[Quantlib-dev] Fw: [Quantlib-users] QuantLib Benchmark Project?

[Alan K. <ki...@us...>]

<br><font size=2 face="sans-serif">At Dirk's suggestion I am moving this
discussion to the dev list.</font>
<br>
<br>
<br><tt><font size=2>Dirk Eddelbuettel &lt;ed...@de...&gt; wrote on
09/01/2006 08:09:14 PM:<br>
<br>
&gt; <br>
&gt; Alan,<br>
&gt; <br>
&gt; On 1 September 2006 at 17:11, Alan King wrote:<br>
&gt; | <br>
&gt; | &lt;br&gt;&lt;font size=2 face=&quot;sans-serif&quot;&gt;Most banks
and computer companies look<br>
&gt; | to SPECfp2000 in order to rate computer and networking equipment
for financial<br>
&gt; | computations. &amp;nbsp;But there are no financial codes in SPECfp2000.
&amp;nbsp;&lt;/font&gt;<br>
&gt; | &lt;br&gt;<br>
&gt; | &lt;br&gt;&lt;font size=2 face=&quot;sans-serif&quot;&gt;Now, it
takes a big effort to get a<br>
&gt; | proof of concept performed on a bank's proprietary software. &amp;nbsp;IMHO<br>
&gt; | this inhibits progress in the financial industry. &amp;nbsp;A project
based<br>
&gt; | on QuantLib would leverage the open source community to get over
this problem.<br>
&gt; | &amp;nbsp;&lt;/font&gt;<br>
&gt; <br>
&gt; Yup and yup.<br>
&gt; <br>
&gt; | &lt;br&gt;&lt;font size=2 face=&quot;sans-serif&quot;&gt;For these
reasons, we are building a<br>
&gt; | benchmark based on QuantLib. &amp;nbsp;We will run it on a variety
of platforms,<br>
&gt; | including IBM's Blue Gene. &amp;nbsp;I can't *guarantee* that IBM
would contribute<br>
&gt; | this code, but our recent history suggests that IBM is very open
to doing<br>
&gt; | that (Apache, COIN-OR, etc). &amp;nbsp; &lt;/font&gt;<br>
&gt; | &lt;br&gt;<br>
&gt; | &lt;br&gt;&lt;font size=2 face=&quot;sans-serif&quot;&gt;So ---
is there any community interest<br>
&gt; | in a QuantLib Benchmark Project? &amp;nbsp; &amp;nbsp;&lt;/font&gt;<br>
&gt; <br>
&gt; Nice idea! [ I also tend to run the bermudan swap pricer as an openMosix
test<br>
&gt; on my Quantian (http://dirk.eddelbuettel.com/quantian/) builds. ]<br>
</font></tt>
<br><tt><font size=2>Yes I have run the Bermudan Swap pricer on various
nodes. &nbsp;For a benchmark</font></tt>
<br><tt><font size=2>we should run multiple instruments through the pricing
portion of BSwap. &nbsp;Also,</font></tt>
<br><tt><font size=2>it would be good to run instruments with a representative
number of cashflows.</font></tt>
<br>
<br><tt><font size=2>&gt; <br>
&gt; As a first approximation, building QL and running the unit tests should
work.<br>
&gt; <br>
&gt; It may make sense to continue this on the QL developer (rather than
user)<br>
&gt; list. &nbsp;And, if I may, please don't post html mail.<br>
&gt;</font></tt>
<br>
<br><tt><font size=2>My apologies for the html mail -- I thought html was
an option on the reader side. &nbsp;As</font></tt>
<br><tt><font size=2>far as I can tell my Notes client is sending mime
format.</font></tt>
<br>
<br><tt><font size=2>&gt; <br>
&gt; Cheers, Dirk<br>
&gt; <br>
&gt; -- <br>
&gt; Hell, there are no rules here - we're trying to accomplish something.
<br>
&gt; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;
&nbsp; &nbsp; &nbsp; &nbsp; -- Thomas A. Edison<br>
</font></tt>
<br><tt><font size=2>Alan</font></tt>