Introduction

The library implements the Monte Carlo simulation of derivatives on GPU.

Dependencies

• CUDA Toolkit 7.5 (currently tested on GeForce 750Ti)
• cmake (currently 3.4.1) with FindCuda tools.
• google/benchmark (build as in script/getdep_benchmark.sh)
• google/googletest (build as in script/getdep_gtest.sh)

Samples

git clone https://github.com/adiog/mcgpu
mkdir mcgpu/build
cd mcgpu/build
cmake .. && make && ctest