Hello group,
I am experimenting with parallel processing on my quad core Win 7 32
bit machine. Using these packages for the first time.
I can see all my processor running at full performance when I use a
smaller dataset
require(snow)
require(doSNOW)
require(foreach)
#change the 8 to however many cores\phys processors you have 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 utilized (they seem to run at 25%).
I noticed some slight delay before the processing starts running ...
when I did with the 100k dataset ... do i need to wait longer for any
allocations to be done?
Thank you.
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