Displaying 1 result from an estimated 1 matches for "europeanoptionimpliedvolatility".
2010 Dec 02
1
using foreach (parallel processing)
...e on your machine
cl.tmp = makeCluster(rep("localhost",4), type="SOCK")
registerDoSNOW(cl.tmp)
optData.df <- head(pristine,100000)
system.time(
optData.df$impliedVol <-
foreach(i=1:NROW(optData.df),.packages="RQuantLib") %dopar%
with(optData.df[i,],
tryCatch({EuropeanOptionImpliedVolatility(type,value,underlying,
strike, dividendYield, riskFreeRate, maturity,
volatility)$impliedVol},
error = function (ex){0}))
)
This works fine!
PROBLEM: However, when I do the same but with optData.df <- pristine
... which has about 3.8 million options data ... the cores do not seem
to be fully...