Re: [Quantlib-dev] 答复: Adjoint Greeks

[Peter C. <pca...@gm...>]

Alex,

sure it is nice not to have to touch the code. I was just wondering if
this is the only reason to follow this path or if there are other
advantages ?

Thanks
Peter



On 2 March 2015 at 21:18, Alexander Sokol <so...@co...> wrote:
> Hi Peter:
>
> I am not yet ready to comment on the performance implications, but not
> becuase the initial test results are not clear - it is just that the
> bottleneck may not be as dependent to the overhead of "unused" adjoint
> variable. For example, if the bottleneck is in Monte Carlo, and by the time
> we get to Monte Carlo claculations every value in time slices is an AD
> variable, then there is no additional overhead at all and performance
> optimizations may turn out to be completely different from isolating non-AD
> variables from AD variables.
>
> On the other hand, the benefits of not touching much of the code are quite
> significant for continuity and avoiding a disruption to the codebase. So far
> I collected these changes in my master-adjoint-ready branch in
> github.com/compatibl/quantlib. They are faily minimal and I am planning to
> send Luigi a pull request shortly. Also, we confirmed that using a class for
> Real where inside is a regular double has no measurable performance impact
> at all because it is fully inlined. If we use our own class for Real, and
> inside that class place AD<double> or adouble, then the AD framework does
> not need to be patched at all.
>
> Best regards
> Alex
>
>
>
>
>
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>
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