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

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.

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.