Merge pull request #66 from chemardes/feature/some-adjustments

FEATURE: minor changes

Author: chemardes

GPUSolver/gpu/gbm_parallel.cuh

@@ -130,20 +130,21 @@ public:
 template<typename T = DEFAULT_FPX>
 SimulationResults<T> simulate(T initial_stock_price, T mu, T sigma, T time, int num_of_simulations, int time_steps)
 {
-    auto start = std::chrono::high_resolution_clock::now();
     size_t grid_size = num_of_simulations * time_steps;
 
     T *dev_grid;
     gpuErrChk(cudaMalloc(&dev_grid, grid_size * sizeof(T)));
+    auto start = std::chrono::high_resolution_clock::now();
 
     simulate_gbm<<<numBlocks(num_of_simulations), THREADS_PER_BLOCK>>>(dev_grid, initial_stock_price, mu, sigma, time, time_steps, num_of_simulations);
     gpuErrChk(cudaDeviceSynchronize());
 
     auto end = std::chrono::high_resolution_clock::now();
+
     auto duration = std::chrono::duration_cast<std::chrono::microseconds>(end - start);
 
     SimulationResults<T> sol(dev_grid, num_of_simulations, time_steps);
-    sol.m_duration = (double) duration.count() / 1e6;
+    sol.m_duration = (double) duration.count() / 1e6 ;
 
     return sol;
 }

pdesolvers/optionspricing/monte_carlo.py

@@ -241,7 +241,7 @@ def plot_convergence_analysis(self, analytical_solution, num_simulations_list=No
         if num_simulations_list is None:
             raise ValueError("Number of simulations need to be defined.")
 
-        errors = self.get_benchmark_errors(analytical_solution, num_simulations_list)
+        errors = self.get_benchmark_errors(analytical_solution, num_simulations_list, export=export)
 
         plt.rcParams['font.family'] = 'monospace'
         plt.rcParams['font.size'] = 10