23 lines
603 B
Python
23 lines
603 B
Python
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import math
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from numba import cuda
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from numba.cuda.testing import unittest, CUDATestCase
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class TestCudaMonteCarlo(CUDATestCase):
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def test_montecarlo(self):
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"""Just make sure we can compile this
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"""
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@cuda.jit(
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'void(double[:], double[:], double, double, double, double[:])')
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def step(last, paths, dt, c0, c1, normdist):
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i = cuda.grid(1)
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if i >= paths.shape[0]:
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return
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noise = normdist[i]
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paths[i] = last[i] * math.exp(c0 * dt + c1 * noise)
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if __name__ == '__main__':
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unittest.main()
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