Unable to setup pythn package with --use-cuda

Hello All,
I followed the instructions to build from source with GPU Support.
However when i tried to install the python package with --use-cuda option i get
fatal error: cub/cub.cuh: No such file or directory
#include <cub/cub.cuh>
compilation terminated.

Is there any way that i can resolve this.
**note when i tried to run cmake i had to change CMAKE_CUDA_COMPILER:FILEPATH=/usr/local/cuda/bin/nvcc
instead of what was there (/usr/bin/nvcc)

Please use git to obtain the source:

git clone --recursive https://github.com/dmlc/xgboost -b release_1.0.0

Thank you so much @hcho3 (philip). This just did the trick on my machine.