Computational Finance Benchmarks

These computational finance benchmarks are adapted from Python code from a course by Lech A. Grzelak: https://github.com/LechGrzelak/Computational-Finance-Course/tree/main All benchmarks have 25 paths and 500 steps. You can edit the variables NoOfPaths and NoOfSteps to increase or decrease the number of paths and steps in each benchmark.

C++ Computational Finance Benchmarks

To compile the C++ versions of the benchmarks type: g++ -std=c++11 <name of benchmark>.cpp in the directory of the benchmark you want to compile. To run the compiled benchmark type: ./a.out in the directory of the benchmark you just compiled.

C Computational Finance Benchmarks

You will need to download and install the GNU Scientific Library to run the C versions of the benchmarks. For Mac OS you can use MacPorts or Brew. Use an appropriate package manager for your operating system. To compile the C versions of the benchmarks type: gcc -Wall -I/opt/local -lgsl -lgslcblas <name of benchmark>.c in the directory of the benchmark you want to compile. To run the compiled benchmark type: ./a.out in the directory of the benchmark you just compiled.