. I don't think
> it's actually the fairRate() method but part of the creation of the Swap
> object.
>
> I have attached an example from my bigger program but it reproduces the
> error. It's in MSVC++ 2013 and when you start the program, it prompts you
> for the number of threads to use. Usually if you use 10 you'll get the
> error, definitely if you use 20 threads. If you use only 1 thread, it loops
> several times and no errors occur.
>
> Hope this helps as it took awhile to isolate but I've reached the limit of
> my technical skills in debugging it. If you need any more information let me
> know.
>
> ql_test.rar <http://quantlib.10058.n7.nabble.com/file/n14958/ql_test.rar>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/multi-threaded-swapvaluation-cpp-tp14958.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> Android apps run on BlackBerry 10
> Introducing the new BlackBerry 10.2.1 Runtime for Android apps.
> Now with support for Jelly Bean, Bluetooth, Mapview and more.
> Get your Android app in front of a whole new audience. Start now.
> http://pubads.g.doubleclick.net/gampad/clk?id=124407151&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
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Re: multi-threaded swapvaluation.cpp

hi luigi

im jonghee lee

i was rebulid quantlib and my project.

quantlib building was success. however my project failed to building.

error message was there is no define sessionid() function.

may i define sessionid() ?

i was try define it, i faild...

Sent from my iPhone

> On 19 Feb 2014, at 23:32, Luigi Ballabio <[hidden email]> wrote:
>
> Hello,
> in its default configuration, QuantLib is not thread-safe (there's
> a number of global objects that you're probably writing to from
> different threads and that can cause race conditions). Your program
> might work ("might") if you make those globals thread-local; to do
> this with VC++, edit <ql/userconfig.hpp>, uncomment the line
> //# define QL_ENABLE_SESSIONS
> towards the end so that the macro is defined, and recompile both
> QuantLib and your program.
>
> Hope this helps,
> Luigi
>
>
>> On Wed, Feb 12, 2014 at 1:10 AM, jlee <[hidden email]> wrote:
>> Hi,
>> I am trying to calculate fair swap rate and using swapvaluation.cpp from the
>> Examples. If I call the fairRate() method several times in a loop it works
>> fine. But when I call it using threads I get random errors. I don't think
>> it's actually the fairRate() method but part of the creation of the Swap
>> object.
>>
>> I have attached an example from my bigger program but it reproduces the
>> error. It's in MSVC++ 2013 and when you start the program, it prompts you
>> for the number of threads to use. Usually if you use 10 you'll get the
>> error, definitely if you use 20 threads. If you use only 1 thread, it loops
>> several times and no errors occur.
>>
>> Hope this helps as it took awhile to isolate but I've reached the limit of
>> my technical skills in debugging it. If you need any more information let me
>> know.
>>
>> ql_test.rar <http://quantlib.10058.n7.nabble.com/file/n14958/ql_test.rar>
>>
>>
>>
>> --
>> View this message in context: http://quantlib.10058.n7.nabble.com/multi-threaded-swapvaluation-cpp-tp14958.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>> ------------------------------------------------------------------------------
>> Android apps run on BlackBerry 10
>> Introducing the new BlackBerry 10.2.1 Runtime for Android apps.
>> Now with support for Jelly Bean, Bluetooth, Mapview and more.
>> Get your Android app in front of a whole new audience. Start now.
>> http://pubads.g.doubleclick.net/gampad/clk?id=124407151&iu=/4140/ostg.clktrk
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
>
> ------------------------------------------------------------------------------
> Managing the Performance of Cloud-Based Applications
> Take advantage of what the Cloud has to offer - Avoid Common Pitfalls.
> Read the Whitepaper.
> http://pubads.g.doubleclick.net/gampad/clk?id=121054471&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

------------------------------------------------------------------------------
Managing the Performance of Cloud-Based Applications
Take advantage of what the Cloud has to offer - Avoid Common Pitfalls.
Read the Whitepaper.
http://pubads.g.doubleclick.net/gampad/clk?id=121054471&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

jlee

Re: multi-threaded swapvaluation.cpp

Hi Luigi,

Thanks for the reply. I was starting to fear that was the case. I quickly tried your suggestion and seems to still give me errors. I started using a mutex before calling QL which obviously fixes the problem.

Jonghee, you need to create a sessionId() method which returns a unique id (?). Luigi, correct me if I'm wrong but put this in my code:

this uses c++11 or boost.

#include <thread>

#ifdef QL_ENABLE_SESSIONS

int QuantLib::sessionId(void)

{

return std::this_thread::get_id().hash();

}

#endif

Jon

On 19 February 2014 23:10, QL <[hidden email]> wrote:

hi luigi

im jonghee lee

i was rebulid quantlib and my project.

quantlib building was success. however my project failed to building.

error message was there is no define sessionid() function.

may i define sessionid() ?

i was try define it, i faild...

