public void run_benchmark_cpu_dclv1f() { log.Add("running dclv1f on the cpu"); int ni = 10; double S0 = 100; int nscen_per_batch = 4096 * 25; int nbatches = 120; TimeSpan dt0 = TimeSpan.FromDays(1); EFloatingPointUnit fpu = EFloatingPointUnit.host; EFloatingPointPrecision fpp = EFloatingPointPrecision.bit64; DateTime today = DateTime.Today; DateTime[] t_k = new DateTime[40]; for (int k = 0; k < 40; k++) t_k[k] = today.AddDays(7 * (k + 1)); DateTime[] t_i = new DateTime[ni]; t_i[0] = today.AddDays(30); t_i[1] = today.AddDays(60); t_i[2] = today.AddDays(90); t_i[3] = today.AddDays(120); t_i[4] = today.AddDays(150); t_i[5] = today.AddDays(180); t_i[6] = today.AddDays(210); t_i[7] = today.AddDays(240); t_i[8] = today.AddDays(270); t_i[9] = today.AddDays(300); double[] xpivot_p = new double[7]; double[] xgridspacing_p = new double[7]; xpivot_p[0] = 1; xgridspacing_p[0] = 5; xpivot_p[1] = 70; xgridspacing_p[1] = 2.5; xpivot_p[2] = 90; xgridspacing_p[2] = 1; xpivot_p[3] = 110; xgridspacing_p[3] = 2.5; xpivot_p[4] = 140; xgridspacing_p[4] = 5; xpivot_p[5] = 200; xgridspacing_p[5] = 7.5; xpivot_p[6] = 300; xgridspacing_p[6] = 10; int nx = 128; OPModel.Types.CDevice device = new OPModel.Types.CDevice(fpp, fpu, 0); OPModel.Types.S1DGrid grid = new OPModel.Types.S1DGrid(device, nx, today, t_i, dt0, S0, xpivot_p, xgridspacing_p); double beta_i; double[] ir_i = new double[ni]; double[] df_i = new double[ni]; double[][] SDrift_i_y = new double[ni][]; double[][] SVol_i_y = new double[ni][]; for (int i = 0; i < ni; i++) { ir_i[i] = 0.05; if (i == 0) df_i[0] = Math.Exp(-ir_i[i] * (t_i[0] - grid.today).Days / 365.25); else df_i[i] = df_i[i - 1] * Math.Exp(-ir_i[i] * (t_i[i] - t_i[i - 1]).Days / 365.25); double Sigma0 = 0.25; beta_i = 1; SDrift_i_y[i] = new double[grid.d]; SVol_i_y[i] = new double[grid.d]; for (int y = 0; y < grid.d; y++) { SDrift_i_y[i][y] = ir_i[i] * grid.host_d_xval(y); SVol_i_y[i][y] = Sigma0 * grid.host_d_xval(grid.y0) * Math.Pow(grid.host_d_xval(y) / grid.host_d_xval(grid.y0), beta_i); } } CStopWatch sw = new CStopWatch(); sw.Reset(); CLVModel model = new CLVModel(grid, "DCLV1F"); model.set_discount_curve(df_i); model.mkgen(SDrift_i_y, SVol_i_y); model.make_mc_plan(nscen_per_batch, nbatches, t_k); model.reset_flop_counter(); double time = sw.Peek(); sw.Reset(); model.exe_mc_plan(); time = sw.Peek(); double nflops = model.cpu_nflops; double gigaflops_per_second = nflops / (1000000000d * time); if (benchmarks == null) benchmarks = new SBenchmarks(); benchmarks.cpu_dclv1f_blas_performance = gigaflops_per_second; log.Add("blas performance: " + String.Format("{0:0.0}", gigaflops_per_second) + " GF/sec"); CMCEvaluator evaluator = new emptyEvaluator(); model.host_d_mc_init(); double[] payoff_a = new double[nscen_per_batch * model.mcplan.nth]; sw.Reset(); unsafe { model.host_d_mc_run1f(payoff_a, evaluator); } time = sw.Peek(); double nevals = (double)t_k.Length * (double)nbatches * (double)nscen_per_batch; double milion_evals_per_second = nevals / (1000000 * time); benchmarks.cpu_dclv1f_mc_performance = milion_evals_per_second; log.Add("mc performance: " + String.Format("{0:0.0}", milion_evals_per_second) + " milion eval/sec"); opcuda_shutdown(); }
