[Quantlib-dev] Multicore-enabling Discrete Hedging in QuantLib

[Ilya M. <il...@ci...>]

Hello,
 
After some direction from the Wilmott forums, we have parallelized the
discrete hedging example in QuantLib, and got pretty good speed-up: almost
14X on a 16-core system.

Here's the write-up: Multicore-enabling Discrete Hedging in
<http://www.cilk.com/multicore-blog/bid/8542/Multicore-enabling-Discrete-Hed
ging-in-QuantLib> QuantLib

It feels like Cilk++ lends itself well to taking a large library or app like
QuantLib, and creating a multicore-ready version pretty quickly, by
parallelizing just the pieces involved. 
 
I'm curious whether there's other functions in QuantLib folks are interested
in parallelizing?  We'd love to hear from you.
 
Also - Cilk++ is available for download here <http://www.cilk.com> .  Feel
free to grab a copy, and we'd be glad to help.

Cheers,
ilya
 
 
 
Ilya Mirman 
Cilk Arts, Inc.
55 Cambridge Street | Burlington | MA | 01803 | USA
Tel: 781-725-2455 x709 | Mobile: 978-460-1002 | Fax: 781-253-0280 |
 <http://www.cilk.com> www.cilk.com
 
 
<http://www.cilk.com/multicore-blog/bid/8097/Don-t-get-caught-with-your-mult
icore-pants-down> Don't get caught with your multicore pants down!