/// <summary>
///
/// </summary>
/// <param name="option"></param>
/// <returns></returns>
float IAsianOptionPricingEngine.CalculatePrice(AsianOptionSingle option)
{
return AsianOptionPricingEngineKernels.CalculatePrice(m_simulationCount, option);
}
/// <summary>
///
/// </summary>
/// <param name="simulationCount"></param>
/// <param name="option"></param>
/// <returns></returns>
internal static float CalculatePrice(int simulationCount, AsianOptionSingle option)
{
// Preconditions
if (simulationCount < 1) { throw new ArgumentOutOfRangeException("simulationCount"); }
else if (option == null) { throw new ArgumentNullException("option"); }
// The number of timesteps to simulate.
int TimestepCount = (int)(option.Tenor / option.dt);
// The grid size to use when executing the kernel.
int GridSize = (simulationCount + c_kernelBlockSize - 1) / c_kernelBlockSize;
// Holds the path values (only used on the device, so no data is transferred to/from the host for this array).
float[] Paths = new float[simulationCount * TimestepCount];
// Holds the partial prices computed on the GPU (before they're averaged into the final price).
float[] PartialResults = new float[GridSize];
// Set execution grid/block sizes.
Launcher.SetBlockSize(c_kernelBlockSize);
Launcher.SetGridSize(GridSize);
// Generate paths
var r = option.RiskFreeRate;
var sigma = option.Volatility;
var dt = option.dt;
var numSims = simulationCount;
GeneratePaths(Paths, r, sigma, dt, numSims, TimestepCount);
// Compute option value (partial sums, final sum/average value computed on the CPU)
var spot = option.SpotPrice;
var strike = option.StrikePrice;
var type = option.Type;
ComputeValue(PartialResults, Paths, spot, strike, type, numSims, TimestepCount);
// Complete the final part of the reduction (convert sum to average)
float SumPrices = 0f;
for (int BlockId = 0; BlockId < GridSize; BlockId++)
{
SumPrices += PartialResults[BlockId];
}
// Compute the average price of the option over the simulated time interval.
float MeanPrice = SumPrices / simulationCount;
// Discount the average price to the present time, then return the discounted value.
return MeanPrice * (float)Math.Exp(-1.0d * option.RiskFreeRate * option.Tenor);
}
/// <summary>
///
/// </summary>
/// <param name="option"></param>
/// <returns></returns>
float IAsianOptionPricingEngine.CalculatePrice(AsianOptionSingle option)
{
// The number of timesteps to simulate.
int TimestepCount = (int)(option.Tenor / option.dt);
// Holds the path values.
float[,] Paths = new float[this.m_simulationCount, TimestepCount];
// Generate paths
var r = option.RiskFreeRate;
var sigma = option.Volatility;
var dt = option.dt;
var numSims = this.m_simulationCount;
GeneratePaths(Paths, r, sigma, dt);
// Compute the average price of the option at the end of the simulated time interval.
var spot = option.SpotPrice;
var strike = option.StrikePrice;
var type = option.Type;
var MeanPrice = ComputeValue(Paths, spot, strike, type);
// Discount the average price to the present time, then return the discounted value.
var DiscountFactor = (float)Math.Exp(-1.0d * option.RiskFreeRate * option.Tenor);
var DiscountedPrice = MeanPrice * DiscountFactor;
return DiscountedPrice;
}