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Re: OpenMP - current usage in ql

Posted by Klaus Spanderen-2 on Jun 15, 2014; 12:00pm
URL: http://quantlib.414.s1.nabble.com/OpenMP-current-usage-in-ql-tp15458p15459.html

Hi Peter,

 

I share your experiences, OpenMP slows down QL on my hardware as well. OpenMP might work for very large problems but for "normal" problems the overhead kills the speed-up. I'd rather remove it.

 

regards

Klaus

 

On Saturday, June 14, 2014 08:10:55 PM Peter Caspers wrote:

> Hello,

>

> enabling OpenMP slows down the test-suite on my maching significantly.

> Compiling with gcc 4.10.0 and O3 on my i7-2760QM@2.40GHz I get the

> timings below (left = OpenMP enabled, right = disabled), using all 8

> threads.

>

> Am I doing something wrong here, does anyone gets a different picture

> ? If no I wonder, should we better remove the existing #pragmas in the

> fd and tree part of the library again ?

>

> Thanks a lot

> Peter

>

> Testing Barone-Adesi and Whaley approximation for American options...

> Testing Bjerksund and Stensland approximation for American options...

> Testing Ju approximation for American options...

> Testing finite-difference engine for American options...

> Testing finite-differences American option greeks...

> Testing finite-differences shout option greeks...

>

> Tests completed in 20.25 s / Tests completed in 1.63 s

>

> Testing analytic continuous geometric average-price Asians...

> Testing analytic continuous geometric average-price Asian greeks...

> Testing analytic discrete geometric average-price Asians...

> Testing analytic discrete geometric average-strike Asians...

> Testing Monte Carlo discrete geometric average-price Asians...

> Testing Monte Carlo discrete arithmetic average-price Asians...

> Testing Monte Carlo discrete arithmetic average-strike Asians...

> Testing discrete-averaging geometric Asian greeks...

> Testing use of past fixings in Asian options...

>

> Tests completed in 19.28 s / Tests completed in 6.16 s

>

> Testing barrier options against Haug's values...

> Testing barrier options against Babsiri's values...

> Testing barrier options against Beaglehole's values...

> Testing local volatility and Heston FD engines for barrier options...

>

> Tests completed in 13.86 s / Tests completed in 2.70 s

>

> Testing dividend European option values with no dividends...

> Testing dividend European option with a dividend on today's date...

> Testing dividend European option greeks...

> Testing finite-difference dividend European option values...

> Testing finite-differences dividend European option greeks...

> Testing finite-differences dividend American option greeks...

> Testing degenerate finite-differences dividend European option...

> Testing degenerate finite-differences dividend American option...

>

> Tests completed in 25.06 s / Tests completed in 3.55 s

>

> Testing FDM with barrier option for Heston model vs Black-Scholes model...

> Testing FDM with barrier option in Heston model...

> Testing FDM with American option in Heston model...

> Testing FDM Heston for Ikonen and Toivanen tests...

> Testing FDM Heston with Black Scholes model...

> Testing FDM with European option with dividends in Heston model...

> Testing FDM Heston convergence...

>

> Tests completed in 3 m 31.86 s / Tests completed in 44.90 s

>

> Testing indexing of a linear operator...

> Testing uniform grid mesher...

> Testing application of first-derivatives map...

> Testing application of second-derivatives map...

> Testing application of second-order mixed-derivatives map...

> Testing triple-band map solution...

> Testing FDM with barrier option in Heston model...

> Testing FDM with American option in Heston model...

> Testing FDM with express certificate in Heston model...

> Testing FDM with Heston Hull-White model...

> Testing bi-conjugated gradient stabilized algorithm with Heston operator...

> Testing Crank-Nicolson with initial implicit damping steps for a

> digital option...

> Testing SparseMatrixReference type...

> Testing assignment to zero in sparse matrix...

>

> Tests completed in 46.73 s / Tests completed in 6.63 s

>

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HPCC Systems Open Source Big Data Platform from LexisNexis Risk Solutions
Find What Matters Most in Your Big Data with HPCC Systems
Open Source. Fast. Scalable. Simple. Ideal for Dirty Data.
Leverages Graph Analysis for Fast Processing & Easy Data Exploration
http://p.sf.net/sfu/hpccsystems
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