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
102 lines
3.3 KiB
Common Lisp
102 lines
3.3 KiB
Common Lisp
/*
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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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#if(0)
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#define EXP(a) native_exp(a)
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#define LOG(a) native_log(a)
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#define SQRT(a) native_sqrt(a)
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#else
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#define EXP(a) exp(a)
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#define LOG(a) log(a)
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#define SQRT(a) sqrt(a)
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#endif
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///////////////////////////////////////////////////////////////////////////////
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// Predefine functions to avoid bug in OpenCL compiler on Mac OSX 10.7 systems
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///////////////////////////////////////////////////////////////////////////////
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float CND(float d);
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void BlackScholesBody(__global float *call, __global float *put, float S,
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float X, float T, float R, float V);
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///////////////////////////////////////////////////////////////////////////////
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// Rational approximation of cumulative normal distribution function
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///////////////////////////////////////////////////////////////////////////////
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float CND(float d){
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const float A1 = 0.31938153f;
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const float A2 = -0.356563782f;
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const float A3 = 1.781477937f;
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const float A4 = -1.821255978f;
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const float A5 = 1.330274429f;
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const float RSQRT2PI = 0.39894228040143267793994605993438f;
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float
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K = 1.0f / (1.0f + 0.2316419f * fabs(d));
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float
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cnd = RSQRT2PI * EXP(- 0.5f * 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 = 1.0f - 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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void BlackScholesBody(
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__global float *call, //Call option price
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__global float *put, //Put option price
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float S, //Current stock price
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float X, //Option strike price
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float 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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){
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float sqrtT = SQRT(T);
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float d1 = (LOG(S / X) + (R + 0.5f * V * V) * T) / (V * sqrtT);
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float d2 = d1 - V * sqrtT;
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float CNDD1 = CND(d1);
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float CNDD2 = CND(d2);
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//Calculate Call and Put simultaneously
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float expRT = EXP(- R * T);
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*call = (S * CNDD1 - X * expRT * CNDD2);
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*put = (X * expRT * (1.0f - CNDD2) - S * (1.0f - CNDD1));
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}
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__kernel void BlackScholes(
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__global float *d_Call, //Call option price
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__global float *d_Put, //Put option price
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__global float *d_S, //Current stock price
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__global float *d_X, //Option strike price
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__global float *d_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 optN
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){
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for(unsigned int opt = get_global_id(0); opt < optN; opt += get_global_size(0))
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BlackScholesBody(
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&d_Call[opt],
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&d_Put[opt],
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d_S[opt],
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d_X[opt],
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d_T[opt],
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R,
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V
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);
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}
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