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FEATURE: minor changes #66

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Merged
chemardes merged 1 commit into from
Apr 24, 2025
Merged

FEATURE: minor changes #66

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5 changes: 3 additions & 2 deletions GPUSolver/gpu/gbm_parallel.cuh
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Original file line number Diff line number Diff line change
Expand Up @@ -130,20 +130,21 @@ public:
template<typename T = DEFAULT_FPX>
SimulationResults<T> simulate(T initial_stock_price, T mu, T sigma, T time, int num_of_simulations, int time_steps)
{
auto start = std::chrono::high_resolution_clock::now();
size_t grid_size = num_of_simulations * time_steps;

T *dev_grid;
gpuErrChk(cudaMalloc(&dev_grid, grid_size * sizeof(T)));
auto start = std::chrono::high_resolution_clock::now();

simulate_gbm<<<numBlocks(num_of_simulations), THREADS_PER_BLOCK>>>(dev_grid, initial_stock_price, mu, sigma, time, time_steps, num_of_simulations);
gpuErrChk(cudaDeviceSynchronize());

auto end = std::chrono::high_resolution_clock::now();

auto duration = std::chrono::duration_cast<std::chrono::microseconds>(end - start);

SimulationResults<T> sol(dev_grid, num_of_simulations, time_steps);
sol.m_duration = (double) duration.count() / 1e6;
sol.m_duration = (double) duration.count() / 1e6 ;

return sol;
}
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2 changes: 1 addition & 1 deletion pdesolvers/optionspricing/monte_carlo.py
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Expand Up @@ -241,7 +241,7 @@ def plot_convergence_analysis(self, analytical_solution, num_simulations_list=No
if num_simulations_list is None:
raise ValueError("Number of simulations need to be defined.")

errors = self.get_benchmark_errors(analytical_solution, num_simulations_list)
errors = self.get_benchmark_errors(analytical_solution, num_simulations_list, export=export)

plt.rcParams['font.family'] = 'monospace'
plt.rcParams['font.size'] = 10
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