public float CalculateVar(out double totalMs, float cf = .9f, int iterations = 10)
{
using (var annualizedReturnsKernel = _env.Context.CompileKernelFromSource(_programSource, "annualizedReturns"))
using (var aggregateReturnsKernel = _env.Context.CompileKernelFromSource(_programSource, "aggregateReturnsKernel"))
{
Event clStart, clEnd;
var queue = _env.CommandQueues[0];
var xSize = (_stockData.QuotesPerStock - _holding);
var ySize = _stockData.StocksCount;
var err = Cl.SetKernelArg(annualizedReturnsKernel, 0, _d_output);
err = Cl.SetKernelArg(annualizedReturnsKernel, 1, _d_stocksAndPrices);
err = Cl.SetKernelArg(annualizedReturnsKernel, 2, _d_portfolioStockMv);
err = Cl.SetKernelArg(annualizedReturnsKernel, 3, _ann);
err = Cl.SetKernelArg(annualizedReturnsKernel, 4, _holding);
err = Cl.SetKernelArg(aggregateReturnsKernel, 0, _d_output);
err = Cl.SetKernelArg(aggregateReturnsKernel, 1, ySize);
Cl.EnqueueMarker(queue, out clStart);
Cl.Finish(queue);
for (int i = 0; i < iterations; i++)
{
err = Cl.EnqueueNDRangeKernel(queue, annualizedReturnsKernel, 2, null,
new[] { (IntPtr)xSize, (IntPtr)ySize },
new[] { (IntPtr)256, (IntPtr)1 },
0, null, out Event notInterestedInThisEvent1);
err = Cl.EnqueueNDRangeKernel(queue, aggregateReturnsKernel, 2, null,
new[] { (IntPtr)xSize, (IntPtr)1 },
new[] { (IntPtr)256, (IntPtr)1 },
0, null, out notInterestedInThisEvent1);
}
Cl.EnqueueMarker(queue, out clEnd);
Cl.Finish(queue);
var startInfo = Cl.GetEventProfilingInfo(clStart, ProfilingInfo.Start, out err);
var endInfo = Cl.GetEventProfilingInfo(clEnd, ProfilingInfo.End, out err);
Cl.EnqueueReadBuffer <float>(queue, _d_output, Bool.True, _h_output, 0, null, out Event notInterestedInThisEvent2);
totalMs = (endInfo.CastTo <ulong>() - startInfo.CastTo <ulong>()) * 10e-6;
clStart.Dispose();
clEnd.Dispose();
annualizedReturnsKernel.Dispose();
return(_h_output[0] + _h_output[xSize - 1]);
}
}
public Event EnqueueMarker()
{
ClHelper.ThrowNullException(Handle);
unsafe
{
IntPtr event_ptr = IntPtr.Zero;
ClHelper.GetError(Cl.EnqueueMarker(Handle, &event_ptr));
return(new Event(event_ptr));
}
}