Re: [Quantlib-dev] MonteCarlo Simulation ...

[James B. <bro...@gm...>]

On a related note Mark Joshi has made his code available via the kooderive
project (http://sourceforge.net/projects/kooderive/)
implementing accelerated Asian option pricing using CUDA. It seems to
heavily utilize the thrust library which provides a nice C++ interface to
CUDA bundled with a series of CUDA accelerated algorithms.

You could possibly, depending on the option you're wishing to price, use
kooderive as a base.

Mark made a post to this list back in February indicating the possibility of
integrating kooderive with Quantlib, I'm not sure of the current state of
this effort.

Cheers,
James

On Fri, Mar 19, 2010 at 18:04, Kim Kuen Tang <kue...@vo...> wrote:

>
> Hi Deepak,
>
> there are several ways to improve the performance. Before you do that i'
> ll suggest you to use boost::chrono to see where the bottleneck of your
> application
> is.
> http://svn.boost.org/svn/boost/sandbox/chrono/libs/chrono/doc/html/index.html
>
> It will measure the time you use for your application. For example.
> real 0.832s, cpu 0.813s (97.7%), user 0.813s, system 0.000s
>
> After that you can playing around by changing the container ( from
> vector to list or to quantlib::array, boost::array,...)
> Try to rewrite your payoff function.
>
> If all this dont help , i 'll suggest you to port your calculation into
> a graphic processor. To help you get starting see the article from
>
> Mark S. Joshi
> Graphical Asian Options
> Abstract
> We study the problem of pricing an Asian option using CUDA on a graphics
> processing unit. We demonstrate that it is possible to get accuracy of
> 2E-4 in less than a fiftieth of a second.
>
> Cheers,
> Kim
>
>
> Deepak schrieb:
> >
> > Hi Guys,
> >
> > I’m using *Monte Carlo engine and Path Generators* to price some
> > option types, I want to know what steps should I take to reduce the
> > computation time, or I can say I want to improve performance, I know
> > it all depends on the number of iterations, but I can’t reduce it, I
> > want other options like distributed/Parallel/Multithreading or
> > anything similar, to price my options, if there is anything already
> > done in this direction please tell me,
> >
> > I want you guys to give your thoughts even if I’ll have to implement,
> > I want to discuss first, QuantLib is a great library may be I can
> > contribute, Please give your inputs.
> >
> > Thanks & Regards,
> > *Deepak*
> >
> >
> >
>
>
>
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