public ScalarLinqRenderer(Action <int, int, int> dp, Func <bool> abortFunc)
: base(dp, abortFunc)
{
Pair[] pairs = Enumerable.Range(0, 312).SelectMany(y => Enumerable.Range(0, 534).Select(x => new Pair {
X = x, Y = y
})).ToArray();
int[] output = Enumerable.Range(0, pairs.Length).ToArray();
this.context = new GpuContext();
this._pairs = context.CreateGpuArray(pairs);
this._output = context.CreateGpuArray(output);
parFunc = ParallelExtensions.Compile <float, float, float, int[]>(
(_ymin, _xmin, _step) =>
(from pair in pairs.AsParallelQueryExpr()
let _y = _ymin + _step * pair.Y
let _x = _xmin + _step * pair.X
let c = new MyComplex(_x, _y)
let iters = EnumerableEx.Generate(c, x => x.SquareLength < limit, x => x * x + c, x => x)
.Take(max_iters)
.Count()
select iters).ToArray()
);
seqFunc = Extensions.Compile <float, float, float, int[]>(
(_ymin, _xmin, _step) =>
(from pair in pairs.AsQueryExpr()
let _y = _ymin + _step * pair.Y
let _x = _xmin + _step * pair.X
let c = new MyComplex(_x, _y)
let iters = EnumerableEx.Generate(c, x => x.SquareLength < limit, x => x * x + c, x => x)
.Take(max_iters)
.Count()
select iters).ToArray()
);
}
public void GpuArrayIndexer()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int>(n =>
{
if (n < 0)
{
n = 0;
}
var nums = Enumerable.Range(0, n).ToArray();
using (var _nums = context.CreateGpuArray(nums))
{
using (var __nums = context.CreateGpuArray(nums))
{
int length = __nums.Length;
var xs = context.Run((from num in _nums.AsGpuQueryExpr()
let y = __nums[num % length]
select num + y).ToArray());
var ys = (from num in nums
let y = nums[num % length]
select num + y).ToArray();
return(xs.SequenceEqual(ys));
}
}
}).QuickCheckThrowOnFailure();
}
}
public static void Main(string[] args)
{
(new GpuQueryTests()).CompiledKernel();
return;
{
int[] xs = new int[] { -1, -1 };
using (var context = new GpuContext())
{
Expression <Func <int, IGpuArray <int>, IGpuQueryExpr <int> > > queryExpr = (n, _xs) =>
_xs.AsGpuQueryExpr().Select(x => x * n).Sum();
using (var _xs = context.CreateGpuArray(xs))
{
using (var kernel = context.Compile(queryExpr))
{
var result = context.Run(kernel, 42, _xs);
}
}
}
}
}
public void SelectManyWithLet()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
var query = (from x in _xs.AsGpuQueryExpr()
from _x in _xs
let test = x * _x
select test + 1).ToArray();
var gpuResult = context.Run(query);
var cpuResult = (from x in xs
from _x in xs
let test = x * _x
select test + 1).ToArray();
return(gpuResult.SequenceEqual(cpuResult));
}
}).QuickCheckThrowOnFailure();
}
}
public void InnerEnumerablePipeline()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
var query = (from x in _xs.AsGpuQueryExpr()
let y = x
let test = EnumerableEx.Generate(1, i => i < y, i => i + 1, i => i)
.Take(10)
.Count()
select test + 1).ToArray();
var gpuResult = context.Run(query);
var cpuResult = (from x in xs
let y = x
let test = EnumerableEx.Generate(1, i => i < y, i => i + 1, i => i)
.Take(10)
.Count()
select test + 1).ToArray();;
return(gpuResult.SequenceEqual(cpuResult));
}
}).QuickCheckThrowOnFailure();
}
}
public void FunctionSplicing()
{
using (var context = new GpuContext())
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
Expression <Func <int, int> > g = x => x + 1;
Expression <Func <int, int> > f = x => 2 * g.Invoke(x);
Expression <Func <int, int> > h = x => g.Invoke(x) + f.Invoke(1);
var query = (from x in _xs.AsGpuQueryExpr()
let m = h.Invoke(x)
let k = f.Invoke(x)
let y = g.Invoke(x)
select k).ToArray();
var gpuResult = context.Run(query);
Func <int, int> _g = x => x + 1;
Func <int, int> _f = x => 2 * _g.Invoke(x);
var cpuResult = (from x in xs
select _f.Invoke(x)).ToArray();
return(gpuResult.SequenceEqual(cpuResult));
}
}).QuickCheckThrowOnFailure();
}
}
public void FunctionSplicingVariadic()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
Expression <Func <int, int> > g = x => x + 1;
Expression <Func <int, int, int> > f = (x, y) => y * g.Invoke(x);
Expression <Func <int, int, int, int> > h = (x, y, z) => g.Invoke(x) + f.Invoke(y, z);
Expression <Func <int, int, int, int, int> > i = (x, y, z, w) => g.Invoke(x) + f.Invoke(x, y) + h.Invoke(x, y, z) + w;
var query = (from x in _xs.AsGpuQueryExpr()
let n = i.Invoke(x, x, x, x)
let m = h.Invoke(x, x, x)
let l = f.Invoke(x, x)
let k = g.Invoke(x)
select k).ToArray();
var gpuResult = context.Run(query);
Func <int, int> _g = x => x + 1;
var cpuResult = (from x in xs
select _g.Invoke(x)).ToArray();
return(gpuResult.SequenceEqual(cpuResult));
}
}).QuickCheckThrowOnFailure();
}
}
public void MathFunctionsSingle()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
var gpuResult = context.Run((from n in _xs.AsGpuQueryExpr()
let pi = SMath.PI
let c = SMath.Cos(n)
let s = SMath.Sin(n)
let f = SMath.Floor(pi)
let sq = SMath.Sqrt(n * n)
let ex = SMath.Exp(pi)
let p = SMath.Pow(pi, 2)
let a = SMath.Abs(c)
let l = SMath.Log(n)
select f *pi *c *s *sq *ex *p *a *l).ToArray());
var openClResult = this.MathFunctionsSingleTest(xs);
return(gpuResult.Zip(openClResult, (x, y) => (float.IsNaN(x) && float.IsNaN(y)) ? true : System.Math.Abs(x - y) < 0.001)
.SequenceEqual(Enumerable.Range(1, xs.Length).Select(_ => true)));
}
}).QuickCheckThrowOnFailure();
}
}
public void Structs()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(nums =>
{
var nodes = nums.Select(num => new Node {
x = num, y = num
}).ToArray();
using (var _nodes = context.CreateGpuArray(nodes))
{
var xs = context.Run((from node in _nodes.AsGpuQueryExpr()
let x = node.x + 2
let y = node.y + 1
select new Node {
x = x, y = y
}).ToArray());
var ys = (from node in nodes
let x = node.x + 2
let y = node.y + 1
select new Node {
x = x, y = y
}).ToArray();
return(xs.SequenceEqual(ys));
}
}).QuickCheckThrowOnFailure();
}
}
public void LinqLet()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(nums =>
{
using (var _nums = context.CreateGpuArray(nums))
{
var x =
context.Run((from num in _nums.AsGpuQueryExpr()
let a = num * 2
let c = a + 1
let b = a * 2
let e = b - 5
let d = c * c
let m = 3
select a + b + c + d + e + m + num).Sum());
var y =
(from num in nums
let a = num * 2
let c = a + 1
let b = a * 2
let e = b - 5
let d = c * c
let m = 3
select a + b + c + d + e + m + num).Sum();
return(x == y);
}
}).QuickCheckThrowOnFailure();
}
}
static void Main(string[] args)
{
// Based on http://brahma.codeplex.com/SourceControl/latest#trunk/Source/Samples/OpenCL/FastFourierTransform/Program.cs
int size = 8388608;
// Input Data
Random random = new Random();
var input = Enumerable.Range(1, size).Select(x => new Complex {
A = (float)random.NextDouble(), B = 0.0f
}).ToArray();
var output = Enumerable.Range(1, size).Select(x => new Complex {
A = 0.0f, B = 0.0f
}).ToArray();
var xs = Enumerable.Range(0, size - 1).ToArray();
using (var context = new GpuContext())
{
using (var _xs = context.CreateGpuArray(xs))
{
var _input = context.CreateGpuArray(input);
var _output = context.CreateGpuArray(output);
// Forward FFT
int fftSize = 2;
for (int i = 0; i < System.Math.Log(size, 2.0); i++)
{
var query = (from x in _xs.AsGpuQueryExpr()
let b = (((int)FMath.Floor((float)x / fftSize)) * (fftSize / 2))
let offset = x % (fftSize / 2)
let x0 = b + offset
let x1 = x0 + size / 2
let val0 = _input[x0]
let val1 = _input[x1]
let angle = -2 * FMath.PI * (x / fftSize)
let t = new Complex {
A = FMath.Cos(angle), B = FMath.Sin(angle)
}
select new Complex
{
A = val0.A + t.A * val1.A - t.B * val1.B,
B = val0.B + t.B * val1.A + t.A * val1.B
});
fftSize *= 2;
context.Fill(query, _output);
Swap(ref _input, ref _output);
}
}
}
}
public void Fill()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
using (var _out = context.CreateGpuArray(Enumerable.Range(1, xs.Length).ToArray()))
{
context.Fill(_xs.AsGpuQueryExpr().Select(n => n * 2), _out);
var y = xs.Select(n => n * 2).ToArray();
return(_out.ToArray().SequenceEqual(y));
}
}
}).QuickCheckThrowOnFailure();
}
}
public void Select()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
var x = context.Run(_xs.AsGpuQueryExpr().Select(n => n * 2).ToArray());
var y = xs.Select(n => n * 2).ToArray();
return(x.SequenceEqual(y));
}
}).QuickCheckThrowOnFailure();
}
}
public void Zip()
{
using (var context = new GpuContext())
{
Spec.ForAny <int[]>(ms =>
{
using (var _ms = context.CreateGpuArray(ms))
{
var xs = context.Run(GpuQueryExpr.Zip(_ms, _ms, (a, b) => a * b).Select(x => x + 1).ToArray());
var ys = Enumerable.Zip(ms, ms, (a, b) => a * b).Select(x => x + 1).ToArray();
return(xs.SequenceEqual(ys));
}
}).QuickCheckThrowOnFailure();
}
}
public void ZipWithFilter()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(ms =>
{
using (var _ms = context.CreateGpuArray(ms))
{
var xs = context.Run(GpuQueryExpr.Zip(_ms, _ms, (a, b) => a * b).Where(x => x % 2 == 0).ToArray());
var ys = Enumerable.Zip(ms, ms, (a, b) => a * b).Where(x => x % 2 == 0).ToArray();
return(xs.SequenceEqual(ys));
}
}).QuickCheckThrowOnFailure();
}
}
public void ZipWithReduction()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(ms =>
{
using (var _ms = context.CreateGpuArray(ms))
{
// Dot Product
var xs = context.Run(GpuQueryExpr.Zip(_ms, _ms, (a, b) => a * b).Sum());
var ys = Enumerable.Zip(ms, ms, (a, b) => a * b).Sum();
return(xs == ys);
}
}).QuickCheckThrowOnFailure();
}
}
static void Main(string[] args)
{
int size = 1000;
Random random = new Random();
var input = Enumerable.Range(1, size).Select(x => (float)random.NextDouble()).ToArray();
using (var context = new GpuContext())
{
using (var xs = context.CreateGpuArray(input))
{
// Dot Product
var query = GpuQueryExpr.Zip(xs, xs, (a, b) => a * b).Sum();
var result = context.Run(query);
Console.WriteLine("Result: {0}", result);
}
}
}
public void Sum()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
var x = context.Run((from n in _xs.AsGpuQueryExpr()
select n + 1).Sum());
var y = (from n in xs
select n + 1).Sum();
return(x == y);
}
}).QuickCheckThrowOnFailure();
}
}
static void Main(string[] args)
