Beyond Simple Monte-Carlo: Parallel Computing with QuantLib
Beyond Simple Monte-Carlo: Parallel Computing with QuantLib
Beyond Simple Monte-Carlo: Parallel Computing with QuantLib
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Example I: Heston-Hull-White Model on GPUsHeston−Hull−White Model: GTX560 vs. Core i7Speed−Up GPU vs CPU2 4 6 8 10 12 14GPU single precisionGPU double precision20x50x20x1020x50x20x2050x100x50x1050x100x50x2050x200x100x1050x200x100x2050x400x100x20Grid Size (t,x,v,r)Speed-ups are much smaller than for <strong>Monte</strong>-<strong>Carlo</strong> pricing.Klaus Spanderen<strong>Beyond</strong> <strong>Simple</strong> <strong>Monte</strong>-<strong>Carlo</strong>: <strong>Parallel</strong> <strong>Computing</strong> <strong>with</strong> <strong>QuantLib</strong>
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