public override void UpdateMemoryBlocks()
{
if (RandomSeed > 0)
{
m_rnd = new Random(RandomSeed);
MyKernelFactory.Instance.GetRandDevice(this).SetPseudoRandomGeneratorSeed((ulong)RandomSeed); // set random seed defining the sequence
MyKernelFactory.Instance.GetRandDevice(this).SetOffset(0); // and offset in this random sequence
}
else
{
m_rnd = new Random(DateTime.Now.Millisecond);
}
RandomNumbers.Count = Output.Count + 1;
if (UniformRNG.Enabled)
{
UniformRNG.UpdateValueHints();
}
else if (NormalRNG.Enabled)
{
NormalRNG.UpdateValueHints();
}
else if (ConstantRNG.Enabled)
{
ConstantRNG.UpdateValueHints();
}
else if (CombinationRNG.Enabled)
{
CombinationRNG.UpdateValueHints();
}
}
private static void GeneratePaths(float[] paths, float r, float sigma, float dt, int numSims, int numTimesteps)
{
//
int tid = (BlockIndex.X * BlockDimension.X) + ThreadIndex.X;
int step = GridDimension.X * BlockDimension.X;
// Compute parameters
float drift = (r - (0.5f * sigma * sigma)) * dt;
float diffusion = sigma * DeviceMath.Sqrt(dt);
// Simulate the paths
for (int i = tid; i < numSims; i += step)
{
// Current output index
int output = i;
// Simulate the path
float s = 1.0f;
for (int t = 0; t < numTimesteps; t++, output += numSims)
{
s *= DeviceMath.Exp(drift + (diffusion * NormalRNG.NextFloat()));
paths[output] = s;
}
}
}
public override void UpdateMemoryBlocks()
{
RandomNumbers.Count = Output.Count + 1;
if (UniformRNG.Enabled)
{
UniformRNG.UpdateValueHints();
}
else if (NormalRNG.Enabled)
{
NormalRNG.UpdateValueHints();
}
else if (ConstantRNG.Enabled)
{
ConstantRNG.UpdateValueHints();
}
else if (CombinationRNG.Enabled)
{
CombinationRNG.UpdateValueHints();
}
}