{
int size = 1000000;
Random random = new Random();
var input = Enumerable.Range(1, size).Select(x => (float)random.NextDouble()).ToArray();
Stopwatch timer = new Stopwatch();
float[] gpuResult;
using (var context = new GpuContext())
{
using (var xs = context.CreateGpuArray(input))
{
// Dot Product
var kernel = context.Compile <IGpuArray <float>, float>(_xs => GpuQueryExpr.Zip(_xs, _xs, (a, b) => a * b).Sum());
timer.Start();
gpuResult = Enumerable.Range(1, 100).Select(i => context.Run(kernel, xs)).ToArray();
timer.Stop();
var elapsed = timer.ElapsedTicks;
Console.WriteLine("GPU Computation w/o compilation took {0} ticks", elapsed / 100.0);
Console.WriteLine("Result: {0}", gpuResult[0]);
}
//var elapsed = timer.ElapsedMilliseconds;
//Console.WriteLine("GPU Computation took {0} milliseconds", elapsed);
}
timer.Restart();
var res = Enumerable.Range(1, 100).Select(i => input.Zip(input, (a, b) => a * b).Sum()).ToArray();
timer.Stop();
var elapsed2 = timer.ElapsedTicks;
Console.WriteLine("CPU Computation took {0} ticks", elapsed2 / 100.0);
if (res[0] == gpuResult[0])
{
Console.WriteLine("Cpu and Gpu computations are identical");
}
else
{
Console.WriteLine("Cpu and Gpu computations are different");
}
Console.ReadLine();
}
public void CompiledKernel()
{
using (var context = new GpuContext(platformWildCard))
{
Expression <Func <int, IGpuArray <int>, IGpuQueryExpr <int> > > queryExpr = (n, _xs) =>
_xs.AsGpuQueryExpr().Select(x => x * n).Sum();
var kernel = context.Compile(queryExpr);
int _n = 42;
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
var gpuResult = context.Run(kernel, _n, _xs);
var cpuResult = xs.Select(x => x * _n).Sum();
return(gpuResult == cpuResult);
}
}).QuickCheckThrowOnFailure();
}
}
public void Where()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
var x = context.Run((from n in _xs.AsGpuQueryExpr()
where n % 2 == 0
select n + 1).ToArray());
var y = (from n in xs
where n % 2 == 0
select n + 1).ToArray();
return(x.SequenceEqual(y));
}
}).QuickCheckThrowOnFailure();
}
}
public void Count()
{
using (var context = new GpuContext())
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
var x = context.Run((from n in _xs.AsGpuQueryExpr()
where n % 2 == 0
select n + 1).Count());
var y = (from n in xs
where n % 2 == 0
select n + 1).Count();
return(x == y);
}
}).QuickCheckThrowOnFailure();
}
}
public static void Main(string[] args)
{
{
var xs = Enumerable.Range(1, 1000000).Select(x => (long)x).ToArray();
using (var context = new GpuContext("Intel*"))
{
Expression <Func <int, IGpuArray <long>, IGpuQueryExpr <long> > > queryExpr = (n, _xs) =>
_xs.AsGpuQueryExpr().Select(x => x * n).Sum();
using (var _xs = context.CreateGpuArray(xs))
{
using (var kernel = context.Compile(queryExpr))
{
var result = context.Run(kernel, 2, _xs);
}
}
}
}
}
public void ConstantLifting()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(nums =>
{
using (var _nums = context.CreateGpuArray(nums))
{
int c = nums.Length;
var xs = context.Run((from num in _nums.AsGpuQueryExpr()
let y = num + c
let k = y + c
select c + y + k).ToArray());
var ys = (from num in nums
let y = num + c
let k = y + c
select c + y + k).ToArray();
return(xs.SequenceEqual(ys));
}
}).QuickCheckThrowOnFailure();
}
}
public void TernaryIfElse()
{
using (var context = new GpuContext(platformWildCard))
