2012 09 20

Meeting agenda

• ICFP

• Access to GPU-machine

• Proposed schedule

  • 21. September: installation of:

    • Feldspar
    • Repa 3
    • Accelerate
    • DPH
    • Obsidian
    • Nikola
    • Required OpenCL/CUDA toolkits etc.

  • 27. September (inden næste møde): implementation of Binomial pricer:

    • Sequential (Unboxed Vectors)
    • i Feldspar
    • i Nikola
    • i Accelerate
    • (i Repa - gratis)
    • (i DPH - gratis) Lookup a hand-optimised OpenCL/CUDA implementation.

  • 4. October: implementation of Longstaff and Schwartz:

    • Sequential
    • i Feldspar
    • i DPH
    • i Repa

  • 11. October: implementation of Longstaff and Schwartz:

    • På Nikola
    • På Accelerate

  • 18. October: deadline for survey (including written report section)

  • 1. November: Decision deadline (how to proceed) and scheduling of tasks for november/december

  • November/December: Programming

  • Januar/Februar: finishing, tuning and writing the report

  • 1. march 2012 Hand-in

• Finance and understanding of methods

Summary

• Geoffrey Mainland welcomes examples and collaboration on Nikola
• Feldspar authors would also like examples
• Ken has sent a link to the american-options github-repository to Manuel Chakravarty, and they say that the newest Github-version of Accelerate should handle the example much better.
• Comments on the schedule:
  • As we already have many of Binomial pricers implemented, one week is probably too much for that. Though, we also have to set up a good environment for performing benchmarks, understand the math etc.
  • Rolf has a sequential C++ implementation of the Binomial pricer we can look at.
  • We should also look at the possibility of parallelism at the level of portfolios, and make pricers that simultaneously could price e.g.: American, European, Asian, Bermuda in parallel
  • Ken likes the 18. October deadline for the survey
  • We should discuss what the time between 18. October and 1. November should be used for