Made program multi-threaded

src/gbm_mc.c

@@ -34,6 +34,7 @@ void *run_simulations(void *opt_ptr)
 	double gamma_shift = 0, base_gamma = 0, upper_gamma = 0, lower_gamma = 0;
 	double price, delta, gamma, vega, theta, rho;
 	double base = 0;
+	double max_rand = 0;
 
 	struct Option *opt = (struct Option*) opt_ptr;
 
@@ -45,7 +46,8 @@ void *run_simulations(void *opt_ptr)
 	theta_tte = tte - 1. / 365;
 
 	for (i=0; i<opt->sims; i++) {
-		rand = gaussrand();
+		rand = opt->randoms[i];
+		max_rand = rand > max_rand ? rand : max_rand;
 		/* Base scenario */
 		level = gbm_simulation(opt->spot, opt->rfr, opt->vol, tte, rand);
 		base += max((level - opt->strike) * opt->type, 0);
@@ -97,15 +99,37 @@ void *run_simulations(void *opt_ptr)
 
 void gbm(struct Option *opt)
 {
-    int i;
+	int i = 0, j = 0;
 	pthread_t *threads;
 	struct Option *options;
+	double **randoms;
 	options = malloc(sizeof(struct Option) * NUM_THREADS);
+	randoms = malloc(sizeof(double*) * NUM_THREADS);
+	for(i=0; i<NUM_THREADS; i++) {
+		randoms[i] = malloc(sizeof(double) * opt->sims / NUM_THREADS);
+	}
+
+	/* generate array of normal randoms */
+	for(i=0;;) {
+		if (j == (opt->sims / NUM_THREADS)) {
+			j = 0;
+			i += 1;
+		}
+
+		if (i == NUM_THREADS) {
+			break;
+		}
+
+		randoms[i][j] = gaussrand();
+		j++;
+	}
+
 	opt->sims = opt->sims / NUM_THREADS;
 	for(i=0; i<NUM_THREADS; i++) {
 		options[i] = *opt;
 		options[i].expiry_date = opt->expiry_date;
 		options[i].value_date = opt->value_date;
+		options[i].randoms = randoms[i];
 	}
 
 	threads = malloc(sizeof(pthread_t) * NUM_THREADS);

src/utils.h

@@ -21,6 +21,7 @@ struct Option {
 	double rfr;
 	double vol;
 	long sims;
+	double *randoms;
 
 	/* fv and greeks */
 	double fv;