Parallel implementation of a two-factor Cheyette-beta model calibration (Q1978671)

A parallel version of a calibration algorithm for a two-factor Cheyette-beta model using the Levenberg-Marquardt algorithm is presented. A new development environment for parallel applications, based on the event-driven parallel application model is introduced. Advantages and drawbacks of such a model are discussed and it is argued why it is particularly suitable in the financial world. This work has been carried out on a network of workstations running the Microsoft Windows NT system. Some specific implementation issues related to this system are also addressed. The results are presented which are obtained on a real scale farm of 16 machines.