Re: [Quantlib-dev] Openmp work on mcarlo : Dynamic Creator MT

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

Yes.  It would it be nice if we could get it in.

My experience with MC is that the big bottleneck with parallel
applications is a testing issue (i.e. how to you verify that the
number is correct).  The approach that is industry standard involved
using an RNG that can be started at a given location and to generate
the same random number for parallel and standard paths.  I know of one
bank where they ended up using mesenne twister for this.