Important

For reading, you can download the PDF file or the ZIP file containing the PDF file as well as the source code.

This README file gives some details about how to build and run the code accompanying the dissertation.

How to run

The following commands should be run in the directory of this README file.

# Generate build files.
cmake -S . -B build
# Compile the program.
cmake --build build --target dissertation
# Run it.
build/dissertation

Dependencies

The code was developed using Clang 16.0.6 on macOS 14.5 with CMake 3.29.2. It uses the following libraries:

• Boost (required): The pricers use Boost uBLAS for vectors and matrices. It expects version 1.85.0.
• OpenMP (optional): If available, OpenMP is used to parallelise the execution of both pricers. It expects version 5.0.

Jupyter notebook

The notebook uses bindings to the C++ code in src/python.cpp. To build them, run

cmake --build build --target pydissertation

Adding build/ to your PYTHONPATH environment variable should make the module pydissertation available to Jupyter.