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Re: Kooql

Posted by Kakhkhor Abdijalilov on Aug 09, 2010; 1:20am
URL: http://quantlib.414.s1.nabble.com/Kooql-tp7085p7095.html

Dear Mark,
Dear QuantLib users,
The Kooderive project looks very interesting. I curious about specs of
GPU/CPU the tests were run. What kind of floating point numbers were
used, double or single?

Currently I am working on multicore implementation of LMM too. One
problem with many factor models is that, Longstaff-Schwarz method
requires huge amount of memory to store paths. I am considering to use
floats to save space and for better speedup with  SSE2. But not sure
about numerical error. Do you thing that single precision accuracy is
enough in most of cases?

How would Longstaff-Schwarz be implemented on GPU? Is there any
scalable implementation of the regression part?

Also, why cuda evolver needs to transfer path to CPU? Can't GPU price
all paths and simply return the results?

With cuda evolver 6 seconds were used for transferring paths. Does it
mean that without transferring path the total time can be reduced from
32 to 26 seconds?

Regards,
Kakhkhor Abdijalilov.

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