Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Bootsrapping-and-multithreading-tp6026p6027.html
On Fri, 2008-05-09 at 08:01 -0700, moloko wrote:
> I've got some crash on my QL lib when 2 threads are calling my boostrap
> function at the same time.
>
> Should I turn QL_ENABLE_SESSIONS to yes and define Integer sessionId(); ?
No, that won't help. But you can work around the problem in a few ways.
If your yield curve is not going to be modified while the threads run
(i.e., if the underlying quoted rates are not going to change) you can
force bootstrap before starting the threads. You can do it by calling
yieldCurve->recalculate(), or any other methods such as
yieldCurve->discount(0.0). As long as the rates don't change, no further
bootstrap will be performed.
If your curves are going to be modified (and therefore you need the
bootstrap to be performed in the threads) you can do a couple of things.
The minimum-effort solution is to instantiate a different copy of the
curve for each thread. This means that you'll also have to instantiate
different set of rate helpers; again, one copy of each helper for each
thread. The good news is that the different copies can share the same
Quote instances.
If you want to go the full mile, you can make the bootstrap thread-safe.
I'm no expert, but you'll probably have to code the double-checked
locking pattern inside LazyObject::calculate(). See the web for details.
Hope this helps,
Luigi
--
Lubarsky's Law of Cybernetic Entomology:
There is _always_ one more bug.
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