MonteCarlo

High-performance Monte Carlo option pricing engine with CPU (OpenMP) and GPU (CUDA) backends, supporting European and Asian options with Python bindings via pybind11.

Build instructions (Linux) -- summary

Requirements:

• CMake >= 3.18
• CUDA toolkit
• nvcc available in PATH
• A C++ compiler supporting C++17 (gcc/clang)
• pybind11 (cmake findable or installed into system)
• OpenMP

Steps:

1. Create build directory mkdir build && cd build

2. Configure with CMake (point to python executable if needed) cmake ..

3. Build cmake --build . --config Release -j

4. After build, the python extension module _backend will be available in the build directory. You can either:

   • Install the package into your python environment manually (python -c "import sys; print(sys.path)") or
   • Copy the compiled _backend.*.so into Python/monte_carlo_pro/ so import monte_carlo_pro finds it.

Example quick test (from project root): mkdir -p build && cd build cmake .. cmake --build . -j cp _backend*.so ../Python/monte_carlo_pro/ python3 -c "from monte_carlo_pro import MonteCarloPro; m=MonteCarloPro(backend='gpu', paths=100000); print(m.price_option(100,100,1.0,0.01,0.2))"