We outline the newUnRisk concept of representing the domain specific programming front-end in different languages here. UnRisk becomes polyglot.
Most applications in quant finance need high performance. But some applications, for instance Monte Carlo VaR, CVA/DVA, ... are computationally extreme demanding - hundred of millions of single valuations are required to get a few results. Multiple valuations are of good nature for coarse grain parallelization - build and operate Valuation Object "pools" - those objects are distributed to cluster nodes ...
The fine grain parallelization aims on the efficient valuation of a single instrument. newUnisk will provide inherently parallel algorithms implemented in OpenCL.
More info and code snippets: newUnRisk Inherently Parallel
