Some time back, I’d written about NVidia’s CUDA noting that it looked ideal for many asset-pricing and monte-carlo type problems in finance. At the time, I was hopeful that it would be quickly integrated into existing open source efforts like QuantLib, but adoption has proved slower than I’d hoped, most likely because implementing non-trivial problems on CUDA is, well, even less trivial than doing them without..
LMM on CUDA
Happily, I’ve just seen a promising first step in this direction as Über-quant and C++ artisan Mark Joshi recently announced an open-source project, Kooderive which looks to implement the LIBOR Market Model (LMM) on top of CUDA. His announcement on the QuantLib mailing lists reads:
various people have shown interest in the use of CUDA with QuantLib. I
have now made some progress on a CUDA implementation of the .
In particular, I now have a path generator for the LMM working which
does 16384 paths for 40 rates, 40 steps, 5 factor model, displaced
diffusion predictor-corrector that takes 0.1 seconds on my Quadro 4600.
The state of the project is code fragments that can be called from
other code. Those who are interested can get the code via
the subversion repository on kooderive.sourceforge.net . The only
project file is currently for VC9 x64. It also uses thrust and the
The next stage will be writing routines, that use QuantLib for the CPU
stuff and kooderive for the GPU stuff, to actually price things.
A gentle reminder that I will be giving a course on the LMM and
QuantLib in June in London, and I will include a session on kooderive
is sufficient interest.
I am happy to take code contributions for kooderive. However, I am not
looking for a redesign of the library or contributions which introduce
dependence on other libraries. I am interested in contributions of
separate routines and of optimizations of existing routines that do
not change interfaces.
Pricing exotic – The LIBOR Market Model in
QuantLib , London,
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com