Re: Two QuantLib routines made available in a grid computing environment

Posted by Francesca Mariani on
URL: http://quantlib.414.s1.nabble.com/Two-QuantLib-routines-made-available-in-a-grid-computing-environment-tp5737p5740.html

Hi Luigi, below the answers to your questions: Question 1: The work described in http://www.ceri.uniroma1.it/ceri/zirilli/w2 is only available as web page there is not, at the moment, a printable version. However there is a different piece of work where a finance application (not belonging in QuantLib) has been made available in the Symphony environment where a printable paper exists [1]. Question 2: You are right the QuantLib subrourines that have been made available in the Symphony environment have not been modified. In particular they have not been made multi-threaded. Francesca [1] L. Fatone, F. Mariani, M.C. Recchioni, F. Zirilli: " Pricing realized variance options using integrated stochastic variance options in the Heston stochastic volatility model", Discrete and Continuous Dynamical Systems, Supplement 2007, (2007) 354-363 (http://www.econ.univpm.it/recchioni/finance/w4)

Luigi Ballabio wrote

Hi Francesca, On Fri, 2008-02-29 at 06:30 -0800, Francesca Mariani wrote: > The QuantLib routines: Black and Scholes formula and Monte Carlo > engine have been made available in the Symphony environment through > the applications bs_symphony and mc_symphony that are available in the > website: http://www.ceri.uniroma1.it/ceri/zirilli/w2. Interesting. Is the paper above only available as a web page, or do you have a printable version? Also, do you have a bibliographic reference we can add to the QuantLib site? > We ask the opinions of the blog users to the following question: there > is a real interest in making available QuantLib or some other > mathematical finance software in a grid computing environment? I guess there is. The question is how much the existing code should be modified to fit in a grid environment, and how much this would affect its use in a single-threaded program (I think the latter is still more relevant, since for most purposes it is enough---and much easier---to spawn multiple processes rather than threads.) Another question: from the page you mention above, I seem to understand that QuantLib was not modified at all---which makes me think that the exported functionality was made available on the grid, but was not made multi-threaded itself. Is this correct? Luigi -- Green's Law of Debate: Anything is possible if you don't know what you're talking about. ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [e-mail] https://lists.sourceforge.net/lists/listinfo/quantlib-users