I wonder if Fairfield Greenwich ever noticed that their image had them shifting their normal curve to negative skew? Nothing like saying you will keep the left tail and cut the right…
Well, it seems that while my code ‘worked,’ it didn’t really ‘work.’ Such are the subtleties of using libraries you don’t wholly understand. Check the comments on my Asian Call Option Pricing post. It is a quick fix to get rid of the threadIndex issue (just use a counting_iterator and set the thread index value to the iterator value modulus MT_RNG_COUNT — not perfect, but it works), but it isn’t quite as easy to refactor away the __shared__ state in the functor, which makes the Mersenne Twister hard to use. But not all is lost, if you check the experimental branch of Thrust, you will find a linear congruential generator that you can use.
You can check some example code on a monte-carlo implementation with Thrust here. Much better than my code!