Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Cuda-Port-for-Quantlib-tp12256p12257.html
On Fri, 2008-09-05 at 14:39 +0200, Jose Luis San Martin wrote:
> I'm interested in the Cuda port for QuantLib, at the moment I'm
> looking for an open source project with high performance requirements.
> I have no idea about quantitative finance but i have no problem with
> learn about it.
>
> The first thing i need is some advice to know where to start, which
> module could be easy to understand to start analyzing code to evaluate
> if is possible the Cuda port.
Hi Jose Luis,
sorry for the delay. I don't know much about CUDA, except for a quick
look at the site (maybe you could provide a short overview?) so you'll
forgive the question: does CUDA require C code? (In which case we're out
of luck---QuantLib is C++ and not easily rewritable in a procedural
way.) As for a candidate module, I guess that right now the most
computationally intensive, and also one that could make use of
parallelization, is the market-model code (i.e., the stuff in
<ql/models/marketmodels>.) If a port is possible, and if you're still
interested, you might want to get in touch with Mark Joshi; he wrote
most of the market-model code and might be interested in exploring the
possibility (Mark, are you reading this? Care to step in with any
thoughts?)
Later,
Luigi
--
Glendower: I can call spirits from the vasty deep.
Hotspur: Why, so can I, or so can any man;
But will they come when you do call for them?
-- King Henry the Fourth Part I, Act III, Scene I
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