Serving the Quantitative Finance Community

 
User avatar
Alan
Posts: 2958
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Parallel RNG and distributed MC

July 21st, 2012, 5:49 pm

QuoteOriginally posted by: outrunAlan, can you try the Boost pro installer 1.47?OK, I downloaded the installer and ran it. It asks for which compiler and I see I should check 9.0 since I have that.But then, there are up to eight choices for the threading environment (Variants) -- what should I check?
Last edited by Alan on July 20th, 2012, 10:00 pm, edited 1 time in total.
 
User avatar
Alan
Posts: 2958
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Parallel RNG and distributed MC

July 21st, 2012, 6:18 pm

Here's the installer screen:
 
User avatar
Polter
Posts: 1
Joined: April 29th, 2008, 4:55 pm

Parallel RNG and distributed MC

July 21st, 2012, 6:19 pm

Alan, AFAIR and according to this -- http://quantlib.org/install/vc10.shtml -- "The others are not needed by QuantLib, but you might want to download them anyway." While the QuantLib part is irrelevant here, the download them anyway part should still be safe (if not minimal...). So, if you're unsure, just get them all. Although given what outrun has said, I would uncheck everything that says "static" or "single threaded."Outrun -- {static vs dynamic} and {single-threaded vs multi-threaded} are among the choices (as is {debug vs release}), but the relative disadvantage (although not for you, given your stated preferences) of the BoostPro installer is that only 32-bit version is present. For convenience, this is the relevant window:
Last edited by Polter on July 20th, 2012, 10:00 pm, edited 1 time in total.
 
User avatar
Alan
Posts: 2958
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Parallel RNG and distributed MC

July 21st, 2012, 6:30 pm

Thanks, Polter. I am unsure now if I should "check everything" or uncheck some things?Also, the next question for outrun is "what about the Components screen?" (next on the list at Polter's link).
Last edited by Alan on July 20th, 2012, 10:00 pm, edited 1 time in total.
 
User avatar
Polter
Posts: 1
Joined: April 29th, 2008, 4:55 pm

Parallel RNG and distributed MC

July 21st, 2012, 6:35 pm

I'd not take "single threaded"; on the other hand, to be on the safe-side, DLLs might be good to include (given outrun's "prefer dynamic linked").Again, I'd just get them all (all the components -- although make sure you *only* select the VC version corresponding to your compiler for each of them -- given you've mentioned "I should check 9.0 since I have that" select "VC9.0").
Last edited by Polter on July 20th, 2012, 10:00 pm, edited 1 time in total.
 
User avatar
Alan
Posts: 2958
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Parallel RNG and distributed MC

July 21st, 2012, 6:41 pm

OK, I am heading out now, but will take your advice when I get back, unless there is some update to this thread.
 
User avatar
Traden4Alpha
Posts: 3300
Joined: September 20th, 2002, 8:30 pm

Parallel RNG and distributed MC

July 21st, 2012, 6:49 pm

QuoteOriginally posted by: outrunT4a, good that you check that, i just copy the algorithm from Wikipedia without validating it , I should have!I was initially concerned with the "M2 += delta*(a-mean)" calculation because the calculation of delta uses the previous iteration's value of mean but (a-mean) uses the current iteration's updated value of mean. That seemed like a created the potential for a negative value of M2. Fortunately, a little bit of algebra plus verification in Excel showed that delta*(a-mean)≥0.
 
User avatar
Cuchulainn
Posts: 20254
Joined: July 16th, 2004, 7:38 am
Location: 20, 000

Parallel RNG and distributed MC

July 21st, 2012, 8:10 pm

QuoteOriginally posted by: AlanOK, I am heading out now, but will take your advice when I get back, unless there is some update to this thread.The current version Boost is 1.50; boostpro has automagic installer up to 1.47.