ParallelPricer

Monte Carlo simulation for options pricing with CUDA C++ parallelism optimization

System Requirements

• Windows 10 version 2004 or higher, or Windows 11
• CUDA enabled NVIDIA GPU

Installation

1. Install Windows Subsystem for Linux (WSL)
   1. On Windows Powershell

      wsl --install

   2. Restart PC
   3. Create Ubuntu account
2. Update Ubuntu

   sudo apt update && sudo apt upgrade -y

3. Install build stuff

   sudo apt install build-essential

4. Install CUDA on WSL
   1. Add NVIDIA pkg repo

      wget https://developer.download.nvidia.com/compute/cuda/repos/wsl-ubuntu/x86_64/cuda-wsl-ubuntu.pin
      sudo mv cuda-wsl-ubuntu.pin /etc/apt/preferences.d/cuda-repository-pin-600
      sudo apt-key adv --fetch-keys https://developer.download.nvidia.com/compute/cuda/repos/wsl-ubuntu/x86_64/7fa2af80.pub
      sudo add-apt-repository "deb https://developer.download.nvidia.com/compute/cuda/repos/wsl-ubuntu/x86_64/ /"
      sudo apt-get update

   2. Install CUDA

      sudo apt-get install cuda

   3. Environment variables (bashrc)

      export PATH=/usr/local/cuda/bin${PATH:+:${PATH}}
      export LD_LIBRARY_PATH=/usr/local/cuda/lib64${LD_LIBRARY_PATH:+:${LD_LIBRARY_PATH}}

   4. Apply changes

      source ~/.bashrc

5. Verify CUDA

   nvcc --version

Setup

1. Clone this repo (assuming you haven't already)
2. Build the project

   make

3. Run simulation

   ./monte_carlo_sim