Login  Register

Kooql

Posted by Mark joshi-2 on Jul 23, 2010; 4:54am
URL: http://quantlib.414.s1.nabble.com/Kooql-tp7085.html

Dear All,

so I finally made some progress on integrating CUDA and Quantlib.

In particular, I have developed two classes

MarketModelEvolverLMMPC_CUDA

and

SobolCudaBrownianGenerator

The first of these does LMM path generation on the GPU in the spot
measure using predictor-corrector and can be directly fitted into the
MarketModels code.

The second generates a MultiDimensional Brownian motion using Sobol
and Brownian bridging and the paths can then be used in any application.

Typical timing to price 32 caplets,
32 rates, 32 steps, 32 factor model

524272 paths

using cuda evolver: 32 seconds, of which 7 seconds on path generation
and 6 seconds on transferring paths to CPU

using QL evolver : 135 seconds

using QL Evolver with SobolCudaBrownianGenerator: 79 seconds.

The code can be obtained via the subversion repository at
kooderive.sourceforge.net

Clearly, much greater speed-ups are possible but will involve more
code redesign to avoid transferring complete paths from GPU to CPU.

regards

Mark



--


Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

------------------------------------------------------------------------------
This SF.net email is sponsored by Sprint
What will you do first with EVO, the first 4G phone?
Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users