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Matt Pharr
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examples/options/options.cpp
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151
examples/options/options.cpp
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/*
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Copyright (c) 2010-2011, Intel Corporation
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All rights reserved.
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Redistribution and use in source and binary forms, with or without
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modification, are permitted provided that the following conditions are
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met:
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* Redistributions of source code must retain the above copyright
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notice, this list of conditions and the following disclaimer.
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* Redistributions in binary form must reproduce the above copyright
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notice, this list of conditions and the following disclaimer in the
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documentation and/or other materials provided with the distribution.
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* Neither the name of Intel Corporation nor the names of its
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contributors may be used to endorse or promote products derived from
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this software without specific prior written permission.
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THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS
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IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED
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TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A
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PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER
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OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
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EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
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PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
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PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
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LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
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NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
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SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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*/
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#include <stdio.h>
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#include <stdlib.h>
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#include <string.h>
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#include <assert.h>
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#include <math.h>
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#include <algorithm>
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#ifndef __APPLE__
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#include <malloc.h>
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#endif // !__APPLE__
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using std::max;
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#include "options_defs.h"
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#include "../timing.h"
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#include "options_ispc.h"
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using namespace ispc;
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// Allocate memory with 64-byte alignment.
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float *AllocFloats(int count) {
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int size = count * sizeof(float);
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#if defined(_WIN32) || defined(_WIN64)
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return (float *)_aligned_malloc(size, 64);
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#elif defined (__APPLE__)
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// Allocate excess memory to ensure an aligned pointer can be returned
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void *mem = malloc(size + (64-1) + sizeof(void*));
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char *amem = ((char*)mem) + sizeof(void*);
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amem += 64 - (reinterpret_cast<uint64_t>(amem) & (64 - 1));
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((void**)amem)[-1] = mem;
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return (float *)amem;
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#else
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return (float *)memalign(64, size);
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#endif
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}
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extern void black_scholes_serial(float Sa[], float Xa[], float Ta[],
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float ra[], float va[],
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float result[], int count);
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extern void binomial_put_serial(float Sa[], float Xa[], float Ta[],
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float ra[], float va[],
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float result[], int count);
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int main() {
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// Pointers passed to ispc code must have alignment of the target's
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// vector width at minimum.
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float *S = AllocFloats(N_OPTIONS);
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float *X = AllocFloats(N_OPTIONS);
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float *T = AllocFloats(N_OPTIONS);
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float *r = AllocFloats(N_OPTIONS);
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float *v = AllocFloats(N_OPTIONS);
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float *result = AllocFloats(N_OPTIONS);
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for (int i = 0; i < N_OPTIONS; ++i) {
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S[i] = 100; // stock price
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X[i] = 98; // option strike price
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T[i] = 2; // time (years)
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r[i] = .02; // risk-free interest rate
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v[i] = 5; // volatility
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}
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//
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// Binomial options pricing model, ispc implementation
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//
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reset_and_start_timer();
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binomial_put_ispc(S, X, T, r, v, result, N_OPTIONS);
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double binomial_ispc = get_elapsed_mcycles();
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float sum = 0.f;
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for (int i = 0; i < N_OPTIONS; ++i)
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sum += result[i];
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printf("[binomial ispc]:\t\t[%.3f] million cycles (avg %f)\n",
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binomial_ispc, sum / N_OPTIONS);
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//
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// Binomial options, serial implementation
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//
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reset_and_start_timer();
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binomial_put_serial(S, X, T, r, v, result, N_OPTIONS);
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double binomial_serial = get_elapsed_mcycles();
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sum = 0.f;
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for (int i = 0; i < N_OPTIONS; ++i)
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sum += result[i];
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printf("[binomial serial]:\t\t[%.3f] million cycles (avg %f)\n",
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binomial_serial, sum / N_OPTIONS);
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printf("\t\t\t\t(%.2fx speedup from ISPC)\n", binomial_serial / binomial_ispc);
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//
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// Black-Scholes options pricing model, ispc implementation
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//
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sum = 0.f;
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reset_and_start_timer();
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for (int a = 0; a < N_BLACK_SCHOLES_ROUNDS; ++a) {
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black_scholes_ispc(S, X, T, r, v, result, N_OPTIONS);
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for (int i = 0; i < N_OPTIONS; ++i)
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sum += result[i];
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}
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double bs_ispc = get_elapsed_mcycles();
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printf("[black-scholes ispc]:\t\t[%.3f] million cycles (avg %f)\n",
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bs_ispc, sum / (N_BLACK_SCHOLES_ROUNDS * N_OPTIONS));
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//
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// Black-Scholes options pricing model, serial implementation
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//
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sum = 0.f;
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reset_and_start_timer();
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for (int a = 0; a < N_BLACK_SCHOLES_ROUNDS; ++a) {
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black_scholes_serial(S, X, T, r, v, result, N_OPTIONS);
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for (int i = 0; i < N_OPTIONS; ++i)
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sum += result[i];
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}
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double bs_serial = get_elapsed_mcycles();
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printf("[black-scholes serial]:\t\t[%.3f] million cycles (avg %f)\n", bs_serial,
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sum / (N_BLACK_SCHOLES_ROUNDS * N_OPTIONS));
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printf("\t\t\t\t(%.2fx speedup from ISPC)\n", bs_serial / bs_ispc);
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return 0;
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}
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