Cython Parallel Openmp For Black Scholes With Numpy Integrated, Serial Code 10m Options 3.5s, Parallel?

Here is the Black (Black Scholes less the dividend) option pricing model for options on futures written in Cython with actual multi-threading, but I can't run it. (NOW FIXED, SEE L

Solution 1:

Okay I figured out what was wrong using dependency walker http://www.dependencywalker.com/ on the CyBlackP.cp35-win_amd64.pyd file generated by Cython. It showed that 2 DLLs were not found: msvcp140_app.dll and vcomp140_app.dll which are just the x64 versions of MSVC OpenMP and CRT C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\redist\x64\ Microsoft.VC140.OpenMP\vcomp140.dll and C:\Program Files (x86)\Microsoft Visual Studio 14.0\VC\redist\x64\Microsoft.VC14 0.CRT\msvcp140.dll renamed with _app inserted, and copied to the \CyBlackP\ project directory. I also updated my setup.py like this which gets rid of the annoying import statement (now just from CyBlackP import CyBlackP):

try:
    from setuptools import setup
    from setuptools import Extension
except ImportError:
    from distutils.core import setup
    from distutils.extension import Extension

from Cython.Distutils import build_ext
import numpy as np
import os

module = 'CyBlackP'

ext_modules = [Extension(module, sources=[module + ".pyx"],
              extra_compile_args=['/Ot', '/favor:INTEL64', '/EHsc', '/GA', '/openmp'],
              language='c++')]

setup(
    name = module,
    cmdclass = {'build_ext': build_ext},
    include_dirs = [np.get_include(), os.path.join(np.get_include(), 'numpy')],
    ext_modules = ext_modules)