Re: Quantlib port for pricing on GPU

Posted by Luigi Ballabio on Mar 16, 2016; 3:28pm
URL: http://quantlib.414.s1.nabble.com/Quantlib-port-for-pricing-on-GPU-tp17344p17348.html

I don't know what it provides, but did you try looking at Mark Joshi's kooderive? (Not QuantLib-based, as far as I know.)

Luigi

On Sun, Mar 13, 2016 at 5:55 AM om.anand77 <[hidden email]> wrote:

I came across a few old post mentioning quantlib port to run on CUDA.

I am mainly interested in pricing of Equity Options.

There seem to be a couple of open source projects utilizing quantlib that
are cuda enabled. However they use basic pricing models. Dividend for most
part is not supported and neither are american options.

It would be helpful to get your answers in this regard.




--
View this message in context: http://quantlib.10058.n7.nabble.com/Quantlib-port-for-pricing-on-GPU-tp17344.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

------------------------------------------------------------------------------
Transform Data into Opportunity.
Accelerate data analysis in your applications with
Intel Data Analytics Acceleration Library.
Click to learn more.
http://pubads.g.doubleclick.net/gampad/clk?id=278785111&iu=/4140
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

------------------------------------------------------------------------------
Transform Data into Opportunity.
Accelerate data analysis in your applications with
Intel Data Analytics Acceleration Library.
Click to learn more.
http://pubads.g.doubleclick.net/gampad/clk?id=278785231&iu=/4140
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev