Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs
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README.md

gpusvcalibration

R package to support fast calibration of stochastic volatility models for option pricing using GPUs

Installation instructions for building from source:

Clone the repository and then

Modify the R_EXE and R_INCLUDE variables in the Makefile

R CMD build gpusvcalibration

R CMD check gpusvcalibration

R CMD install gpusvcalibration_0.0-1.tar.gz

install.packages('gpusvcalibration_0.0-1.tar.gz', repo=NULL)