After some direction from the Wilmott forums, we have parallelized the discrete hedging example in QuantLib, and got pretty good speed-up: almost 14X on a 16-core system.Here's the write-up: Multicore-enabling Discrete Hedging in QuantLibIt feels like Cilk++ lends itself well to taking a large library or app, and creating a multicore-ready version pretty quickly, by parallelizing just the pieces involved. I'm curious whether there's other algorithms folks are interested in parallelizing? (Cilk++ is available for download here.)Feel free to grab a copy, and we'd be glad to help.Cheers,ilya