Re: [Quantlib-users] Parallel Computing

[Cedrick J. <ce...@ce...>]

Just throwing perhaps a potential solution out there, don't know the
feasibility of it and i'm sorely lacking in my AM coffee:

You could try to use R and the RQuantlib packages to do this across multiple
cores using the 'multicore' package, or either 'SNOW' and 'foreach'
packages. In a little bit i'll try to put together a quick self contained
example if this may be an approach using the bonds example.

Regards,
Cedrick

On Mon, Jan 31, 2011 at 4:15 AM, Breig, Dr. Christoph (IDS GmbH) <
CHR...@in...> wrote:

>  Hi,
>
> during the last days I was trying parallel computing using quantlib and
> boost::threads. I tried to price a large amount of bonds similar to the
> one-bond example bonds.cpp. One thread calculated one bond. For testing
> purposes I ran two threads at the same time on a two core machine.
> Unfortunately the two thread method did not work (the one thread method and
> a almost fully mutexed method worked fine). Does anybody have experience
> with parallel computing using QuantLib? Possibly it does not work through
> global parameters like settlement date?
>
> Cheers!
> Chris
>
>
>
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