Thread: Quantlib Grid-Enablement Project

Discussion for Quantlib Grid-Enablement Project related issues.

Program equi_symphony2
Equi_symphony2 is a Symphony enabled application that makes available 15 QuantLib routines to price different kinds of options, for example European, American and Bermudan options in the Black Scholes world.

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We are developing a library of Symphony enabled programs derived from QuantLib (see http://quantlib.org/reference/examples.html) and some extra routines to evaluate vanilla options in financial applications. For example we evaluate call and put European, American and Bermudan options in the Black Scholes world. We provide here a first realization of this project (i.e.: equi_symphony2.tar.gz). We solicit the comments and suggestions of the
Platform Forum users.

This first realization is contained in the file equi_symphony2.tar.gz.

This software tool runs on a Linux machine.

The directory of equi_symphony2.tar.gz contains the Symphony (Symphony DE 3.0) enabled version of the QuantLib code EquityOption.cpp.

To use this software tool you must do the following steps:

a1. install the QuantLib library in a Linux machine

a2. create a directory named "david" in the Linux machine

a3. install Symphony DE 3.0 version 2.6

a4. unzip equi_symphony2.tar.gz in "david/soam2.6/3.0/"

a5. enter in the subdirectory: /david/soam2.6/conf/ and run ". profile.soam"
enter in the subdirectory: /david/soam2.6/ and run "soamstartup &"
(at this point you have activated Symphony)

a6. enter in the subdirectory: /david/soam2.6/3.0/equi_symphony2/output/ and run "client" (at this point you are running the Symphony version of the QuantLib code EquityOption.cpp)
Note that at the end of each session you must disactivate Symphony with the command "soamshutdown &".


This work will be developed to produce a more general Symphony enabled software package in Mathematical Finance.

The main developments will be:

b1. financial applications: all the subroutines of the Vanilla Option Engine of QuantLib will be included in the Symphony enabled package. This corresponds to 25 routines instead than the 15 routines considered now.
Moreover the applications described in the websites: http://www.econ.univpm.it/recchioni/finance/w3
and http://www.econ.univpm.it/recchioni/finance/w4 will be included in the package.

b2. software features: the package will be adapted to work in the Symphony DE 4.0 environment. Equi_symphony2 is limited to have as input the data relative to one calculation. These data must be provided by video. The final package should be able to accept as input a file containing the data relative to several calculations and to work in batch mode.

Comments and suggestions are welcome.

Thank-you Francesco,

Here's a link to the current package.
EQUI 2 Package

It is currently written for Symphony 3.0 DE. If you want to try it out, I can send you a modified application profile that works with 4.0.

- Ajith

Quantlib Grid-Enablement Project
This is collaborative development effort to grid-enable Quantlib with behind-the-scene data decomposition and deployment.

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Overview

This project will extend the previous work done by University of Rome with Quantlib[1] into a more formal integration. The previous work has shown the feasibility and demonstrated ability to take a specific algorithm in Quantlib library and enable on the grid through Symphony [2]. In the next stage, we will work the Quantlib developers to provide the generic infrastructure to grid-enable Quantlib algorithms. This will encourage other algorithm developers to make the necessary changes to be able to take advantage of distributed processing on a grid when it is available. Further more, the proposal will integrate some of the mathematical algorithms developed by University of Rome, which are already Symphony enabled, and put them into the Quantlib library.

Work Items

The main work items in the proposal are the following:

1) Define a generic basic Grid API plug-in for Quantlib. The API spec would be jointly developed with Quantlib developers to be consistent with Quantlib code conventions and make it easy for algorithm developers to use. The API would hide the underlying grid system, and would execute tasks locally if no Grid as present.
2) Implement a plug-in adaptor for Symphony. This would be dynamically loaded shared object which acts as Symphony client to send tasks off to the grid.
3) Implement the Quantlib algorithms which were Symphony enabled in the previous PoC[2]
4) Contribute financial algorithms developed by University of Rome into Quantlib [3]

Reference:
1. http://quantlib.org/index.shtml
2. http://www.ceri.uniroma1.it/ceri/zirilli/w2
3. http://www.econ.univpm.it/recchioni/finance/w4/