SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Polter
March 20th, 2015, 6:47 pm
Forum: The Quantitative Finance Code Library Project
Topic: qfcl/random
Replies: 27
Views: 25209

qfcl/random

<r>A recent talk on the aforementioned PCG:QuoteStanford Seminar - Melissa O'Neill of Harvey Mudd College"PCG: A Family of Better Random Number Generators" - Melissa O'Neill of Harvey Mudd CollegeColloquium on Computer Systems Seminar Series (EE380) presents the current research in design, implement...
by Polter
March 18th, 2015, 1:29 pm
Forum: Programming and Software Forum
Topic: Good J'S graphic libraries
Replies: 8
Views: 5729

Good J'S graphic libraries

ExSan: looks like a product of lovelyscalabledrawings// ...OK, probably not the actual library used, but at least the acronym's right ;]
by Polter
March 16th, 2015, 1:15 pm
Forum: Programming and Software Forum
Topic: Basic usage -- Visual Studio
Replies: 54
Views: 9651

Basic usage -- Visual Studio

<r>QuoteOriginally posted by: AlanI hardly ever use Visual Studio, so here is a basic "how to" question. I have a C/C++ console project consisting of two .cpp files, one with the main entry point, call it main.cppNow, it comes up all the time that I want to try a new method/approach in the main.cppS...
by Polter
March 16th, 2015, 1:04 pm
Forum: Programming and Software Forum
Topic: How to make a precalculated lookup table for normal CDF ?
Replies: 13
Views: 3854

How to make a precalculated lookup table for normal CDF ?

<r>Cuch: OpenMP 2.0 -- yeah, hence the `std::ptrdiff_t` bit. // It's also a memsize-type: <URL url="http://www.viva64.com/en/t/0030/As">http://www.viva64.com/en/t/0030/As</URL> for MinGW -- consider getting Qt Creator -- it bundles its own version that should already have OpenMP included.It also sup...
by Polter
March 16th, 2015, 11:10 am
Forum: Programming and Software Forum
Topic: How to make a precalculated lookup table for normal CDF ?
Replies: 13
Views: 3854

How to make a precalculated lookup table for normal CDF ?

<r>The for-loop seems parallelizable?Other comments:Passing (usually 32-bit) `float`s as (at least 32-bit -- and nowadays often 64-bit) references is just wrong :-(Chances are you're also introducing aliasing assumptions that may make the optimizer's job harder.You shouldn't be declaring `j`, `k`, `...
by Polter
March 15th, 2015, 11:33 am
Forum: Programming and Software Forum
Topic: Basic usage -- Visual Studio
Replies: 54
Views: 9651

Basic usage -- Visual Studio

<r>Some other things you can try:Compiler Options Listed by Category: <URL url="http://msdn.microsoft.com/en-us/library/19z1t1wy.aspx/favor"><LINK_TEXT text="http://msdn.microsoft.com/en-us/library ... aspx/favor">http://msdn.microsoft.com/en-us/library/19z1t1wy.aspx/favor</LINK_TEXT></URL> (Optimiz...
by Polter
February 2nd, 2015, 7:49 pm
Forum: The Quantitative Finance Code Library Project
Topic: Parallel RNG and distributed MC
Replies: 584
Views: 63480

Parallel RNG and distributed MC

<r>Relevant? <URL url="http://arxiv.org/abs/1501.07701Quote%22Reliable">http://arxiv.org/abs/1501.07701Quote"Reliable</URL> Initialization of GPU-enabled Parallel Stochastic Simulations Using Mersenne Twister for Graphics Processors"Parallel stochastic simulations tend to exploit more and more compu...
by Polter
January 29th, 2015, 12:12 pm
Forum: Programming and Software Forum
Topic: I LOVE FORTRAN
Replies: 20
Views: 7947

I LOVE FORTRAN

<r><URL url="https://github.com/jesusfv/Comparison-Programming-Languages-Economicshttp://economics.sas.upenn.edu/~jesusfv/comparison_languages.pdf"><LINK_TEXT text="https://github.com/jesusfv/Comparison-P ... guages.pdf">https://github.com/jesusfv/Comparison-Programming-Languages-Economicshttp://eco...
by Polter
January 24th, 2015, 7:02 pm
Forum: Programming and Software Forum
Topic: Basic usage -- Visual Studio
Replies: 54
Views: 9651

Basic usage -- Visual Studio

<r>One solution -- two separate projects.Afterward, simply use "Set as StartUp Project" -- personally, I've set up a keyboard shortcut for this option; something along these lines:<URL url="http://stackoverflow.com/a/2837310http://stackoverflow.com/questions/20324047/change-startup-project-automatic...
by Polter
January 18th, 2015, 1:01 pm
Forum: The Quantitative Finance Code Library Project
Topic: qfcl/random
Replies: 27
Views: 25209

qfcl/random

Looks interesting: http://www.pcg-random.org/
by Polter
December 27th, 2014, 2:30 pm
Forum: Programming and Software Forum
Topic: FPGA
Replies: 5
Views: 4436

FPGA

<r>I expect very similar trade-offs to the ones we've observed historically (e.g., for regular CPUs): Yes, optimizing compilers will miss some opportunities compared to, say, handcrafted assembly (think SSE/AVX vectorization, taking CPU-specific cache effects into account) -- but the flip side is in...
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