VaRCL is an OpenCL implementation of VaR Monte-Carlo calculation.
VaRCL is known to work on GNU/Linux and OSX 10.8.
VaRCL requires an OpenCL capable device (>= OpenCL 1.0). It has been successfully tested with an NVidia Tesla C2050, Geforce 330M and AMD HD 5770.
It depends on:
- the Boost lib
- OpenCL driver
Optionally you can install:
- Doxygen (to generate the documentation)
- Gnuplot (to display the P&L distribution)
You can compile VaRCL using the Makefile in the code folder. To compile VaRCL, just:
makeIf you want to generate the documentation reference:
make docAnd if you want to plot the resulting P&L distribution:
make plotIt should look like this:
Once compiled, you will find the binary in the code/bin folder. From within the code folder:
./bin/varclVaRCL should be called from the code folder, as just shown (This should be fixed later on).
It will give you an inline help on how to use VaRCL.
Run VaRCL on the first 10 positions of CAC40 on the 5/8/13 with a confidence of 99% for tomorrow, using 983040 samples:
./bin/varcl -c 0.99 -n 983040 -p portefeuille.csv -t 1Run VaRCL on the full CAC40 with the same parameters, allowing debug mode:
./bin/varcl -c 0.99 -n 983040 -p portefeuille-CAC40.csv -t 1 -bDebug mode allow to save the P&L distribution in a file called tirages.data that can be used with gnuplot.