Re: Parallel Computing

Posted by cuchulainn on
URL: http://quantlib.414.s1.nabble.com/Parallel-Computing-tp81p85.html

Cedrick,

Have you tried parallel with OpenMP? It can be employed in an incremental fashion and is more suitable than Boost.Thread in the current context, imo.

 

Daniel Duffy

---

From: Cedrick Johnson [mailto:[hidden email]]
Sent: Mon 31-01-2011 13:35
To: Breig,Dr. Christoph (IDS GmbH)
Cc: [hidden email]
Subject: Re: [Quantlib-users] Parallel Computing

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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