117 lines
2.9 KiB
C++
117 lines
2.9 KiB
C++
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// Copyright (c) 2007 Intel Corp.
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// Black-Scholes
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// Analytical method for calculating European Options
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//
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// Reference Source: Options, Futures, and Other Derivatives, 3rd Edition, Prentice
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// Hall, John C. Hull,
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//
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// Modified from
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// https://parsec.cs.princeton.edu/
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#include "common.hpp"
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#include <CLI11.hpp>
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// extern global variables
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OptionData *optdata = nullptr;
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float *prices = nullptr;
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int numOptions = 0;
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int NUM_RUNS = 1;
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int* otype = nullptr;
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float* sptprice = nullptr;
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float* strike = nullptr;
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float* rate = nullptr;
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float* volatility = nullptr;
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float* otime = nullptr;
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int numError = 0;
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float* BUFFER = nullptr;
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int* BUFFER2 = nullptr;
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void black_scholes(
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const std::string& model,
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const unsigned num_threads,
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const unsigned num_rounds
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) {
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std::cout << std::setw(12) << "size"
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<< std::setw(12) << "runtime"
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<< std::endl;
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for(size_t N = 1000; N<=10000; N+=1000) {
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generate_options(N);
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double runtime {0.0};
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for(unsigned j=0; j<num_rounds; ++j) {
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if(model == "tf") {
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runtime += measure_time_taskflow(num_threads).count();
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}
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else if(model == "tbb") {
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runtime += measure_time_tbb(num_threads).count();
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}
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else if(model == "omp") {
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runtime += measure_time_omp(num_threads).count();
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}
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else assert(false);
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}
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destroy_options();
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std::cout << std::setw(12) << N
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<< std::setw(12) << runtime / num_rounds / 1e3
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<< std::endl;
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}
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}
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int main (int argc, char *argv[]) {
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CLI::App app{"Option pricing with Black-Scholes Partial Differential Equation"};
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unsigned num_threads {1};
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app.add_option("-t,--num_threads", num_threads, "number of threads (default=1)");
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unsigned num_rounds {1};
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app.add_option("-r,--num_rounds", num_rounds, "number of rounds (default=1)");
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bool cmp_seq {false};
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app.add_option("-s,--seq", cmp_seq, "compare with sequential (default=false)");
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std::string model = "tf";
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app.add_option("-m,--model", model, "model name tbb|omp|tf (default=tf)")
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->check([] (const std::string& m) {
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if(m != "tbb" && m != "tf" && m != "omp") {
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return "model name should be \"tbb\", \"omp\", or \"tf\"";
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}
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return "";
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});
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CLI11_PARSE(app, argc, argv);
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std::cout << "model=" << model << ' '
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<< "num_threads=" << num_threads << ' '
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<< "num_rounds=" << num_rounds << ' '
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<< std::endl;
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black_scholes(model, num_threads, num_rounds);
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// Compare with sequential version to check correctness
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//if(cmp_seq) {
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// auto seq_prices = static_cast<FPTYPE*>(malloc(numOptions*sizeof(FPTYPE)));
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// bs_seq(seq_prices);
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// for(auto i=0; i<numOptions; i++) {
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// assert(std::fabs(seq_prices[i] - prices[i]) < 0.01);
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// }
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// std::cout << "Results are consistent with the sequential version\n";
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// free(seq_prices);
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//}
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#ifdef ERR_CHK
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printf("Num Errors: %d\n", numError);
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#endif
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return 0;
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}
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