private static void Abs(int[] input, int[] output)
{
// Thread index
int ThreadId = BlockDimension.X * BlockIndex.X + ThreadIndex.X;
// Total number of threads in execution grid
int TotalThreads = BlockDimension.X * GridDimension.X;
// Loop over the test cases (input data), process them, and store the results for comparison against the reference values.
for (int CaseIndex = ThreadId; CaseIndex < input.Length; CaseIndex += TotalThreads)
{
output[CaseIndex] = DeviceMath.Abs(input[CaseIndex]);
}
}
private static void BlackScholesGPUKernel(float[] callResult, float[] putResult, float[] stockPrice, float[] optionStrike, float[] optionYears, float riskFree, float volatility)
{
// Thread index
int ThreadId = BlockDimension.X * BlockIndex.X + ThreadIndex.X;
// Total number of threads in execution grid
int TotalThreads = BlockDimension.X * GridDimension.X;
// No matter how small execution grid is, or how many options we're processing,
// by using this loop we'll get perfect memory coalescing
for (int OptionIndex = ThreadId; OptionIndex < callResult.Length; OptionIndex += TotalThreads)
{
float s = stockPrice[OptionIndex];
float x = optionStrike[OptionIndex];
float t = optionYears[OptionIndex];
// Calculate the square root of the time to option expiration, in years
float SqrtT = DeviceMath.Sqrt(t);
// Calculate the Black-Scholes parameters
float d1 = (DeviceMath.Log(s / x) + (riskFree + 0.5f * volatility * volatility) * t) / (volatility * SqrtT);
float d2 = d1 - volatility * SqrtT;
// Plug the parameters into the Cumulative Normal Distribution (CND)
float K1 = 1.0f / (1.0f + 0.2316419f * DeviceMath.Abs(d1));
float CndD1 = RSQRT2PI * DeviceMath.Exp(-0.5f * d1 * d1) *
(K1 * (A1 + K1 * (A2 + K1 * (A3 + K1 * (A4 + K1 * A5)))));
if (d1 > 0)
{
CndD1 = 1.0f - CndD1;
}
float K2 = 1.0f / (1.0f + 0.2316419f * DeviceMath.Abs(d2));
float CndD2 = RSQRT2PI * DeviceMath.Exp(-0.5f * d2 * d2) *
(K2 * (A1 + K2 * (A2 + K2 * (A3 + K2 * (A4 + K2 * A5)))));
if (d2 > 0)
{
CndD2 = 1.0f - CndD2;
}
// Calculate the discount rate
float ExpRT = DeviceMath.Exp(-1.0f * riskFree * t);
// Calculate the values of the call and put options
callResult[OptionIndex] = s * CndD1 - x * ExpRT * CndD2;
putResult[OptionIndex] = x * ExpRT * (1.0f - CndD2) - s * (1.0f - CndD1);
}
}
