Numerical Stochastic Calculus Library

Simple Library for Numerical Stochastic Calculus in C++. Based on ETH NASODE course

Setting up the project

To install dependencies, run

chmod +x ./install_deps.sh
./install_deps.sh

To build run the following cmake command for release:

cmake -B build/main/Release/ -DCMAKE_BUILD_TYPE=RELEASE

Or debug:

cmake -B build/main/Debug/ -DCMAKE_BUILD_TYPE=DEBUG

And then run build:

cmake --build build/main/Debug/ -j8