SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by karpeev
December 20th, 2011, 4:03 pm
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30171

Choice of matrix library and interface

Ah, of course! I'm more used to it going by FD.It shouldn't be hard to do, but let me take a closer look at it.I imagine that, given my other obligations, some time before the New Year is likely,but possibly sooner.Dmitry.
by karpeev
December 20th, 2011, 3:58 pm
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30171

Choice of matrix library and interface

Sorry, my ignorance of the field is showing: what is FDM in this context?Dmitry.
by karpeev
December 20th, 2011, 3:51 pm
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30171

Choice of matrix library and interface

<t>Thanks for the test case. As luck would have it, one of the coauthors, Ola Skavhaug, is a good friend (and one time colleague) of mine!I understand the usability concern. I wonder whether performance, too, becomes an issue? For example: "I'd like to solve a much larger problem, but MATLAB (or som...
by karpeev
December 20th, 2011, 3:28 pm
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30171

Choice of matrix library and interface

<t>I don't see how a "bloated" library is really a drag on the code that uses it: If the library is compiled, the linker will resolve only the necessary symbols, and if the library is all/mostly headers (like BOOST), then the unnecessary code doesn't even get compiled.There are more subtle ways in w...
by karpeev
December 20th, 2011, 3:24 pm
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30171

Choice of matrix library and interface

<t>Thanks for an exhaustive reply! I'm still trying to get my bearings in the world of quantitative finance, but it would be good to see if/how I/we (PETSc) can contribute.Specifically, I'm trying to understand if/when performance becomes a factor, and how the community deals with that. I understand...
by karpeev
December 15th, 2011, 6:31 pm
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30171

Choice of matrix library and interface

<r>Hi, I'm an active user (and contributor to) PETSc and I wanted to ask a few questions on what you listed as Cons (always looking to improve the user experience <E>:-)</E>)Con - Not much of a users manual:We do have what we consider a good user's manual -- <URL url="http://www.mcs.anl.gov/petsc/pe...
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