Sent from my iPhone

> On 19 Feb 2014, at 23:32, Luigi Ballabio <[hidden email]> wrote:
>
> Hello,
> in its default configuration, QuantLib is not thread-safe (there's
> a number of global objects that you're probably writing to from
> different threads and that can cause race conditions). Your program
> might work ("might") if you make those globals thread-local; to do
> this with VC++, edit <ql/userconfig.hpp>, uncomment the line
> //# define QL_ENABLE_SESSIONS
> towards the end so that the macro is defined, and recompile both
> QuantLib and your program.
>
> Hope this helps,
> Luigi
>
>
>> On Wed, Feb 12, 2014 at 1:10 AM, jlee <[hidden email]> wrote:
>> Hi,
>> I am trying to calculate fair swap rate and using swapvaluation.cpp from the
>> Examples. If I call the fairRate() method several times in a loop it works
>> fine. But when I call it using threads I get random errors. I don't think
>> it's actually the fairRate() method but part of the creation of the Swap
>> object.
>>
>> I have attached an example from my bigger program but it reproduces the
>> error. It's in MSVC++ 2013 and when you start the program, it prompts you
>> for the number of threads to use. Usually if you use 10 you'll get the
>> error, definitely if you use 20 threads. If you use only 1 thread, it loops
>> several times and no errors occur.
>>
>> Hope this helps as it took awhile to isolate but I've reached the limit of
>> my technical skills in debugging it. If you need any more information let me
>> know.
>>
>> ql_test.rar <http://quantlib.10058.n7.nabble.com/file/n14958/ql_test.rar>
>>
>>
>>
>> --
>> View this message in context: http://quantlib.10058.n7.nabble.com/multi-threaded-swapvaluation-cpp-tp14958.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>> ------------------------------------------------------------------------------
>> Android apps run on BlackBerry 10
>> Introducing the new BlackBerry 10.2.1 Runtime for Android apps.
>> Now with support for Jelly Bean, Bluetooth, Mapview and more.
>> Get your Android app in front of a whole new audience. Start now.
>> http://pubads.g.doubleclick.net/gampad/clk?id=124407151&iu=/4140/ostg.clktrk
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
>

> ------------------------------------------------------------------------------
> Managing the Performance of Cloud-Based Applications
> Take advantage of what the Cloud has to offer - Avoid Common Pitfalls.
> Read the Whitepaper.
> http://pubads.g.doubleclick.net/gampad/clk?id=121054471&iu=/4140/ostg.clktrk

> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: multi-threaded swapvaluation.cpp

hi jon

thanks to rely

i'm really wanna do that.

but i can't. because i'm in situation which can not support c++11.

so...now think about pthread ...

Sent from my iPhone

On 20 Feb 2014, at 08:54, Jon Lee <[hidden email]> wrote:

Hi Luigi,
Thanks for the reply. I was starting to fear that was the case. I quickly tried your suggestion and seems to still give me errors. I started using a mutex before calling QL which obviously fixes the problem.

Jonghee, you need to create a sessionId() method which returns a unique id (?). Luigi, correct me if I'm wrong but put this in my code:

this uses c++11 or boost.

#include <thread>

#ifdef QL_ENABLE_SESSIONS
int QuantLib::sessionId(void)
{
return std::this_thread::get_id().hash();

}
#endif

Jon

On 19 February 2014 23:10, QL <[hidden email]> wrote:

hi luigi

im jonghee lee

i was rebulid quantlib and my project.

quantlib building was success. however my project failed to building.

error message was there is no define sessionid() function.

may i define sessionid() ?

i was try define it, i faild...

Sent from my iPhone

> On 19 Feb 2014, at 23:32, Luigi Ballabio <[hidden email]> wrote:
>
> Hello,
> in its default configuration, QuantLib is not thread-safe (there's
> a number of global objects that you're probably writing to from
> different threads and that can cause race conditions). Your program
> might work ("might") if you make those globals thread-local; to do
> this with VC++, edit <ql/userconfig.hpp>, uncomment the line
> //# define QL_ENABLE_SESSIONS
> towards the end so that the macro is defined, and recompile both
> QuantLib and your program.
>
> Hope this helps,
> Luigi
>
>
>> On Wed, Feb 12, 2014 at 1:10 AM, jlee <[hidden email]> wrote:
>> Hi,
>> I am trying to calculate fair swap rate and using swapvaluation.cpp from the
>> Examples. If I call the fairRate() method several times in a loop it works
>> fine. But when I call it using threads I get random errors. I don't think
>> it's actually the fairRate() method but part of the creation of the Swap
>> object.
>>
>> I have attached an example from my bigger program but it reproduces the
>> error. It's in MSVC++ 2013 and when you start the program, it prompts you
>> for the number of threads to use. Usually if you use 10 you'll get the
>> error, definitely if you use 20 threads. If you use only 1 thread, it loops
>> several times and no errors occur.
>>
>> Hope this helps as it took awhile to isolate but I've reached the limit of
>> my technical skills in debugging it. If you need any more information let me
>> know.
>>
>> ql_test.rar <http://quantlib.10058.n7.nabble.com/file/n14958/ql_test.rar>
>>
>>
>>
>> --
>> View this message in context: http://quantlib.10058.n7.nabble.com/multi-threaded-swapvaluation-cpp-tp14958.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>> ------------------------------------------------------------------------------
>> Android apps run on BlackBerry 10
>> Introducing the new BlackBerry 10.2.1 Runtime for Android apps.
>> Now with support for Jelly Bean, Bluetooth, Mapview and more.
>> Get your Android app in front of a whole new audience. Start now.
>> http://pubads.g.doubleclick.net/gampad/clk?id=124407151&iu=/4140/ostg.clktrk
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
>

> ------------------------------------------------------------------------------
> Managing the Performance of Cloud-Based Applications
> Take advantage of what the Cloud has to offer - Avoid Common Pitfalls.
> Read the Whitepaper.
> http://pubads.g.doubleclick.net/gampad/clk?id=121054471&iu=/4140/ostg.clktrk

> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev