public void BlackScholesPerformance()
{
double k = 90;
var volatility = 0.2;
var t = 5;
var s = new List<NArray>();
int batchCount = 1000;
int vectorLength = 5000;
using (var stream = new RandomNumberStream(StorageLocation.Host, RandomNumberGeneratorType.MRG32K3A))
{
var normal = new Normal(stream, 0, 1);
for (int i = 0; i < batchCount; ++i)
{
s.Add(100 * NMath.Exp(NArray.CreateRandom(vectorLength, normal) * 0.2));
}
}
var result = NArray.CreateLike(s.First());
double elapsedTime = TestHelpers.TimeitSeconds(() =>
{
for (int i = 0; i < batchCount; ++i)
{
NArray.Evaluate(() =>
{
return Finance.BlackScholes(CallPut.Call, s[i], k, volatility, t);
}, new List<NArray>(), Aggregator.ElementwiseAdd, new List<NArray> { result });
}
});
Console.WriteLine(string.Format("Time per option price (single core): {0} ns", elapsedTime * 1e9 / (batchCount * vectorLength)));
Console.WriteLine(string.Format("Valuations per second (single core): {0:F0} million", batchCount * vectorLength / (elapsedTime * 1e6)));
}
public void TestRandomNumberGeneration()
{
var location = StorageLocation.Host;
// We create the stream.
// This identifies the stream and stores the state or pointer to the state (in the case
// of IntelMKL, CUDA, etc).
using (var randomStream = new RandomNumberStream(location, RandomNumberGeneratorType.MRG32K3A, 111))
{
// We then create a distribution based on the stream.
// This stores only specific parameters of the distribution (i.e. mean and standard deviation).
// The purpose of the design is to push scaling and offsetting of random numbers to the Provider,
// which can do this efficiently whilst generating.
var normal = new Normal(randomStream, 0, 1);
var a = new NArray(location, 1000);
var b = new NArray(location, 1000);
// When we call FillRandom, we need to use a Provider that is appropriate to the stream.
a.FillRandom(normal);
b.FillRandom(normal);
var v = a * b;
}
}
public void BlackScholes()
{
var simpleCheck = Math.Exp(-0.1 * 0.5) * Finance.BlackScholes(
CallPut.Call, 42 * Math.Exp(0.1 * 0.5), 40, 0.2, 0.5);
Assert.IsTrue(TestHelpers.AgreesAbsolute(simpleCheck, NArray.CreateScalar(4.75942239)));
NArray s;
using (var stream = new RandomNumberStream(StorageLocation.Host, RandomNumberGeneratorType.MRG32K3A))
{
var normal = new Normal(stream, 0, 1);
s = 100 * NMath.Exp(NArray.CreateRandom(5, normal) * 0.2);
}
double k = 90;
var volatility = 0.2;
var t = 5;
var df = Math.Exp(-0.005 * t);
var result = NArray.Evaluate(() =>
{
var f = s / df;
return df * Finance.BlackScholes(CallPut.Call, f, k, volatility, t);
}, s);
var sds = s + 1e-6;
var check = (df * Finance.BlackScholes(CallPut.Call, sds / df, k, volatility, t)
- df * Finance.BlackScholes(CallPut.Call, s / df, k, volatility, t)) * 1e6;
Assert.IsTrue(TestHelpers.AgreesAbsolute(result[1], check));
}
public void SimpleSpeedTest()
{
using (var randomStream = new RandomNumberStream(StorageLocation.Host, RandomNumberGeneratorType.MRG32K3A, 111))
{
var normalDistribution = new Normal(randomStream, 0, 1);
var variates = NArray.CreateRandom(5000, normalDistribution);
var variatesArray = GetArray(variates);
var variates2 = NArray.CreateRandom(5000, normalDistribution);
var variatesArray2 = GetArray(variates);
var target = NArray.CreateRandom(5000, normalDistribution);
var targetArray = GetArray(target);
TestHelpers.Timeit(() =>
{
for (int i = 0; i < 1000; ++i)
{
//IntelMathKernelLibrary.Multiply(variatesArray, 0, variatesArray2, 0, targetArray, 0, 5000);
//IntelMathKernelLibrary.Exp(variatesArray, 0, targetArray, 0, variatesArray.Length);
IntelMathKernelLibrary.ConstantAddMultiply(variatesArray, 0, 5, 0, targetArray, 0, 5000);
}
});
}
}
public void CheckExponentialPerformance()
{
IntelMathKernelLibrary.SetSequential();
var location = StorageLocation.Host;
using (var randomStream = new RandomNumberStream(location, RandomNumberGeneratorType.MRG32K3A, 111))
{
var normalDistribution = new Normal(randomStream, 0, 1);
var a = new NArray(location, 5000);
var b = new NArray(location, 5000);
a.FillRandom(normalDistribution);
var aArray = GetArray(a);
var bArray = GetArray(b);
var watch = new Stopwatch(); watch.Start();
for (int i = 0; i < 1000; ++i)
{
IntelMathKernelLibrary.Exp(aArray, 0, bArray, 0, 5000);
}
var baseline = watch.ElapsedMilliseconds;
Console.WriteLine("5 millions in place Exps");
Console.WriteLine(baseline);
}
}
public void SimpleDeferredOperationsTest()
{
var location = StorageLocation.Host;
var factory = new NArrayFactory(location);
using (var randomStream =
new RandomNumberStream(location, RandomNumberGeneratorType.MRG32K3A, 111))
{
var normalDistribution = new Normal(randomStream, 0, 1);
var epsilon = factory.CreateNArray(1000, 1);
epsilon.FillRandom(normalDistribution);
var x = epsilon * Math.Sqrt(0.25) * 0.2;
}
}
public void CreateInputs()
{
var location = StorageLocation.Host;
using (var randomStream = new RandomNumberStream(location, RandomNumberGeneratorType.MRG32K3A, 111))
{
var normalDistribution = new Normal(randomStream, 0, 1);
_a = new NArray(location, 5000);
_a.FillRandom(normalDistribution);
_a_array = GetArray(_a);
_b = new NArray(location, 5000);
_b.FillRandom(normalDistribution);
_b_array = GetArray(_b);
_c = new NArray(location, 5000);
_c.FillRandom(normalDistribution);
_c_array = GetArray(_c);
}
}
public void OptionPricingTest()
{
var location = StorageLocation.Host;
var a = new NArray(location, Enumerable.Range(0, 10).Select(i => (double)i).ToArray());
var b = new NArray(location, Enumerable.Range(0, 10).Select(i => (double)i * 2).ToArray());
var c = 5 - b;
var check = c.First();
IntelMathKernelLibrary.SetAccuracyMode(VMLAccuracy.LowAccuracy);
IntelMathKernelLibrary.SetSequential();
using (var randomStream = new RandomNumberStream(location, RandomNumberGeneratorType.MRG32K3A, 111))
{
var normalDistribution = new Normal(randomStream, 0, 1);
var vectorOptions = new VectorExecutionOptions() { MultipleThreads = true };
var watch = new Stopwatch();
watch.Start();
var optionPrices = Value(normalDistribution);
Console.WriteLine(String.Format("Start-up: {0}ms", watch.ElapsedMilliseconds));
randomStream.Reset();
watch.Restart();
optionPrices = Value(normalDistribution);
Console.WriteLine(String.Format("Threaded, deferred 1: {0}ms", watch.ElapsedMilliseconds));
randomStream.Reset();
watch.Restart();
var optionPricesDeferred = Value(normalDistribution);
Console.WriteLine(String.Format("Threaded, deferred 2: {0}ms", watch.ElapsedMilliseconds)); watch.Restart();
Console.WriteLine(TestHelpers.AgreesAbsoluteString(optionPrices, optionPricesDeferred));
}
}
private NArray CalculateSyntheticReturns(NArray correlationMatrix, int returnsCount)
{
var location = StorageLocation.Host;
var cholesky = NMath.CholeskyDecomposition(correlationMatrix);
var variates = new NArray(location, returnsCount, correlationMatrix.RowCount);
using (var stream = new RandomNumberStream(location))
{
var normal = new Normal(stream, 0, 1);
variates.FillRandom(normal);
}
return variates * cholesky.Transpose();
}
public void Example1()
{
var location = StorageLocation.Host;
var watch = new System.Diagnostics.Stopwatch(); watch.Start();
using (var randomStream = new RandomNumberStream(location, RandomNumberGeneratorType.MRG32K3A, 111))
{
var normal = new Normal(randomStream, 0, 1);
var test = NArray.CreateRandom(1000, normal);
for (int i = 0; i < 363 * 100; ++i)
{
test.FillRandom(normal);
}
}
watch.Stop();
var elapsed = watch.ElapsedMilliseconds * 5000 / (100 * 1000);
NArray a, b;
using (var randomStream = new RandomNumberStream(location, RandomNumberGeneratorType.MRG32K3A, 111))
{
var normal = new Normal(randomStream, 0, 1);
a = NArray.CreateRandom(5000, normal);
b = NArray.CreateRandom(5000, normal);
}
var expressions = new StringBuilder();
var result = NArray.Evaluate(() =>
{
return a * b + a * NMath.Exp(b);
}, expressions);
var expressionsDiff = new StringBuilder();
var resultDiff = NArray.Evaluate(() =>
{
return a * b + a * NMath.Exp(2 * b);
}, expressionsDiff, a, b);
var output = expressionsDiff.ToString();
var expressionsDiff2 = new StringBuilder();
var s = NMath.Exp(a) + 5;
var resultDiff2 = NArray.Evaluate(() =>
{
return Finance.BlackScholes(CallPut.Call, s, 5, 1, 1);
//return NMath.Exp(NMath.Sqrt(a));
}, expressionsDiff2, s);
var check = (Finance.BlackScholes(CallPut.Call, s + 1e-6, 5, 1, 1) - Finance.BlackScholes(CallPut.Call, s, 5, 1, 1)) / 1e-6;
var expected = check.DebugDataView.Take(10).ToArray();
var obtained = resultDiff2[1].DebugDataView.Take(10).ToArray();
var output2 = expressionsDiff2.ToString();
Console.Write(output2);
VectorAccelerator.Tests.TestHelpers.Timeit(() =>
{
var resultTiming = NArray.Evaluate(() =>
{
return Finance.BlackScholes(CallPut.Call, s, 5, 1, 1);
}, expressionsDiff2);
});
}
private NArray Value(Normal normalDistribution)
{
double deltaT = 1;
double r = 0.1;
double vol = 0.3;
int vectorLength = 5000;
var optionPrices = new NArray(StorageLocation.Host, vectorLength);
var variates = NArray.CreateRandom(optionPrices.Length, normalDistribution);
var logStockPrice = Math.Log(100)
+ variates * Math.Sqrt(deltaT) * vol + (r - 0.5 * vol * vol) * deltaT;
var forwardStockPrices = NMath.Exp(logStockPrice + r * deltaT);
// now create deals
var strikes = Enumerable.Range(0, 1000).Select(i => 80 + 5.0 / 1000).ToArray();
var deals = strikes.Select(s =>
new Deal() { Strike = s, ForwardStockPrices = (i) => { return forwardStockPrices; } })
.ToList();
return AggregateValuations(deals, vectorLength);
}
public void WorkedExample()
{
NArray x0, x1;
using (var stream = new RandomNumberStream(StorageLocation.Host, RandomNumberGeneratorType.MRG32K3A))
{
var normal = new Normal(stream, 0, 1);
x0 = NArray.CreateRandom(5000, normal);
x1 = NArray.CreateRandom(5000, normal);
}
var result = NArray.Evaluate(() =>
{
return x0 * x1 + x0 * NMath.Exp(2 * x1);
}, x0, x1);
var derivativeWRTx0 = result[1];
var derivativeWRTx1 = result[2];
Assert.IsTrue(TestHelpers.AgreesAbsolute(derivativeWRTx0, x1 + NMath.Exp(2 * x1)));
Assert.IsTrue(TestHelpers.AgreesAbsolute(derivativeWRTx1, x0 + 2 * x0 * NMath.Exp(2 * x1)));
// can also call in such a way that the expression list is appended to a StringBuilder:
var logger = new StringBuilder();
var loggedResult = NArray.Evaluate(() =>
{
return x0 * x1 + x0 * NMath.Exp(2 * x1);
}, logger, x0, x1);
Console.WriteLine(logger.ToString());
}
public void CUDA()
{
var location = StorageLocation.Host;
var normal = new Normal(new RandomNumberStream(location), 0, 1);
var input = NArray.CreateRandom(1000, normal);
var result = NArray.CreateLike(input);
NArray.Evaluate(() =>
{
return NMath.Exp(input * 0.2 + 6);
});
}
public void TestBlackScholes()
{
var location = StorageLocation.Host;
using (var randomStream = new RandomNumberStream(location, RandomNumberGeneratorType.MRG32K3A, 111))
{
var normalDistribution = new Normal(randomStream, 0, 1);
double deltaT = 1;
double r = 0.1;
double vol = 0.3;
var options = new ParallelOptions();
options.MaxDegreeOfParallelism = 1;
var variates = NArray.CreateRandom(5000, normalDistribution);
NArray optionPrices = NArray.CreateLike(variates);
var watch = new Stopwatch(); watch.Start();
Parallel.For(0, 1000, options, (i) =>
{
optionPrices = NArray.CreateLike(variates);
var logStockPrice = Math.Log(100)
+ variates * Math.Sqrt(deltaT) * vol + (r - 0.5 * vol * vol) * deltaT;
var stockPrices = NMath.Exp(logStockPrice);
optionPrices.Assign(Finance.BlackScholes(-1, stockPrices, 90, 0.2, 1));
});
Console.WriteLine("Baseline sequential");
Console.WriteLine(watch.ElapsedMilliseconds); watch.Restart();
Parallel.For(0, 1000, (i) =>
{
optionPrices = NArray.CreateLike(variates);
var logStockPrice = Math.Log(100)
+ variates * Math.Sqrt(deltaT) * vol + (r - 0.5 * vol * vol) * deltaT;
var stockPrices = NMath.Exp(logStockPrice);
optionPrices.Assign(Finance.BlackScholes(-1, stockPrices, 90, 0.2, 1));
});
Console.WriteLine("Baseline threaded");
Console.WriteLine(watch.ElapsedMilliseconds);
NArray optionPrices2 = NArray.CreateLike(variates);
watch.Restart();
var vectorOptions = new DeferredExecution.VectorExecutionOptions() { MultipleThreads = true };
Parallel.For(0, 1000, options, (i) =>
{
optionPrices2 = NArray.CreateLike(variates);
NArray.Evaluate(optionPrices2, () =>
{
var logStockPrice = Math.Log(100)
+ variates * Math.Sqrt(deltaT) * vol + (r - 0.5 * vol * vol) * deltaT;
var stockPrices = NMath.Exp(logStockPrice);
return Finance.BlackScholes(-1, stockPrices, 90, 0.2, 1);
});
});
Console.WriteLine("Deferred sequential");
Console.WriteLine(watch.ElapsedMilliseconds);
Console.WriteLine(CheckitString((optionPrices.Storage as ManagedStorage<double>).Array, (optionPrices2.Storage as ManagedStorage<double>).Array));
watch.Restart();
Parallel.For(0, 1000, (i) =>
{
//optionPrices2 = NArray.CreateLike(variates);
optionPrices2 = NArray.Evaluate(() =>
{
var logStockPrice = Math.Log(100)
+ variates * Math.Sqrt(deltaT) * vol + (r - 0.5 * vol * vol) * deltaT;
var stockPrices = NMath.Exp(logStockPrice);
return Finance.BlackScholes(-1, stockPrices, 90, 0.2, 1);
});
});
Console.WriteLine("Deferred threaded");
Console.WriteLine(watch.ElapsedMilliseconds); watch.Restart();
Console.WriteLine(CheckitString((optionPrices.Storage as ManagedStorage<double>).Array, (optionPrices2.Storage as ManagedStorage<double>).Array));
}
}
