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multi threading in QuantLib

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Grison PG Pierre (External DEXIA-US)

multi threading in QuantLib

Hello,

Is there an easy way to deal with multi threading in QuantLib. I encounter the same problem that many people with:

Settings::instance().evaluationDate()

And other similar functions.

Thanks in advance for any help,

Pierre

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Luigi Ballabio

Re: multi threading in QuantLib

No easy way, unfortunately. The best you can do is to enable per-thread singletons. On Windows, edit ql/userconfig.hpp and uncomment

#define QL_ENABLE_SESSIONS

at the end of the file; on other platforms, run

./configure --enable-sessions

In both cases, you'll have to recompile the library and to provide a function

Integer sessionId();

that returns a unique integer for each thread and that needs to be linked together with the library and your application.

Luigi

On Tue, Nov 4, 2014 at 7:21 PM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello,

Is there an easy way to deal with multi threading in QuantLib. I encounter the same problem that many people with:

Settings::instance().evaluationDate()

And other similar functions.

Thanks in advance for any help,

Pierre

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Giorgio Pazmandi

Re: multi threading in QuantLib

In reply to this post by Grison PG Pierre (External DEXIA-US)

Hi Pierre, another alternative is to use TSS (thread safe storage). We have an implementation, based on boost_thread, that was submitted last year to QuantLib by my colleague Riccardo Ghetta (it is currently sitting in git, in the branch “thread-local-singleton”).

If you like to give it a try, you can use the git branch or the attached patch (baseline is QuantLib 1.4) and then uncomment the variable QL_ENABLE_SESSIONS_TSS (if you prefer, I can also send you a zip with the modified files).

With the patch enabled every thread has its private copy of every QL singleton, including the evaluation date.

Hoping this will help,

Giorgio

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From: Luigi Ballabio [[hidden email]]
Sent: martedì, 18. novembre 2014 12:52
To: Grison PG Pierre (External DEXIA-US)
Cc: [hidden email]
Subject: Re: [Quantlib-users] multi threading in QuantLib