Hi Guys,
I’m using Monte Carlo
engine and Path Generators to price some option types, I want to know
what steps should I take to reduce the computation time, or I can say I want to
improve performance, I know it all depends on the number of iterations, but I can’t
reduce it, I want other options like distributed/Parallel/Multithreading or anything
similar, to price my options, if there is anything already done in this direction
please tell me,
I want you guys to give your thoughts even if I’ll have
to implement, I want to discuss first, QuantLib is a great library may be I can
contribute, Please give your inputs.
Thanks & Regards,
Deepak
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