From Functional to Parallel: Stochastic Modeling in C++

on YouTube ↗58m

" summary

Takes a legacy MFC single threaded financial app and refactors huge global row arrays into a three tier class hierarchy (CAccount, loans/investments, fixed/variable) while trimming reporting code by thousands of lines and cutting globals. Implements stochastic rate paths but runs them as a side module and uses OpenMP and thread pools to parallelize accounts, not yet inner-account cells. Targets 86 rate environments, needs double precision for correctness, experiments with C++ AMP show hardware and precision limits, GitHub demo forthcoming.

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" chapters (11)

1. 0:00Introduction and speaker background
2. 4:13Application overview and legacy codebase
3. 12:23Functional coding in legacy C++
4. 14:08Current issues and global variables
5. 27:03Challenges in legacy code structure
6. 33:02Reporting improvements and refactoring
7. 37:13Static analysis module and parallel testing
8. 41:28Implementing stochastic modeling
9. 48:17Hardware limitations and future plans
10. 50:00Lessons learned over six years
11. 55:40Open source plans and Q&A

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