Vortex 2.0 changes:

+ Microarchitecture optimizations
+ 64-bit support
+ Xilinx FPGA support
+ LLVM-16 support
+ Refactoring and quality control fixes

tests/opencl/blackscholes/oclBlackScholes_gold.cpp

@@ -0,0 +1,92 @@
+/*
+ * Copyright 1993-2010 NVIDIA Corporation.  All rights reserved.
+ *
+ * Please refer to the NVIDIA end user license agreement (EULA) associated
+ * with this source code for terms and conditions that govern your use of
+ * this software. Any use, reproduction, disclosure, or distribution of
+ * this software and related documentation outside the terms of the EULA
+ * is strictly prohibited.
+ *
+ */
+
+
+
+#include <math.h>
+#include "oclBlackScholes_common.h"
+
+
+
+///////////////////////////////////////////////////////////////////////////////
+// Rational approximation of cumulative normal distribution function
+///////////////////////////////////////////////////////////////////////////////
+static double CND(double d){
+    const double       A1 = 0.31938153;
+    const double       A2 = -0.356563782;
+    const double       A3 = 1.781477937;
+    const double       A4 = -1.821255978;
+    const double       A5 = 1.330274429;
+    const double RSQRT2PI = 0.39894228040143267793994605993438;
+
+    double
+        K = 1.0 / (1.0 + 0.2316419 * fabs(d));
+
+    double
+        cnd = RSQRT2PI * exp(- 0.5 * d * d) * 
+        (K * (A1 + K * (A2 + K * (A3 + K * (A4 + K * A5)))));
+
+    if(d > 0)
+        cnd = 1.0 - cnd;
+
+    return cnd;
+}
+
+///////////////////////////////////////////////////////////////////////////////
+// Black-Scholes formula for both call and put
+///////////////////////////////////////////////////////////////////////////////
+static void BlackScholesBodyCPU(
+    float& call, //Call option price
+    float& put,  //Put option price
+    float Sf,    //Current stock price
+    float Xf,    //Option strike price
+    float Tf,    //Option years
+    float Rf,    //Riskless rate of return
+    float Vf     //Stock volatility
+){
+    double S = Sf, X = Xf, T = Tf, R = Rf, V = Vf;
+
+    double sqrtT = sqrt(T);
+    double    d1 = (log(S / X) + (R + 0.5 * V * V) * T) / (V * sqrtT);
+    double    d2 = d1 - V * sqrtT;
+    double CNDD1 = CND(d1);
+    double CNDD2 = CND(d2);
+
+    //Calculate Call and Put simultaneously
+    double expRT = exp(- R * T);
+    call = (float)(S * CNDD1 - X * expRT * CNDD2);
+    put  = (float)(X * expRT * (1.0 - CNDD2) - S * (1.0 - CNDD1));
+}
+
+////////////////////////////////////////////////////////////////////////////////
+// Process an array of optN options
+////////////////////////////////////////////////////////////////////////////////
+extern "C" void BlackScholesCPU(
+    float *h_Call, //Call option price
+    float *h_Put,  //Put option price
+    float *h_S,    //Current stock price
+    float *h_X,    //Option strike price
+    float *h_T,    //Option years
+    float R,       //Riskless rate of return
+    float V,       //Stock volatility
+    unsigned int optionCount
+){
+    for(unsigned int i = 0; i < optionCount; i++)
+        BlackScholesBodyCPU(
+            h_Call[i],
+            h_Put[i],
+            h_S[i],
+            h_X[i],
+            h_T[i],
+            R,
+            V
+        );
+}