I have been using gcc version 5.3.0. It says that it comes with openmp support. But every time when I compile a program using either gcc [by terminal] or via xCode 7, I get same error, "file omp.h not found". I have searched too much on this issue and tried almost everything I found.
I changed the compiler and now I am able to run it. [It was issue of clang, which I couldn't solve]. I am a student and Intel is giving Intel Parallel Studio 1 year licence for free to students. So I downloaded, and installed it. In xCode, under build settings, I set my compiler to 'Intel C/C++ compiler' and in parallalization, I turned it to 'yes'. That was it. Then it compiled successfully. But, note that you won't be using header file 'omp.h' anymore. By the way, I am still looking for answers, just to know what I was doing wrong.