Re: [Quantlib-dev] Bermudan LLM

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

Dear Aman,
I appreciate your offer to help.If you wish to contribute please, join
the Google group I created for the project.


Recently I took a closer look at QuantLib's matrix subroutines and
noticed the following:

(*) Internal implementation can be replaced with calls to BLAS
subroutines without affecting the interface.
(*) SVD class is much slower (up 50 times with large matrices) than
SVD from LAPACK when the later is linked to optimized BLAS such as
ATLAS.
(*) For the best performance SSE/SSE2 vector instructions can be used
to speedup path generations. These are available on all x86
architectures. Fallback to scalar form is the matter of simple macro
switch. Users wouldn't have to deal with SSE/SSE2 directly if they use
supplied payoffs.
(*) Overall speedup can be somewhere between 50 to 100 times when 12
or more CPU cores are used.

Regards,
Kakhkhor Abdijalilov.