RE: [Quantlib-users] Quantlib within a multithreaded architecture.

[Toyin A. <toy...@ho...>]

Hi Ferdinando,

I'm not against the threading idea, I was just wondering why the change of 
design from a local TodaysDate where you had more flexibility of computing 
individual Theta components to the global evalDate() functionality. This to 
me was a simpler solution to implement than the threading one.

A classic example of this is finding the theta due to discounting cashflows 
only (with fixing rates and volatility values unchanged). Or theta due to 
fixing rates (vols and discounting remaining constant).

It seemed to me that by changing all the object's TodaysDate you can also 
find the global Theta change.

However I agree with you that you can get a more accurate Theta from a 
global change because you do not need to track every occurance of where 
Theta has an effect, however you lose the local theta flexability.

Because of this funnny global theta-ness it does make sense now to have a 
global date parameter (in order to make sure you capture the sum of all 
theta components), but only local to the set of objects which are to be 
effected by it. From the solution Luigi has proposed (same ID for the 
related objects), this seems possible.

Again the 'local thread storage' may be an issue, I read somewhere that it 
is an very precious resource and thus within a multiuser environment with 
hundreds of users each creating many objects, I'm too too sure if it is 
scalable, but I'm not an expert on C++ threading!!

Best Regards,

Toy out.

>From: Ferdinando Ametrano <qf...@am...>
>To: "Toyin Akin" <toy...@ho...>
>CC: QuantLib-users <qua...@li...>
>Subject: RE: [Quantlib-users] Quantlib within a multithreaded  
>architecture.
>Date: Sat, 10 Sep 2005 16:45:02 +0200
>
>Hi Toyin
>
>>I seem to remember that there was an explicit Today's Date parameter
>>associated with the Yieldcurve object within QuantLib 0.3.7.
>
>right
>
>>Thus you had a local Today's Date associated with the yieldCurve. Need to 
>>compute Theta? No problem, shift the date within the YieldCurve. No side 
>>effects on other functions or fancy threading.
>>Why did this TodaysDate parameter vanish from earlier versions of 
>>QuantLib?
>
>one of the reason YieldCurve's TodaysDate disappeared is exactly to have a 
>more robust day-theta, that is you shift TodaysDate in the Settings and 
>you'll get the whole effect of day-shifting, including any possible 
>contributions from those objects you didn't know you had a theta dependence 
>from
>
>As for the threading problem: Luigi's proposal sounds very very good to me.
>
>ciao -- Nando
>
>
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