Pricing volatility surface fast

Posted by ivanf1 on Jul 28, 2008; 6:04pm
URL: http://quantlib.414.s1.nabble.com/Pricing-volatility-surface-fast-tp6311.html

Hi,

I have taken the EquityOption example that comes with QL and modified it to just use the FiniteDifference code. I have also added code so that it handles discreet dividends.

My question is, I am naively pricing the whole term structure and smirk by using a for loop and changing the strike/payoff/maturity.

Is there a function that just takes a payoff vector, a maturity vecotr,  a dividend vector, etc and returns the price for all the options on the volatility surface?

Alternatively, I have tried to run each of the aformentioned calls in the for loop by using paralle_for code using OpenMP, but the boost libraries bomb. Is Boost/QuantLib thread-safe?

I would be grateful for any direction in pricing many many equity options with discreet dividends __fast__.

Thank You,

Ivan