Re: [Quantlib-dev] Cuda Port for Quantlib

[Jose L. S. M. <jos...@gm...>]

Hi Luigi,
Thank you for your response.

About C++ compatibility i think there is no problem. I tried some examples
that comes with the SDK about the c++ integration and works without problem.
Even there is integration with python.

Quoting wikipedia "CUDA (Compute Unified Device Architecture) is a compiler
and set of development tools that enable programmers to use a variation of C
to code algorithms for execution on the graphics processing unit (GPU)."
 Cuda uses the high performance of the GPUs with parallel data to improve
your application performance.

You only need to migrate to cuda the portions of your code that needs
high parallelism. The rest of the code might remain in C++. And as you can
see on wikipedia, cuda is only available in the new Nvidia Geforce (Since 8
Series), maybe there is no use for this right now, but everything have a
start ;)

If you can get me in touch with Mark, I'll be grateful.

Regards,

On Mon, Sep 15, 2008 at 5:49 PM, Luigi Ballabio <lui...@gm...>wrote:

> 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
>
>
>


-- 
.:. Jose Luis .:.