{
Spec.ForAny <int[]>(xs =>
{
using (var _xs = context.CreateGpuArray(xs))
{
var query = (from n in _xs.AsGpuQueryExpr()
where n > 10
select(n % 2 == 0) ? 1 : 0).ToArray();
var gpuResult = context.Run(query);
var cpuResult = (from n in xs
where n > 10
select(n % 2 == 0) ? 1 : 0).ToArray();
return(gpuResult.SequenceEqual(cpuResult));
}
}).QuickCheckThrowOnFailure();
}
}
static void Main(string[] args)
{
// Based on https://github.com/gsvgit/Brahma.FSharp/tree/master/Source/BlackScholes
const int optionCount = 1000000;
const float riskFreeInterestRate = 0.02f;
const float volatility = 0.30f;
const float A1 = 0.31938153f;
const float A2 = -0.356563782f;
const float A3 = 1.781477937f;
const float A4 = -1.821255978f;
const float A5 = 1.330274429f;
// Helper functions
Expression <Func <float, float> > k = x => 1.0f / (1.0f + 0.2316419f * FMath.Abs(x));
Expression <Func <float, float> > cnd = x =>
1.0f - 1.0f / FMath.Sqrt(2.0f * FMath.PI)
* FMath.Exp(-(FMath.Abs(x)) * (FMath.Abs(x)) / 2.0f) * (A1 * k.Invoke(x) + A2 * k.Invoke(x) * k.Invoke(x) + A3 * FMath.Pow(k.Invoke(x), 3)
+ A4 * FMath.Pow(k.Invoke(x), 4) + A5 * FMath.Pow(k.Invoke(x), 5));
Expression <Func <float, float> > cumulativeNormalDistribution = x => (x < 0.0f) ? 1.0f - cnd.Invoke(x) : cnd.Invoke(x);
Expression <Func <float, float, float, float> > d1 =
(stockPrice, strikePrice, timeToExpirationYears) =>
FMath.Log(stockPrice / strikePrice) + (riskFreeInterestRate + volatility * volatility / 2.0f) * timeToExpirationYears
/ (volatility * FMath.Sqrt(timeToExpirationYears));
Expression <Func <float, float, float> > d2 =
(_d1, timeToExpirationYears) => _d1 - volatility * FMath.Sqrt(timeToExpirationYears);
Expression <Func <float, float, float, float, float, float> > blackScholesCallOption =
(_d1, _d2, stockPrice, strikePrice, timeToExpirationYears) =>
stockPrice *cumulativeNormalDistribution.Invoke(_d1) -
strikePrice * FMath.Exp(-(riskFreeInterestRate) * timeToExpirationYears) * cumulativeNormalDistribution.Invoke(_d2);
Expression <Func <float, float, float, float, float, float> > blackScholesPutOption =
(_d1, _d2, stockPrice, strikePrice, timeToExpirationYears) =>
strikePrice *FMath.Exp(-riskFreeInterestRate *timeToExpirationYears) *
cumulativeNormalDistribution.Invoke(-_d2) - stockPrice * cumulativeNormalDistribution.Invoke(-_d1);
// Init data
var random = new System.Random();
var data = Enumerable.Range(1, optionCount).Select(_ => new InputData
{
Stock = random.Random(5.0f, 30.0f),
Strike = random.Random(1.0f, 100.0f),
Times = random.Random(0.25f, 10.0f)
}).ToArray();
// Main code
Stopwatch timer = new Stopwatch();
timer.Start();
OutPutData[] results;
using (GpuContext context = new GpuContext())
{
using (var _data = context.CreateGpuArray(data))
{
var query =
(from d in _data.AsGpuQueryExpr()
let _d1 = d1.Invoke(d.Stock, d.Strike, d.Times)
let _d2 = d2.Invoke(_d1, d.Times)
select new OutPutData {
Call = blackScholesCallOption.Invoke(_d1, _d2, d.Stock, d.Strike, d.Times),
Put = blackScholesPutOption.Invoke(_d1, _d2, d.Stock, d.Strike, d.Times)
}).ToArray();
results = context.Run(query);
}
}
timer.Stop();
var elapsed = timer.ElapsedMilliseconds;
Console.WriteLine("Black Scholes computed on Gpu in {0} milliseconds", elapsed);
//String.Join<OutPutData>(", ", Enumerable.Range(1,120).
