This tutorial explains how to build ORE with GPGPU support on Windows.
This build is based upon the vanilla Windows build of ORE:
With the differences noted below:
When you run cmake, add the flag -DORE_ENABLE_OPENCL=ON:
cmake .. -DORE_ENABLE_OPENCL=ON
Below are the commands to run the unit tests for the ORE GPGPU Framework:
cd %ORE_ROOT_DIR%\build\ore\QuantExt\test\Release
quantext-test-suite.exe --log_level=message --run_test=QuantExtTestSuite/ComputeEnvironmentTest
Below is a UML Class Diagram for the ORE GPGPU Framework:
