Re: [Quantlib-dev] Cuda Port for Quantlib

[Luigi B. <lui...@gm...>]

On Fri, 2008-09-05 at 14:39 +0200, Jose Luis San Martin wrote:
> I'm interested in the Cuda port for QuantLib, at the moment I'm
> looking for an open source project with high performance requirements.
> I have no idea about quantitative finance but i have no problem with
> learn about it.
> 
> The first thing i need is some advice to know where to start, which
> module could be easy to understand to start analyzing code to evaluate
> if is possible the Cuda port.

Hi Jose Luis,
	sorry for the delay.  I don't know much about CUDA, except for a quick
look at the site (maybe you could provide a short overview?) so you'll
forgive the question: does CUDA require C code? (In which case we're out
of luck---QuantLib is C++ and not easily rewritable in a procedural
way.)  As for a candidate module, I guess that right now the most
computationally intensive, and also one that could make use of
parallelization, is the market-model code (i.e., the stuff in
<ql/models/marketmodels>.)  If a port is possible, and if you're still
interested, you might want to get in touch with Mark Joshi; he wrote
most of the market-model code and might be interested in exploring the
possibility (Mark, are you reading this? Care to step in with any
thoughts?)

Later,
	Luigi



-- 

Glendower: I can call spirits from the vasty deep. 
Hotspur: Why, so can I, or so can any man; 
But will they come when you do call for them? 
-- King Henry the Fourth Part I, Act III, Scene I