public static double Price(double startVal, double strike, double riskFreeRate, double volatility, double yearsToMaturity,
int numCurvePoints, int numSteps, double maxTimeStepDays, int numBatches, int numScenariosPerBatch, int numStates, int seed)
{
//Grid Setup
int numPivotPoints = 7;
double[] pivotPoints = new double[numPivotPoints];
double[] gridSpacings = new double[numPivotPoints];
pivotPoints[0] = 1; gridSpacings[0] = 5;
pivotPoints[1] = 70; gridSpacings[1] = 2.5;
pivotPoints[2] = 90; gridSpacings[2] = 1;
pivotPoints[3] = 110; gridSpacings[3] = 2.5;
pivotPoints[4] = 140; gridSpacings[4] = 5;
pivotPoints[5] = 200; gridSpacings[5] = 7.5;
pivotPoints[6] = 300; gridSpacings[6] = 10;
//Setup interest rate curve and discount curve
DateTime today = DateTime.Today;
double daysInYear = 365.25;
double daysToMaturity = yearsToMaturity * daysInYear;
DateTime[] rateCurveTimes = BuildDates(today, daysToMaturity, numCurvePoints);
double[] rates = new double[numCurvePoints];
double[] discountFactors = new double[numCurvePoints];
for (int iPoint = 0; iPoint < numCurvePoints; ++iPoint)
{
rates[iPoint] = riskFreeRate;
if (iPoint == 0)
discountFactors[0] = Math.Exp(-rates[iPoint] * (rateCurveTimes[0] - today).Days / daysInYear);
else
discountFactors[iPoint] = discountFactors[iPoint - 1] * Math.Exp(-rates[iPoint] * (rateCurveTimes[iPoint] - rateCurveTimes[iPoint - 1]).Days / daysInYear);
}
//Create grid
//CDevice device = new CDevice(EFloatingPointPrecision.bit32, EFloatingPointUnit.device, 0);
CDevice device = new CDevice(EFloatingPointPrecision.bit64, EFloatingPointUnit.host, 0);
S1DGrid grid = new S1DGrid(device, numStates, today, rateCurveTimes, TimeSpan.FromDays(maxTimeStepDays), startVal,
pivotPoints, gridSpacings);
//Setup drift and vol arrays for geometric brownian motion
double[][] drift = new double[numCurvePoints][];
double[][] vol = new double[numCurvePoints][];
for (int iCurvePoint = 0; iCurvePoint < numCurvePoints; ++iCurvePoint)
{
drift[iCurvePoint] = new double[numStates];
vol[iCurvePoint] = new double[numStates];
for (int iState = 0; iState < numStates; ++iState)
{
drift[iCurvePoint][iState] = rates[iCurvePoint] * grid.host_d_xval(iState);
vol[iCurvePoint][iState] = volatility * grid.host_d_xval(iState);
}
}
//Create model
CLVModel model = new CLVModel(grid, "BSTestModel");
model.mkgen(drift, vol); //drift and vol are expressed annually
model.set_discount_curve(discountFactors);
DateTime[] stepTimes = BuildDates(today, daysToMaturity, numSteps);
model.make_mc_plan(numScenariosPerBatch, numBatches, stepTimes);
model.exe_mc_plan();
VanillaPayoffEvaluator evaluator = new VanillaPayoffEvaluator(model, strike);
//model.device_mc_init();
//model.device_mc_run1f(null, evaluator); //first parameter is not used
if (seed != 0) model.host_d_mc_init_seed(seed);
else model.host_d_mc_init();
model.host_d_mc_run1f(null, evaluator); //first parameter is not used
double payoff = evaluator.GetPayoff();
//do discounting
double pv = payoff * discountFactors[discountFactors.Length - 1];
return pv;
}
public S1DGrid(S1DGrid grid, bool deep_copy)
: base(grid, deep_copy)
{
}
static void Main(string[] args)
{
Console.WriteLine("running benchmark for local volatility model 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);
Console.WriteLine("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);
Console.WriteLine("mc performance: " + String.Format("{0:0.0}", milion_evals_per_second) + " milion eval/sec");
Console.Read();
}
public static void run_benchmark_gpu_sglv1f(uint dev)
{
Console.WriteLine("running sglv1f, device " + dev);
int ni = 10;
double S0 = 100;
int nscen_per_batch = 4096 ;
int nbatches = 10;
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);
Console.WriteLine("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)
{
Console.WriteLine("device_mc_init() failed on device " + dev + ". Aborting");
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();
Console.WriteLine("mc performance: " + String.Format("{0:0.0}", milion_evals_per_second) + " milion eval/sec");
}