• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Kooderive 0.3

msj

Researcher
Joined
5/1/07
Messages
27
Points
13
I have now done release 0.3 of Kooderive.

For those not familiar, this is an open source project for pricing derivatives using Monte Carlo simulation.
It contains implementations in both C++ and CUDA to allow running on either CPU or GPU.

The flagship example is the pricing of a 40 rate cancellable swap using the LMM with a million paths in roughly a second.

There is a paper at

http://ssrn.com/abstract=2388415

We provisionally plan to run a course later in the year.

The main innovation in the new release is that the code adapts to the user's GPU. This should make it easier to use for those who don't have access to expensive GPUs. It is also no longer dependent on CULA.

The main requirement is to have a GPU of compute capability at least 1.3 and to have the NVIDIA CUDA 5.5 toolkit installed.
 
Back
Top