Re: [Quantlib-dev] Cuda Port for Quantlib

[Mike S <mi...@gm...>]

> maybe there is no use for this right now
That's doubtful, if i may dare to speculate.
Perhaps Mr. Joshi (or anyone) could provide a reference to
parallelizable parts of the LIBOR Market Model ?
Certainly http://scholar.google.com ought to have something to say, as well...
-Mike

On Tue, Sep 23, 2008 at 10:11 AM, Jose Luis San Martin
<jos...@gm...> wrote:
> 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 .:.
>
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