public void run_benchmark_gpu_sglv1f(uint dev) { log.Add("running sglv1f, device " + dev); int ni = 10; double S0 = 100; int nscen_per_batch = 4096 * 25; int nbatches = 20; TimeSpan dt0 = TimeSpan.FromDays(1); EFloatingPointUnit fpu = EFloatingPointUnit.device; EFloatingPointPrecision fpp = EFloatingPointPrecision.bit32; DateTime today = DateTime.Today; DateTime[] t_k = new DateTime[40]; for (int k = 0; k < 40; k++) t_k[k] = today.AddDays(7 * (k + 1)); DateTime[] t_i = new DateTime[ni]; t_i[0] = today.AddDays(30); t_i[1] = today.AddDays(60); t_i[2] = today.AddDays(90); t_i[3] = today.AddDays(120); t_i[4] = today.AddDays(150); t_i[5] = today.AddDays(180); t_i[6] = today.AddDays(210); t_i[7] = today.AddDays(240); t_i[8] = today.AddDays(270); t_i[9] = today.AddDays(300); double[] xpivot_p = new double[7]; double[] xgridspacing_p = new double[7]; xpivot_p[0] = 1; xgridspacing_p[0] = 5; xpivot_p[1] = 70; xgridspacing_p[1] = 2.5; xpivot_p[2] = 90; xgridspacing_p[2] = 1; xpivot_p[3] = 110; xgridspacing_p[3] = 2.5; xpivot_p[4] = 140; xgridspacing_p[4] = 5; xpivot_p[5] = 200; xgridspacing_p[5] = 7.5; xpivot_p[6] = 300; xgridspacing_p[6] = 10; int nx = 128; OPModel.Types.CDevice device = new OPModel.Types.CDevice(fpp, fpu, dev); OPModel.Types.S1DGrid grid = new OPModel.Types.S1DGrid(device, nx, today, t_i, dt0, S0, xpivot_p, xgridspacing_p); double beta_i; double[] ir_i = new double[ni]; double[] df_i = new double[ni]; double[][] SDrift_i_y = new double[ni][]; double[][] SVol_i_y = new double[ni][]; for (int i = 0; i < ni; i++) { ir_i[i] = 0.05; if (i == 0) df_i[0] = Math.Exp(-ir_i[i] * (t_i[0] - grid.today).Days / 365.25); else df_i[i] = df_i[i - 1] * Math.Exp(-ir_i[i] * (t_i[i] - t_i[i - 1]).Days / 365.25); double Sigma0 = 0.25; beta_i = 1; SDrift_i_y[i] = new double[grid.d]; SVol_i_y[i] = new double[grid.d]; for (int y = 0; y < grid.d; y++) { SDrift_i_y[i][y] = ir_i[i] * grid.host_d_xval(y); SVol_i_y[i][y] = Sigma0 * grid.host_d_xval(grid.y0) * Math.Pow(grid.host_d_xval(y) / grid.host_d_xval(grid.y0), beta_i); } } CStopWatch sw = new CStopWatch(); sw.Reset(); CLVModel model = new CLVModel(grid, "SGLV1F"); model.set_discount_curve(df_i); model.mkgen(SDrift_i_y, SVol_i_y); model.make_mc_plan(nscen_per_batch, nbatches, t_k); model.reset_flop_counter(); sw.Reset(); model.exe_mc_plan(); model.device_thread_synchronize(); double time = sw.Peek(); double nflops = model.gpu_nflops; double gigaflops_per_second = nflops / (1000000000d * time); if (benchmarks == null) benchmarks = new SBenchmarks(); if (benchmarks.gpu_sglv1f_blas_performance_dev == null) benchmarks.gpu_sglv1f_blas_performance_dev = new double[ndev]; benchmarks.gpu_sglv1f_blas_performance_dev[dev] = gigaflops_per_second; log.Add("blas performance: " + String.Format("{0:0.0}", gigaflops_per_second) + " GF/sec"); CMCEvaluator evaluator = new emptyEvaluator(); double[] pdf_y = new double[grid.d]; if (model.device_mc_init() == 1) { MessageBox.Show("device_mc_init() failed", "OPBench", MessageBoxButtons.OK); return; } sw.Reset(); unsafe { model.device_mc_run1f(pdf_y, evaluator); } model.device_thread_synchronize(); time = sw.Peek(); double nevals = (double)t_k.Length * (double)nbatches * (double)nscen_per_batch; double milion_evals_per_second = nevals / (1000000 * time); int status = opcuda_shutdown(); if (status != 0) throw new ExecutionEngineException(); if (benchmarks == null) benchmarks = new SBenchmarks(); if (benchmarks.gpu_sglv1f_mc_performance_dev == null) benchmarks.gpu_sglv1f_mc_performance_dev = new double[ndev]; benchmarks.gpu_sglv1f_mc_performance_dev[dev] = milion_evals_per_second; log.Add("mc performance: " + String.Format("{0:0.0}", milion_evals_per_second) + " milion eval/sec"); opcuda_shutdown(); }