Porting the C++ code directly to Java:

macpro:ValueAtRisk sam$ time java -cp . VarMT

VaR = -43.7173372179254300

real 0m36.863s user 4m48.944s sys 0m0.978s

macpro:ValueAtRisk sam$ time ./var-mt

VaR = -43.7173372179254329

real 0m27.048s user 3m33.971s sys 0m0.145s

Pretty good showing for such a low level benchmark.

https://github.com/spullara/Benchmarks/blob/master/Server/Va...

It would be moderately interesting to see how well this benchmark would do in OpenCL or the like.

(Benchmarks ran on a 3.33 GHz, 6-core MacPro, JDK 7 Developer Preview)