FinQuanti

Personal Website of Oleg Sokolinskiy, PhD

Using C++ with MPI for HPC

Code sample: using C++ with MPI for HPC — github repository

Illustrates the use of master-worker pattern for an embarrassingly parallel application. It also includes functionality for numerically solving bivariate partial differential equations using ADI. Application domain: Financial Engineering. I wrote this code while working on valuation and risk management of corporate bonds (with emphasis on their call and make-whole provisions.