public static void VectorForm(NArray variates, NArray optionPrices)
{
double deltaT = 1;
double r = 0.1;
double vol = 0.3;
var logStockPrice = Math.Log(100)
+ variates * Math.Sqrt(deltaT) * vol + (r - 0.5 * vol * vol) * deltaT;
var forwardStockPrices = NMath.Exp(logStockPrice + r * deltaT);
optionPrices.Assign(Finance.BlackScholes(-1, forwardStockPrices, 90, 0.2, 1));
}
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));
}
}
public void SimpleSpeedTest()
{
var factory = new NArrayFactory(StorageLocation.Host);
IntelMathKernelLibrary.SetAccuracyMode(VMLAccuracy.LowAccuracy);
int length = 1024 * 5;
var a = factory.CreateFromEnumerable(Enumerable.Range(0, length).Select(i => (double)i / length));
var a2 = (a.Storage as VectorAccelerator.NArrayStorage.ManagedStorage <double>).Array;
var b = factory.CreateFromEnumerable(Enumerable.Range(3, length).Select(i => (double)i / length));
var b2 = (b.Storage as VectorAccelerator.NArrayStorage.ManagedStorage <double>).Array;
double[] result = null;
NArray resultN = null;
Console.WriteLine("Allocation");
Timeit(
() =>
{
result = new double[length];
});
Console.WriteLine(Environment.NewLine);
result = new double[length];
Console.WriteLine("Managed optimal");
Timeit(
() =>
{
for (int i = 0; i < result.Length; ++i)
//Parallel.For(0, result.Length, (i) =>
{
result[i] = 3 * Math.Log(Math.Exp(a2[i]) * Math.Exp(b2[i]));
}
//);
});
Console.WriteLine(Environment.NewLine);
var vectorOptions = new VectorAccelerator.DeferredExecution.VectorExecutionOptions();
vectorOptions.MultipleThreads = true;
resultN = NArray.CreateLike(a);
Console.WriteLine("Deferred threaded");
Timeit(
() =>
{
NArray.Evaluate(vectorOptions, () =>
{
return(3 * NMath.Log(NMath.Exp(a) * NMath.Exp(b)));
});
});
Console.WriteLine(CheckitString(result, (resultN.Storage as ManagedStorage <double>).Array));
Console.WriteLine(Environment.NewLine);
resultN = NArray.CreateLike(a);
vectorOptions.MultipleThreads = false;
Console.WriteLine("Deferred not threaded");
Timeit(
() =>
{
NArray.Evaluate(vectorOptions, () =>
{
return(3 * NMath.Log(NMath.Exp(a) * NMath.Exp(b)));
});
});
Console.WriteLine(CheckitString(result, (resultN.Storage as ManagedStorage <double>).Array));
Console.WriteLine(Environment.NewLine);
Console.WriteLine("Immediate");
Timeit(
() =>
{
resultN.Assign(3 * NMath.Log(NMath.Exp(a) * NMath.Exp(b)));
});
Console.WriteLine(CheckitString(result, (resultN.Storage as ManagedStorage <double>).Array));
Console.WriteLine(Environment.NewLine);
Console.WriteLine("Hit any key");
Console.ReadKey();
}
