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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