Re: Openmp work on mcarlo : Dynamic Creator MT

Posted by Joseph Wang-4 on Sep 12, 2014; 4:09am
URL: http://quantlib.414.s1.nabble.com/Re-Openmp-work-on-mcarlo-Dynamic-Creator-MT-tp15832p15854.html

Yes.  It would it be nice if we could get it in.

My experience with MC is that the big bottleneck with parallel
applications is a testing issue (i.e. how to you verify that the
number is correct).  The approach that is industry standard involved
using an RNG that can be started at a given location and to generate
the same random number for parallel and standard paths.  I know of one
bank where they ended up using mesenne twister for this.

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