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
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