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Re: [Quantlib-dev] OpenMP - current usage in ql
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From: Klaus S. <kl...@sp...> - 2014-06-15 12:00:23
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Hi Peter, I share your experiences, OpenMP slows down QL on my hardware as well. OpenMP might work for very large problems but for "normal" problems the overhead kills the speed-up. I'd rather remove it. regards Klaus On Saturday, June 14, 2014 08:10:55 PM Peter Caspers wrote: > Hello, > > enabling OpenMP slows down the test-suite on my maching significantly. > Compiling with gcc 4.10.0 and O3 on my i7-2760QM@2.40GHz I get the > timings below (left = OpenMP enabled, right = disabled), using all 8 > threads. > > Am I doing something wrong here, does anyone gets a different picture > ? If no I wonder, should we better remove the existing #pragmas in the > fd and tree part of the library again ? > > Thanks a lot > Peter > > Testing Barone-Adesi and Whaley approximation for American options... > Testing Bjerksund and Stensland approximation for American options... > Testing Ju approximation for American options... > Testing finite-difference engine for American options... > Testing finite-differences American option greeks... > Testing finite-differences shout option greeks... > > Tests completed in 20.25 s / Tests completed in 1.63 s > > Testing analytic continuous geometric average-price Asians... > Testing analytic continuous geometric average-price Asian greeks... > Testing analytic discrete geometric average-price Asians... > Testing analytic discrete geometric average-strike Asians... > Testing Monte Carlo discrete geometric average-price Asians... > Testing Monte Carlo discrete arithmetic average-price Asians... > Testing Monte Carlo discrete arithmetic average-strike Asians... > Testing discrete-averaging geometric Asian greeks... > Testing use of past fixings in Asian options... > > Tests completed in 19.28 s / Tests completed in 6.16 s > > Testing barrier options against Haug's values... > Testing barrier options against Babsiri's values... > Testing barrier options against Beaglehole's values... > Testing local volatility and Heston FD engines for barrier options... > > Tests completed in 13.86 s / Tests completed in 2.70 s > > Testing dividend European option values with no dividends... > Testing dividend European option with a dividend on today's date... > Testing dividend European option greeks... > Testing finite-difference dividend European option values... > Testing finite-differences dividend European option greeks... > Testing finite-differences dividend American option greeks... > Testing degenerate finite-differences dividend European option... > Testing degenerate finite-differences dividend American option... > > Tests completed in 25.06 s / Tests completed in 3.55 s > > Testing FDM with barrier option for Heston model vs Black-Scholes model... > Testing FDM with barrier option in Heston model... > Testing FDM with American option in Heston model... > Testing FDM Heston for Ikonen and Toivanen tests... > Testing FDM Heston with Black Scholes model... > Testing FDM with European option with dividends in Heston model... > Testing FDM Heston convergence... > > Tests completed in 3 m 31.86 s / Tests completed in 44.90 s > > Testing indexing of a linear operator... > Testing uniform grid mesher... > Testing application of first-derivatives map... > Testing application of second-derivatives map... > Testing application of second-order mixed-derivatives map... > Testing triple-band map solution... > Testing FDM with barrier option in Heston model... > Testing FDM with American option in Heston model... > Testing FDM with express certificate in Heston model... > Testing FDM with Heston Hull-White model... > Testing bi-conjugated gradient stabilized algorithm with Heston operator... > Testing Crank-Nicolson with initial implicit damping steps for a > digital option... > Testing SparseMatrixReference type... > Testing assignment to zero in sparse matrix... > > Tests completed in 46.73 s / Tests completed in 6.63 s > > ---------------------------------------------------------------------------- > -- HPCC Systems Open Source Big Data Platform from LexisNexis Risk Solutions > Find What Matters Most in Your Big Data with HPCC Systems > Open Source. Fast. Scalable. Simple. Ideal for Dirty Data. > Leverages Graph Analysis for Fast Processing & Easy Data Exploration > http://p.sf.net/sfu/hpccsystems > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
