[Quantlib-dev] OpenMP heads up

[Joseph W. <joe...@gm...>]

Just a heads up.  I'm working on getting QuantLib working with parallel
computing.  I've got the system built with OpenMP, and I'm going to be
playing with getting it working with OpenMPI afterwards.

I'm going to start with the "obvious" parallel areas (i.e. parallelize
monte carlo paths) but if someone has ideas on non-obvious places to look
at parallel coding let me know.  One non-obvious place I can think of is
the tridiagonalization routine where you have to use a different algorithm
to get any parallel speedup.