Re: Cuda Port for Quantlib

Posted by Mark joshi on
URL: http://quantlib.414.s1.nabble.com/Re-Cuda-Port-for-Quantlib-tp12325.html

Thanks everyone for their interest in this.

Clearly, the pricing part of the LMM is a straight Monte Carlo simulation and so parallelizable.
I am certainly interested in pursuing the option of doing this. I have some ideas on the minimal
path to get some CUDA use into the LMM implementation of QuantLib.

I suggest forming a subgroup. Perhaps everyone who wants to participate could drop me an
e-mail.

mark
 

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