Login  Register

Re: Financial Software Performance Benchmarking

Posted by MH_quant on May 03, 2009; 9:24pm
URL: http://quantlib.414.s1.nabble.com/Financial-Software-Performance-Benchmarking-tp7444p7449.html

Hello,


-----Original Message-----
Even
larger experiments are welcome as they allow the
benchmark to chart performance improvements over the
years without becoming "too simple".

If you have a non-proprietary financial simulation
benchmark (does not have to be based on QuantLib),
that run for minutes or hours, or have large memory
requirements, AMD would like work with you on
developing the benchmark and publishing results.
Thanks,
-----Original Message-----



Well, I am doing Vega stress tests with quantlib on a local vol surface for
an asian path-dependent option. I need Monte Carlo Simulations and lots of
pathes (which means high dimensional random variable matrices). It keeps my
dual core busy for over 50 hours.

If your AMD can do it considerably faster, I am willing to buy it :)


Greetings
Michael


------------------------------------------------------------------------------
Register Now & Save for Velocity, the Web Performance & Operations
Conference from O'Reilly Media. Velocity features a full day of
expert-led, hands-on workshops and two days of sessions from industry
leaders in dedicated Performance & Operations tracks. Use code vel09scf
and Save an extra 15% before 5/3. http://p.sf.net/sfu/velocityconf
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users