Posted by
Ferdinando M. Ametrano-3 on
Aug 24, 2011; 2:17pm
URL: http://quantlib.414.s1.nabble.com/Bermudan-LLM-tp9645p9649.html
Hi Kakhkhor
I apologize, I completely misinterpreted your question, my fault.
As you wrote ATLAS would be problematic because in Windows it is
available only if using cygwin, as far as I know. Besides it is plain
C, isn't it?
What about using uBLAS, the C++ boost implementation?
As you understand moving to uBLAS would be a major change anyway and
to do it in a backward compatible way (i.e. not dropping support for
QuantLib::Matrix, QuantLib::Array, etc.) would be even more
challenging, so Luigi opinion on this will rule.
Unfortunately as he gets older he's more and more conservative ;-)
I for one would support a transition to uBLAS and removing all the
QuantLib code that could be replaced by boost (e.g. math and stat
functions), maybe on a QuantLib 2.x branch which would be not backward
compatible with the 1.x branch
ciao -- Nando
On Wed, Aug 24, 2011 at 12:37 AM, Kakhkhor Abdijalilov
<
[hidden email]> wrote:
> Longstaff-Schwartz method for Bermudan LLM requires OLS for every
> early exercise opportunity, not just once.
> I checked "Numerical recipes", Demel's and Golub's books and all
> recommend not to use normal equations to solve OLS. Equity version of
> Longstaff-Schwartz in QuantLib uses SVD too.
>
> The cost of SVD scales as SAMPLES*FACTORS^3, but the cost of path
> generation scales as SAMPLES*FACTORS^2. SVD doesn't scale well as more
> CPU cores are used, but path generation should scale almost perfectly.
>
> Regards,
> Kakhkhor Abdijalilov.
>
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