public NArray <int> RightShift(NArray <int> operand, int shift)
{
var result = NewNArrayLike(operand);
Provider(operand).RightShift(operand, shift, result);
return(result);
}
public override NArray <T> UnaryElementWiseOperation <T>(NArray <T> operand,
UnaryElementWiseOperation operation)
{
NArray <T> result = null;
if (operand.IsScalar)
{
Func <T, T> scalarOperation = null;
switch (operation)
{
case VectorAccelerator.UnaryElementWiseOperation.Negate:
scalarOperation = (op) => { T res; Negate <T>(op, out res); return(res); };
break;
//case VectorAccelerator.UnaryElementWiseOperation.Exp:
default:
throw new NotImplementedException();
}
if (!IsIndependentVariable(operand))
{
return(NewScalarNArray(scalarOperation(operand.First())));
}
else
{
result = NewScalarLocalNArray(scalarOperation(operand.First()), true);
}
}
else
{
result = NewNArrayLike(operand);
}
DoUnaryElementWiseOperation <T>(operand, result, operation);
return(result);
}
private NArray <T> BinaryElementWiseOperation <T>(NArray <T> operand1, NArray <T> operand2,
ExpressionType type, Func <T, T, T> scalarOperation)
{
NArray <T> result = null;
if (operand1.IsScalar && operand2.IsScalar)
{
if (!IsIndependentVariable(operand1) && !IsIndependentVariable(operand2))
{
return(NewScalarNArray(scalarOperation(operand1.First(), operand2.First()))); // this is a scalar that does not depend on any independent variable: can simply return
}
else
{
result = NewScalarLocalNArray(scalarOperation(operand1.First(), operand2.First()), true);
}
}
else if (operand1.IsScalar)
{
result = NewNArrayLike(operand2);
}
else
{
result = NewNArrayLike(operand1);
}
DoBinaryElementWiseOperation(operand1, operand2, result, type);
return(result);
}
public override NArray <T> ElementWiseAdd <T>(NArray <T> operand1, NArray <T> operand2) // immediate-mode version
{
NArray <T> result = null;
if (operand1.IsScalar && operand2.IsScalar)
{
result = NewScalarNArray(Add(operand1.First(), operand2.First()));
}
else if (!operand1.IsScalar && !operand2.IsScalar)
{
result = NewNArrayLike(operand1);
DoBinaryElementWiseOperation(operand1, operand2, result, ExpressionType.Add);
}
else
{
T scale; Convert(1, out scale);
if (operand1.IsScalar)
{
result = NewNArrayLike(operand2);
DoScaleOffset(operand2, scale, operand1.First(), result);
}
else
{
result = NewNArrayLike(operand1);
DoScaleOffset(operand1, scale, operand2.First(), result);
}
}
return(result);
}
public static void AssertVectorsOfEqualLength(NArray a, NArray b)
{
if (!(a.IsVector && b.IsVector && a.Length == b.Length))
{
throw new ArgumentException("not equal length vectors");
}
}
public void Assign <T>(NArray <T> operand1, Func <NArray <T> > operand2, Func <NArrayBool> condition)
{
// simple assignment: we evaluate the functions to generate full vectors and assign a portion.