// Select(i => results.ElementAtOrDefault(i)).ToArray()));
timer.Restart();
var cpuResults = CpuBlackScholes(data);
timer.Stop();
elapsed = timer.ElapsedMilliseconds;
Console.WriteLine("Black Scholes computed on Cpu in {0} milliseconds", elapsed);
var resultsAreEqual = cpuResults.Zip(results, (a, b) => Tuple.Create(a, b)).All(pair => pair.Item1.IsEqual(pair.Item2));
Console.WriteLine("Results calculated by cpu and gpu are {0}", resultsAreEqual ? "equal" : "not equal");
Console.WriteLine("Results = {0}",
String.Join <Results>(", ", Enumerable.Range(1, 120).
Select(i => new Results()
{
Gpu = results.ElementAtOrDefault(i), Cpu = cpuResults.ElementAtOrDefault(i)
}).ToArray()));
Console.ReadLine();
}
static void Main(string[] args)
{
// Based on https://github.com/gsvgit/Brahma.FSharp/tree/master/Source/BlackScholes
const int optionCount = 1000000;
const float riskFreeInterestRate = 0.02f;
const float volatility = 0.30f;
const float A1 = 0.31938153f;
const float A2 = -0.356563782f;
const float A3 = 1.781477937f;
const float A4 = -1.821255978f;
const float A5 = 1.330274429f;
// Helper functions
Expression <Func <float, float> > k = x => 1.0f / (1.0f + 0.2316419f * FMath.Abs(x));
Expression <Func <float, float> > cnd = x =>
1.0f - 1.0f / FMath.Sqrt(2.0f * FMath.PI)
* FMath.Exp(-(FMath.Abs(x)) * (FMath.Abs(x)) / 2.0f) * (A1 * k.Invoke(x) + A2 * k.Invoke(x) * k.Invoke(x) + A3 * FMath.Pow(k.Invoke(x), 3)
+ A4 * FMath.Pow(k.Invoke(x), 4) + A5 * FMath.Pow(k.Invoke(x), 4));
Expression <Func <float, float> > cumulativeNormalDistribution = x => (x < 0.0f) ? 1.0f - cnd.Invoke(x) : cnd.Invoke(x);
Expression <Func <float, float, float, float> > d1 =
(stockPrice, strikePrice, timeToExpirationYears) =>
FMath.Log(stockPrice / strikePrice) + (riskFreeInterestRate + volatility * volatility / 2.0f) * timeToExpirationYears
/ (volatility * FMath.Sqrt(timeToExpirationYears));
Expression <Func <float, float, float> > d2 =
(_d1, timeToExpirationYears) => _d1 - volatility * FMath.Sqrt(timeToExpirationYears);
Expression <Func <float, float, float, float, float, float> > blackScholesCallOption =
(_d1, _d2, stockPrice, strikePrice, timeToExpirationYears) =>
stockPrice *cumulativeNormalDistribution.Invoke(_d1) -
strikePrice * FMath.Exp(-(riskFreeInterestRate) * timeToExpirationYears) * cumulativeNormalDistribution.Invoke(_d2);
Expression <Func <float, float, float, float, float, float> > blackScholesPutOption =
(_d1, _d2, stockPrice, strikePrice, timeToExpirationYears) =>
strikePrice *FMath.Exp(-riskFreeInterestRate *timeToExpirationYears) *
cumulativeNormalDistribution.Invoke(-_d2) - stockPrice * cumulativeNormalDistribution.Invoke(-_d1);
// Init data
var random = new System.Random();
var data = Enumerable.Range(1, optionCount).Select(_ => new InputData
{
Stock = random.Random(5.0f, 30.0f),
Strike = random.Random(1.0f, 100.0f),
Times = random.Random(0.25f, 10.0f)
}).ToArray();
// Main code
using (GpuContext context = new GpuContext())
{
using (var _data = context.CreateGpuArray(data))
{
var query =
(from d in _data.AsGpuQueryExpr()
let _d1 = d1.Invoke(d.Stock, d.Strike, d.Times)
let _d2 = d2.Invoke(_d1, d.Times)
select new OutPutData {
Call = blackScholesCallOption.Invoke(_d1, _d2, d.Stock, d.Strike, d.Times),
Put = blackScholesPutOption.Invoke(_d1, _d2, d.Stock, d.Strike, d.Times)
}).ToArray();
var result = context.Run(query);
}
}
}