Re: Parallel Computing
Posted by
Cedrick W. Johnson on
Jan 31, 2011; 12:35pm
URL: http://quantlib.414.s1.nabble.com/Parallel-Computing-tp81p84.html
Just throwing perhaps a potential solution out there, don't know the feasibility of it and i'm sorely lacking in my AM coffee:
You could try to use R and the RQuantlib packages to do this across multiple cores using the 'multicore' package, or either 'SNOW' and 'foreach' packages. In a little bit i'll try to put together a quick self contained example if this may be an approach using the bonds example.
Regards,
Cedrick
On Mon, Jan 31, 2011 at 4:15 AM, Breig, Dr. Christoph (IDS GmbH)
<[hidden email]> wrote:
Hi,
during the last days
I was trying parallel computing using quantlib and boost::threads. I
tried to price a large amount of bonds similar to the one-bond example
bonds.cpp. One thread calculated one bond. For testing purposes I ran two
threads at the same time on a two core machine. Unfortunately the two thread
method did not work (the one thread method and a almost fully mutexed method
worked fine). Does anybody have experience with parallel computing using
QuantLib? Possibly it does not work through global parameters like settlement
date?
Cheers!
Chris
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