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‎.gitmodules‎

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[submodule "posts/parallel_reduction_with_shfl/cub"]
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path = posts/parallel_reduction_with_shfl/cub
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url = https://github.com/NVLabs/cub.git
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[submodule "posts/american-options/external/cub"]
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path = posts/american-options/external/cub
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url = git://github.com/NVlabs/cub.git

‎posts/american-options/LongstaffSchwartz_vs10.sln‎

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Microsoft Visual Studio Solution File, Format Version 11.00
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# Visual Studio 2010
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Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "LongstaffSchwartzSvd2_vs10", "VisualStudio\LongstaffSchwartzSvd2_vs10.vcxproj", "{06CCAF3C-E0E2-43E7-8C4C-EC593F181077}"
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EndProject
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Global
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|x64 = Debug|x64
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Release|x64 = Release|x64
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EndGlobalSection
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GlobalSection(ProjectConfigurationPlatforms) = postSolution
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{06CCAF3C-E0E2-43E7-8C4C-EC593F181077}.Debug|x64.ActiveCfg = Debug|x64
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{06CCAF3C-E0E2-43E7-8C4C-EC593F181077}.Debug|x64.Build.0 = Debug|x64
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{06CCAF3C-E0E2-43E7-8C4C-EC593F181077}.Release|x64.ActiveCfg = Release|x64
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{06CCAF3C-E0E2-43E7-8C4C-EC593F181077}.Release|x64.Build.0 = Release|x64
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EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE
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EndGlobalSection
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EndGlobal

‎posts/american-options/LongstaffSchwartz_vs11.sln‎

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Microsoft Visual Studio Solution File, Format Version 12.00
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# Visual Studio 2012
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Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "LongstaffSchwartzSvd2_vs11", "VisualStudio\LongstaffSchwartzSvd2_vs11.vcxproj", "{FD28157D-774D-4499-87F0-B49183DBE1F1}"
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EndProject
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Global
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|x64 = Debug|x64
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Release|x64 = Release|x64
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EndGlobalSection
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GlobalSection(ProjectConfigurationPlatforms) = postSolution
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{FD28157D-774D-4499-87F0-B49183DBE1F1}.Debug|x64.ActiveCfg = Debug|x64
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{FD28157D-774D-4499-87F0-B49183DBE1F1}.Debug|x64.Build.0 = Debug|x64
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{FD28157D-774D-4499-87F0-B49183DBE1F1}.Release|x64.ActiveCfg = Release|x64
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{FD28157D-774D-4499-87F0-B49183DBE1F1}.Release|x64.Build.0 = Release|x64
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EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE
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EndGlobalSection
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EndGlobal

‎posts/american-options/Makefile‎

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###################################################################################################
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#
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# Paths to modify
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#
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###################################################################################################
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# The CUDA path
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CUDA_PATH ?= /usr/local/cuda-5.5
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CUDA_INC_PATH ?= $(CUDA_PATH)/include
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CUDA_LIB_PATH ?= $(CUDA_PATH)/lib64
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# The CUB library.
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CUB_INC_PATH ?= external/cub
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###################################################################################################
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#
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# Compiler options
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#
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###################################################################################################
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CXX_COMMON_FLAGS = -O3 -I$(CUB_INC_PATH)
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# C++ compiler
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CXX = g++
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CXX_FLAGS = $(CXX_COMMON_FLAGS) -Wall -I$(CUDA_INC_PATH)
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# Gencodes.
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COMMA = ,
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SPACE :=
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SPACE +=
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ifdef ($(SM_ARCH))
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NVCC_GENCODES = $(foreach ARCH, $(subst $(COMMA), $(SPACE), $(SM_ARCH)), -gencode=arch=compute_$(ARCH),code=sm_$(ARCH))
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else
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NVCC_GENCODES += -gencode=arch=compute_20,code=sm_20
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NVCC_GENCODES += -gencode=arch=compute_35,code=sm_35
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endif
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# CUDA compiler
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NVCC = $(CUDA_PATH)/bin/nvcc
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NVCC_FLAGS = $(CXX_COMMON_FLAGS) -m64 $(NVCC_GENCODES)
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# The flags/library for the Longstaff-Schwartz code.
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LONGSTAFF_SCHWARTZ_FLAGS = $(NVCC_FLAGS) -DWITH_FUSED_BETA
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LONGSTAFF_SCHWARTZ_LIBS = -lcurand
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ifeq ($(WITH_CPU_REFERENCE), 1)
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LONGSTAFF_SCHWARTZ_FLAGS += -DWITH_CPU_REFERENCE
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LONGSTAFF_SCHWARTZ_LIBS += -llapack
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endif
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ifeq ($(WITH_FULL_W_MATRIX), 1)
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LONGSTAFF_SCHWARTZ_FLAGS += -DWITH_FULL_W_MATRIX
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endif
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###################################################################################################
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BINARIES = bin/longstaff_schwartz_svd_2
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###################################################################################################
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#
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# The rules to build the code
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#
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###################################################################################################
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all:
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$(MAKE) dirs
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$(MAKE) $(BINARIES)
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dirs:
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if [ ! -d bin ] ; then mkdir bin ; fi
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bin/longstaff_schwartz_svd_2: longstaff_schwartz_svd_2.cu
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$(NVCC) $(LONGSTAFF_SCHWARTZ_FLAGS) -o $@ $< $(LONGSTAFF_SCHWARTZ_LIBS)
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clean:
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rm -rf bin
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‎posts/american-options/Readme.md‎

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To build you will need to download CUB.
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To do this run the following command from the code-samples directory:
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%> git submodule update --init --recursive
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You can either build with Visual Studio (we provide solutions for VS2010 and VS2012) on Windows or make on Linux.
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You need CUDA 5.5 to build with Visual Studio.

‎posts/american-options/VisualStudio/LongstaffSchwartzSvd2_vs10.vcxproj‎

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<ProjectGuid>{06CCAF3C-E0E2-43E7-8C4C-EC593F181077}</ProjectGuid>
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‎posts/american-options/VisualStudio/LongstaffSchwartzSvd2_vs10.vcxproj.filters‎

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‎posts/american-options/VisualStudio/LongstaffSchwartzSvd2_vs10.vcxproj.user‎

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‎posts/american-options/VisualStudio/LongstaffSchwartzSvd2_vs11.vcxproj‎

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‎posts/american-options/VisualStudio/LongstaffSchwartzSvd2_vs11.vcxproj.filters‎

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