[Quantlib-dev] Openmp work on mcarlo

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

I've done some more parallelization with openmp and quantlib.  I've
uploaded the changes to the https://github.com/joequant/quantlib.  The
branch openmp has some changes that I've issued a pull-request for.
openmp-mcario has some changes that need some more work.

I've gotten the MC to work by generating the paths in a critical
situation.  Calculating the prices once I have the path is multithreaded,
but right now I need to generate the paths in a single thread to make sure
that the same sequence is generated.

The big issue right now is that there is a race condition in the
calculation of barrier options which is causing one regression test to
fail.  The problem is that the random number generator is being called in
BarrierPathPricer, and since that is run multithread, the sequence that is
being pulled will change from run to run based on whether other paths have
pulled random numbers already.

I think that fixing this is going to need some code restructuring, but I'd
like to get some thoughts as to how to do this.  Basically, the interface
needs to be changed slightly so that the random numbers are drawn in a
fixed order, and that might mean one call to get any additional random
numbers in a pricer, which gets called in a critical section, and another
to run the pricer with the random numbers.