var op2 = operand2();
Provider(operand1, op2).Assign(op2, condition(), operand1);
}
public void Assign <T>(NArray <T> operand1, NArray <T> operand2)
{
var managedStorage = operand2.Storage as ManagedStorage <T>;
operand1.Storage = new ManagedStorage <T>((T[])managedStorage.Array.Clone(),
managedStorage.ArrayStart, managedStorage.Length);
}
public static void AssertIsColumn(NArray column, string paramName)
{
if (column.ColumnCount != 1)
{
throw new ArgumentException("is not a column", paramName);
}
}
public static void AssertSameShape <T, S>(NArray <T> a, NArray <S> b)
{
if (a.RowCount != b.RowCount || a.ColumnCount != b.ColumnCount)
{
throw new ArgumentException("shape mismatch");
}
}
public override NArray <T> ElementWiseSubtract <T>(NArray <T> operand1, NArray <T> operand2)
{
NArray <T> result = null;
if (operand1.IsScalar && operand2.IsScalar)
{
result = NewScalarNArray(Subtract(operand1.First(), operand2.First()));
}
else if (!operand1.IsScalar && !operand2.IsScalar)
{
result = NewNArrayLike(operand1);
DoBinaryElementWiseOperation(operand1, operand2, result, ExpressionType.Subtract);
}
else
{
if (operand1.IsScalar)
{
result = NewNArrayLike(operand2);
T scale; Convert(-1, out scale);
DoScaleOffset(operand2, scale, operand1.First(), result);
}
else
{
result = NewNArrayLike(operand1);
T scale; Convert(1, out scale);
T offset; Negate(operand2.First(), out offset);
DoScaleOffset(operand1, scale, offset, result);
}
}
return(result);
}
//#region Unary Operations
public virtual NArray <T> UnaryElementWiseOperation <T>(NArray <T> operand, UnaryElementWiseOperation operation)
{
var result = NewNArrayLike(operand);
DoUnaryElementWiseOperation <T>(operand, result, operation);
return(result);
}
public static NArray CholeskyDecomposition(NArray a)
{
var result = a.Clone(MatrixRegion.LowerTriangle);
ExecutionContext.Executor.CholeskyDecomposition(result);
return(result);
}
public static void AssertIsRow(NArray row, string paramName)
{
if (row.RowCount != 1)
{
throw new ArgumentException("is not a row", paramName);
}
}
public NArray <T> Index <T>(NArray <T> operand, NArrayInt indices)
{
var result = NewNArrayLike <T, int>(indices);
Provider(operand).Index <T>(operand, indices, result);
return(result);
}
public override NArray <T> ElementWiseMultiply <T>(NArray <T> operand1, NArray <T> operand2)
{
NArray <T> result = null;
if (operand1.IsScalar && operand2.IsScalar)
{
result = NewScalarNArray(Multiply(operand1.First(), operand2.First()));
}
else if (!operand1.IsScalar && !operand2.IsScalar)
{
result = NewNArrayLike(operand1.Length > operand2.Length ? operand1 : operand2);
DoBinaryElementWiseOperation(operand1, operand2, result, ExpressionType.Multiply);
}
else
{
T offset; Convert(0, out offset);
if (operand1.IsScalar)
{
result = NewNArrayLike(operand2);
DoScaleOffset(operand2, operand1.First(), offset, result);
}
else
{
result = NewNArrayLike(operand1);
DoScaleOffset(operand1, operand2.First(), offset, result);
}
}
return(result);
}
public static void AssertRowMatchesMatrix(NArray matrix, NArray row, string matrixParam, string rowParam)
{
AssertIsRow(row, rowParam);
if (row.ColumnCount != matrix.ColumnCount)
{
throw new ArgumentException(string.Format("mismatching row {0} and matrix {1}", rowParam, matrixParam));
}
}
public static void AssertColumnMatchesMatrix(NArray matrix, NArray column, string matrixParam, string columnParam)
{
AssertIsColumn(column, columnParam);
if (column.RowCount != matrix.RowCount)
{
throw new ArgumentException(string.Format("mismatching column {0} and matrix {1}", columnParam, matrixParam));
}
}
public static void AssertIsVectorOfLength(NArray vector, int length, string paramName)
{
if (!vector.IsVector || vector.Length != length)
{
throw new ArgumentException(
string.Format("is not a vector of length {0}", length), paramName);
}
}
public static double Correlation(NArray a, NArray b)
{
var aSum = a.Sum();
var bSum = b.Sum();
var n = a.Length;
return((NMath.Dot(a, b) * n - aSum * bSum)
/ Math.Sqrt((NMath.Dot(a, a) * n - aSum * aSum) * (NMath.Dot(b, b) * n - bSum * bSum)));
}
public static void BlackScholesD1D2Parameters(NArray forward, double strike, NArray volatility,
double deltaTime, out NArray d1, out NArray d2)
{
var volMultSqrtDTime = volatility * Math.Sqrt(deltaTime);
