c1e168fdbe
+ Microarchitecture optimizations + 64-bit support + Xilinx FPGA support + LLVM-16 support + Refactoring and quality control fixes minor update minor update minor update minor update minor update minor update cleanup cleanup cache bindings and memory perf refactory minor update minor update hw unit tests fixes minor update minor update minor update minor update minor update minor udpate minor update minor update minor update minor update minor update minor update minor update minor updates minor updates minor update minor update minor update minor update minor update minor update minor updates minor updates minor updates minor updates minor update minor update
93 lines
2.9 KiB
C++
93 lines
2.9 KiB
C++
/*
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* Copyright 1993-2010 NVIDIA Corporation. All rights reserved.
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*
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* Please refer to the NVIDIA end user license agreement (EULA) associated
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* with this source code for terms and conditions that govern your use of
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* this software. Any use, reproduction, disclosure, or distribution of
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* this software and related documentation outside the terms of the EULA
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* is strictly prohibited.
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*
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*/
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#include <math.h>
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#include "oclBlackScholes_common.h"
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///////////////////////////////////////////////////////////////////////////////
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// Rational approximation of cumulative normal distribution function
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///////////////////////////////////////////////////////////////////////////////
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static double CND(double d){
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const double A1 = 0.31938153;
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const double A2 = -0.356563782;
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const double A3 = 1.781477937;
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const double A4 = -1.821255978;
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const double A5 = 1.330274429;
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const double RSQRT2PI = 0.39894228040143267793994605993438;
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double
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K = 1.0 / (1.0 + 0.2316419 * fabs(d));
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double
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cnd = RSQRT2PI * exp(- 0.5 * d * d) *
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(K * (A1 + K * (A2 + K * (A3 + K * (A4 + K * A5)))));
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if(d > 0)
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cnd = 1.0 - cnd;
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return cnd;
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}
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///////////////////////////////////////////////////////////////////////////////
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// Black-Scholes formula for both call and put
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///////////////////////////////////////////////////////////////////////////////
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static void BlackScholesBodyCPU(
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float& call, //Call option price
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float& put, //Put option price
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float Sf, //Current stock price
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float Xf, //Option strike price
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float Tf, //Option years
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float Rf, //Riskless rate of return
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float Vf //Stock volatility
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){
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double S = Sf, X = Xf, T = Tf, R = Rf, V = Vf;
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double sqrtT = sqrt(T);
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double d1 = (log(S / X) + (R + 0.5 * V * V) * T) / (V * sqrtT);
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double d2 = d1 - V * sqrtT;
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double CNDD1 = CND(d1);
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double CNDD2 = CND(d2);
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//Calculate Call and Put simultaneously
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double expRT = exp(- R * T);
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call = (float)(S * CNDD1 - X * expRT * CNDD2);
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put = (float)(X * expRT * (1.0 - CNDD2) - S * (1.0 - CNDD1));
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}
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////////////////////////////////////////////////////////////////////////////////
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// Process an array of optN options
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////////////////////////////////////////////////////////////////////////////////
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extern "C" void BlackScholesCPU(
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float *h_Call, //Call option price
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float *h_Put, //Put option price
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float *h_S, //Current stock price
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float *h_X, //Option strike price
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float *h_T, //Option years
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float R, //Riskless rate of return
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float V, //Stock volatility
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unsigned int optionCount
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){
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for(unsigned int i = 0; i < optionCount; i++)
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BlackScholesBodyCPU(
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h_Call[i],
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h_Put[i],
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h_S[i],
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h_X[i],
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h_T[i],
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R,
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V
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);
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}
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