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