33 lines
851 B
C++
33 lines
851 B
C++
#include "common.hpp"
|
|
#include <tbb/global_control.h>
|
|
#include <tbb/blocked_range.h>
|
|
#include <tbb/parallel_for.h>
|
|
|
|
void bs_tbb(unsigned num_threads) {
|
|
|
|
tbb::global_control control(
|
|
tbb::global_control::max_allowed_parallelism, num_threads
|
|
);
|
|
|
|
for (int j=0; j<NUM_RUNS; j++) {
|
|
tbb::parallel_for(0, numOptions, 1, [&](int i){
|
|
auto price = BlkSchlsEqEuroNoDiv(
|
|
sptprice[i], strike[i],
|
|
rate[i], volatility[i], otime[i],
|
|
otype[i], 0
|
|
);
|
|
|
|
prices[i] = price;
|
|
#ifdef ERR_CHK
|
|
check_error(i, price);
|
|
#endif
|
|
});
|
|
}
|
|
}
|
|
|
|
std::chrono::microseconds measure_time_tbb(unsigned num_threads) {
|
|
auto beg = std::chrono::high_resolution_clock::now();
|
|
bs_tbb(num_threads);
|
|
auto end = std::chrono::high_resolution_clock::now();
|
|
return std::chrono::duration_cast<std::chrono::microseconds>(end - beg);
|
|
}
|