d1 = (NMath.Log(forward / strike) + (0.5 * volatility * volatility * deltaTime))
/ volMultSqrtDTime;
d2 = d1 - volMultSqrtDTime;
}
public virtual void ElementWiseAddInPlace <T>(NArray <T> operand1, NArray <T> operand2)
{
if (operand2.IsScalar)
{
T scale; Convert(1, out scale);
DoScaleOffset(operand1, scale, operand2.First(), operand2);
}
else
{
DoBinaryElementWiseOperation(operand1, operand2, operand1, ExpressionType.Add);
}
}
public static StorageLocation GetStorageLocation <T>(NArray <T> operand)
{
var storageType = operand.Storage.GetType();
if (storageType == typeof(ManagedStorage <T>))
{
return(StorageLocation.Host);
}
else
{
return(StorageLocation.Device);
}
}
private ILocalNArray CreateLocalLike <S, T>(NArray <T> array)
{
if (_builder.VectorLength == -1)
{
_builder.VectorLength = array.Length;
}
if (array.Length != _builder.VectorLength)
{
throw new ArgumentException("length mismatch", "array");
}
return(_builder.CreateLocal <T>());
}
public NArray <T> Index <T>(NArray <T> operand, NArrayInt indices)
{
if (_builder.VectorLength == -1)
{
_builder.VectorLength = indices.Length;
}
if (indices.Length != _builder.VectorLength)
{
throw new ArgumentException("length mismatch", "array");
}
return(NewNArrayLike <T>(operand));
}
public static IEnumerable <double> Percentiles(NArray a, IEnumerable <double> percentiles)
{
var clone = a.Clone();
SortInPlace(clone);
// the ith element is percentile p = 100 * (i + 0.5) / n
// i = n * p / 100 - 0.5
var fractionalIndices = percentiles.Select(p => clone.Length * p / 100.0 - 0.5);
foreach (var fractionalIndex in fractionalIndices)
{
var lower = (int)fractionalIndex;
var weightUpper = fractionalIndex - lower;
yield return(clone.GetValue(lower) * (1 - weightUpper) + weightUpper * clone.GetValue(lower + 1));
}
}
public static NArray BlackScholes(double callPutFactor, NArray forward, double strike,
NArray volatility, double deltaTime)
{
NArray d1, d2;
if (deltaTime == 0)
{
return(callPutFactor * (forward - strike));
}
BlackScholesD1D2Parameters(forward, strike, volatility, deltaTime, out d1, out d2);
var nd1 = NMath.CumulativeNormal(callPutFactor * d1);
var nd2 = NMath.CumulativeNormal(callPutFactor * d2);
return(callPutFactor * (forward * nd1 - strike * nd2));
}
public NArrayBool RelativeOperation(NArray operand1, NArray operand2, RelativeOperator op)
{
if (operand1.IsScalar)
{
throw new ArgumentException();
}
var result = NArrayFactory.CreateLike <bool, double>(operand1) as NArrayBool;
if (operand2.IsScalar)
{
Provider(operand1, operand2).RelativeOperation(operand1, operand2.First(), result, op);
}
else
{
Provider(operand1, operand2).RelativeOperation(operand1, operand2, result, op);
}
return(result);
}
public NArrayBool RelativeOperation <T>(NArray <T> operand1, NArray <T> operand2, RelativeOperator op)
{
if (operand1.IsScalar)
{
throw new ArgumentException();
}
var result = NewNArrayLike <bool, T>(operand1) as NArrayBool;
if (operand2.IsScalar)
{
ElementWise <T>(operand1).RelativeOperation(operand1, operand2.First(), result, op);
}
else
{
ElementWise <T>(operand1, operand2).RelativeOperation(operand1, operand2, result, op);
}
return(result);
}
public override NArray <T> ElementWiseDivide <T>(NArray <T> operand1, NArray <T> operand2)
{
NArray <T> result = null;
if (operand1.IsScalar && operand2.IsScalar)
{
result = NewScalarNArray(Divide(operand1.First(), operand2.First()));
}
else if (!operand1.IsScalar && !operand2.IsScalar)
{
result = NewNArrayLike(operand1);
DoBinaryElementWiseOperation(operand1, operand2, result, ExpressionType.Divide);
}
else
{
T offset; Convert(0, out offset);
if (operand1.IsScalar)
{
result = NewNArrayLike(operand2);
if (typeof(T) == typeof(double))
{
DoScaleInverse(operand2, operand1.First(), result);
}
else
{
throw new NotImplementedException();
}
}
else
{
result = NewNArrayLike(operand1);
if (typeof(T) == typeof(double))
{
DoScaleOffset(operand1 as NArray, 1.0 / (operand2 as NArray).First(), 0, (result as NArray));
}
else if (typeof(T) == typeof(int))
{
throw new NotImplementedException();
}
}
}
return(result);
}
public static NArray BlackScholes(CallPut callPutFactor, NArray forward, double strike,
NArray volatility, double deltaTime)
{
return(BlackScholes(callPutFactor == CallPut.Call ? 1 : -1, forward, strike, volatility, deltaTime));
}
