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by Cuchulainn
January 28th, 2011, 11:48 am
Forum: Technical Forum
Topic: Longstaff Schwartz Simulation least squares simulation
Replies: 14
Views: 26870

Longstaff Schwartz Simulation least squares simulation

QuoteIs there an alternative?Do you mean a fix for LSM?
by Cuchulainn
January 28th, 2011, 11:47 am
Forum: Programming and Software Forum
Topic: Parallelisation of Matrix Algorithms
Replies: 27
Views: 26854

Parallelisation of Matrix Algorithms

QuoteMatrix algebra is usually memory limited. Also, make sure that C++ code has debug checks disabled. MS compilers use security checks even in release mode. The same is true for UBLAS.OK.But how to _design_ the problem in parallel?
by Cuchulainn
January 28th, 2011, 10:03 am
Forum: Programming and Software Forum
Topic: Parallelisation of Matrix Algorithms
Replies: 27
Views: 26854

Parallelisation of Matrix Algorithms

<t>There are many matrix packages out there, some serial, some parallel, some customisable, some not.So, let's say you wish to develop a parallel matrix algo in whole or in part, how would you proceed? One scenario S1: Use a non-parallel matrix library (e.g. uBLAS) and parallelise it yourself. What ...
by Cuchulainn
January 28th, 2011, 9:45 am
Forum: Programming and Software Forum
Topic: Quants : C++ vs. C#
Replies: 72
Views: 38980

Quants : C++ vs. C#

<t>QuoteOriginally posted by: jikanThe common missconception is to think that just programming in C++ means faster executables. That simply is not true. Is much easier to write the fastest code in C than in C++. Writing very fast code in C++ is very difficult and it takes a very long time to master ...
by Cuchulainn
January 28th, 2011, 9:43 am
Forum: Off Topic
Topic: Those crazeeeee Dutch
Replies: 1824
Views: 272939

Those crazeeeee Dutch

QuoteOriginally posted by: ppauperQuoteOriginally posted by: CuchulainnWhat about Peter Adelaar who is 2m10cm? It's no fun trying to throw him..don't you have dwarf tossing in Holland ?I doubt it.I think the governor of Florida (J Bush) banned it.
by Cuchulainn
January 28th, 2011, 8:57 am
Forum: Off Topic
Topic: Those crazeeeee Dutch
Replies: 1824
Views: 272939

Those crazeeeee Dutch

QuoteOriginally posted by: daveangelDutch prisoner too big for his cellWhat about Peter Adelaar who is 2m10cm? It's no fun trying to throw him..Very tall people here.
by Cuchulainn
January 28th, 2011, 8:25 am
Forum: Programming and Software Forum
Topic: Quants : C++ vs. C#
Replies: 72
Views: 38980

Quants : C++ vs. C#

<t>I did a straight port of some C++ pricing code to C# directly. The data structure were mainly matrices (I have the same ones in both languages). The port was easy and I got the same results.Regarding speed, C# was faster. I could do optimisation of course but the point is that we might expect C++...
by Cuchulainn
January 27th, 2011, 11:43 pm
Forum: Off Topic
Topic: Scotland, land of Robert Burns
Replies: 361
Views: 85876

Scotland, land of Robert Burns

QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: Traden4AlphaQ. Why wouldn't the sheep eat the haggis?A. It no longer had the stomach for it.I think you have been watching too much ewetube.comOr drinkign too much lambicI believe you!
by Cuchulainn
January 27th, 2011, 11:30 pm
Forum: Off Topic
Topic: Scotland, land of Robert Burns
Replies: 361
Views: 85876

Scotland, land of Robert Burns

QuoteOriginally posted by: Traden4AlphaQ. Why wouldn't the sheep eat the haggis?A. It no longer had the stomach for it.I think you have been watching too much ewetube.com
by Cuchulainn
January 27th, 2011, 9:55 am
Forum: Book And Research Paper Forum
Topic: lulu.com
Replies: 440
Views: 269404

lulu.com

<t>It seem that you need 45% humidity in the production hall when doing a 'run' and pressing and so on. With a run of 1 it may not be visible but larger runs (e.g. 50) takes longer and a continuous humidity level is advantageous. If the book dries out it starts curling. It is an issue to be aware of...
by Cuchulainn
January 26th, 2011, 3:20 pm
Forum: Programming and Software Forum
Topic: Excel: XML data and Schema file from Excel Worksheets
Replies: 5
Views: 23290

Excel: XML data and Schema file from Excel Worksheets

One way is to .NET deserialise XML into a object structure and then into Excel. And vice versa. And no one seems to be talking about LINQ with Excel..
by Cuchulainn
January 26th, 2011, 12:25 pm
Forum: Numerical Methods Forum
Topic: ADE with mixed derivatives
Replies: 52
Views: 39737

ADE with mixed derivatives

<t>QuoteYou have to solve a 2d PDE whose initial condition is a "delta function". In the first quoted paper they use an implicit method in both directions...I wouldn't think you would do this lightly...They quote a figure of 20 seconds for calibrating up to 3 years, 60 secs for up to 10 years.I am f...
by Cuchulainn
January 26th, 2011, 9:36 am
Forum: Numerical Methods Forum
Topic: Solving ODE by predictor corrector method
Replies: 5
Views: 25176

Solving ODE by predictor corrector method

<t>QuotePredictor corrector is not a single method but a family of methodsa specific example of PC method is the Adams Bashforth Moulton method. There are others.I am not sure why you wish to use a PC method. According to my bible on numerical methods W.H.Press et al. "Numerical Recipes in C", page ...
by Cuchulainn
January 25th, 2011, 4:47 pm
Forum: Trading Forum
Topic: $ MARKET ANALYSIS $
Replies: 2025
Views: 380870

$ MARKET ANALYSIS $

Kondratiev,What is your view on the medium term (5-8 years) for commodities? Buy?
by Cuchulainn
January 25th, 2011, 4:32 pm
Forum: Numerical Methods Forum
Topic: The Alternating Direction Explicit (ADE) Method Thread
Replies: 146
Views: 182066

The Alternating Direction Explicit (ADE) Method Thread

<t>QuoteOriginally posted by: renormI finished (more or less ) coding two-threaded version of 3D scheme from "The ADE Scheme meets the Boost Libraries" paper. Boost Threads library was used for multi-threading.The code was tested with 100^3 grid and 100 time steps, homogeneous case, constant coeffic...