[Quantlib-dev] Bermudan LLM

[Kakhkhor A. <kab...@gm...>]

Dear All,
I implemented a parallel version of Longstaff-Swartz algorithm. The
code can be found here http://code.google.com/p/qlp/.
Currently the algorithm was applied to equity options only. However
almost everything is templatized and should be applicable to LMM with
minimal changes . Compared to QuatLib's Longstaff-Swartz engine the
parallel implementation runs about 50 time faster with 4 threads.

Since single factor Monte-Carlo isn't very interesting, my actual goal
is to implement Bermudan LLM and integrate it into QuantLib. There is
one issues though.
We need an efficient SVD algorithms. The SVD in the current version of
QuantLib is OK for small matrices but I suspect it might be terribly
slow for larger matrices. A good replacement would be ATLAS. It uses
BSD-style license and can be more than 10 times faster than
un-optimized implementation. But what the developers say about
introducing additional dependencies? ATLAS is available on almost all
Linux distributions, but Windows version can be problematic.

Regards,
Kakhkhor Abdijalilov.