Narrow width layout Medium width layout Full-screen width layout    Small text Medium text Large text    Color Palette Selector      Search
Register  |  
Forum policy    

These Discussion Forums are dedicated to discussions on Sophis products. Some are private, you shall be connected to see their content.

For the benefit of the community and to protect the integrity of the project, please observe the following posting guidelines:

1. No Advertising. This includes promotion of commercial and non-commercial products or services which are not directly related to Sophis products.
2. No Flaming or Trolling.
3. No Profanity, Racism, or Prejudice.
4. Publishing information for insider trades or other illegal trading is forbidden and will be reported,
5. Site Moderators have the final word on approving/removing a thread or post or comment.
6. English language posting only, please.

Private messaging between users is enable. If you already put a message on forums, a registered user can send you a private message by clicking on the username link, and thus on the "Message User" link on the "Private Messaging" row. The messages can be read by clicking on the Inbox button of the toolbar.
 
Forums    
 
  Forum  Development  Grid computing  New Sophis resource
Disabled Previous
 
Next Disabled
New Post 2/28/2008 10:10 AM
  Philippe Bonneau
254 posts
www.ebsys.fr
1st Level Poster


New Sophis resource 
Modified By Philippe Bonneau on 2/28/2008 10:19:26 AM)

Hi,

For those who take a look only at the forum pages, I recently post a resource, on the Resources pages, concerning the distribution of Sophis calculation on a gridcomputing system. Concerning the solution, there are in fact several ways:

  • calculations could be done independently of loading Sophis API, if the pricer that is used is not a Sophis one. It is almost always the case in many important investment banks, since these banks have their own pricing models.
  • or the gridcomputing system shall load the Sophis API if it has to use the Sophis models. The grid shall perhaps to be connected to the DRT in order to have the last updated market data, but not necessary, for instance, if it is used in in night batch calculations, for a VaR computing. In fact, the main problem is at first to dispatch the Sophis calculations always on the same thread (the Sophis API one).

The solution exposed in the article concerns the second one. Sources are given and the code shows how to use the Sophis CSRAsynchronousTreatment class.

Rgds,
Philippe
 
 Page 1 of 1
Disabled Previous
 
Next Disabled
  Forum  Development  Grid computing  New Sophis resource
 Syndicate  

Copyright 2007-2008 by Ebsys  | Terms Of Use | Privacy Statement  | Skin by Speerio