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Optimize OpenMP pragma in TreeLattice::stepback #2643

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Optimize OpenMP pragma in TreeLattice::stepback #2643

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9 changes: 7 additions & 2 deletions ql/methods/lattices/lattice.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -166,8 +166,13 @@ namespace QuantLib {
template <class Impl>
void TreeLattice<Impl>::stepback(Size i, const Array& values,
Array& newValues) const {
#pragma omp parallel for
for (long j=0; j<(long)this->impl().size(i); j++) {
// Only parallelise when the tree is wide enough to amortise
// OMP fork/join overhead (~2-5 us). num_threads caps thread
// participation so each thread gets >= 256 iterations.
#pragma omp parallel for \
if(!omp_in_parallel() && this->impl().size(i) >= 1024) \
num_threads((int)(this->impl().size(i) / 256))
for (Size j=0; j<this->impl().size(i); j++) {
Real value = 0.0;
for (Size l=0; l<n_; l++) {
value += this->impl().probability(i,j,l) *
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