Initial commit.

2011-06-21 06:23:29 -07:00
commit 18af5226ba
587 changed files with 45117 additions and 0 deletions
--- a/examples/options/options_serial.cpp
+++ b/examples/options/options_serial.cpp
@@ -0,0 +1,114 @@
+/*
+  Copyright (c) 2010-2011, Intel Corporation
+  All rights reserved.
+
+  Redistribution and use in source and binary forms, with or without
+  modification, are permitted provided that the following conditions are
+  met:
+
+    * Redistributions of source code must retain the above copyright
+      notice, this list of conditions and the following disclaimer.
+
+    * Redistributions in binary form must reproduce the above copyright
+      notice, this list of conditions and the following disclaimer in the
+      documentation and/or other materials provided with the distribution.
+
+    * Neither the name of Intel Corporation nor the names of its
+      contributors may be used to endorse or promote products derived from
+      this software without specific prior written permission.
+
+
+   THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS
+   IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED
+   TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A
+   PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER
+   OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
+   EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
+   PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
+   PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
+   LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
+   NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
+   SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.  
+*/
+
+#ifdef _MSC_VER
+#define _CRT_SECURE_NO_WARNINGS
+#define NOMINMAX
+#pragma warning (disable: 4244)
+#pragma warning (disable: 4305)
+#endif
+
+#include "options_defs.h"
+#include <math.h>
+#include <algorithm>
+
+// Cumulative normal distribution function
+static inline float
+CND(float X) {
+    float L = fabsf(X);
+
+    float k = 1.0 / (1.0 + 0.2316419 * L);
+    float k2 = k*k;
+    float k3 = k2*k;
+    float k4 = k2*k2;
+    float k5 = k3*k2;
+
+    const float invSqrt2Pi = 0.39894228040f;
+    float w = (0.31938153f * k - 0.356563782f * k2 + 1.781477937f * k3 +
+               -1.821255978f * k4 + 1.330274429f * k5);
+    w *= invSqrt2Pi * expf(-L * L * .5f);
+
+    if (X > 0.f)
+        w = 1.0 - w;
+    return w;
+}
+
+
+void
+black_scholes_serial(float Sa[], float Xa[], float Ta[], 
+                     float ra[], float va[], 
+                     float result[], int count) {
+    for (int i = 0; i < count; ++i) {
+        float S = Sa[i], X = Xa[i];
+        float T = Ta[i], r = ra[i];
+        float v = va[i];
+
+        float d1 = (logf(S/X) + (r + v * v * .5f) * T) / (v * sqrtf(T));
+        float d2 = d1 - v * sqrtf(T);
+
+        result[i] = S * CND(d1) - X * expf(-r * T) * CND(d2);
+    }
+}
+
+
+void
+binomial_put_serial(float Sa[], float Xa[], float Ta[], 
+                    float ra[], float va[], 
+                    float result[], int count) {
+    float V[BINOMIAL_NUM];
+
+    for (int i = 0; i < count; ++i) {
+        float S = Sa[i], X = Xa[i];
+        float T = Ta[i], r = ra[i];
+        float v = va[i];
+
+        float dt = T / BINOMIAL_NUM;
+        float u = expf(v * sqrtf(dt));
+        float d = 1. / u;
+        float disc = expf(r * dt);
+        float Pu = (disc - d) / (u - d);
+
+        for (int j = 0; j < BINOMIAL_NUM; ++j) {
+            float upow = powf(u, (float)(2*j-BINOMIAL_NUM));
+            V[j] = std::max(0.f, X - S * upow);
+        }
+
+        for (int j = BINOMIAL_NUM-1; j >= 0; --j)
+            for (int k = 0; k < j; ++k)
+                V[k] = ((1 - Pu) * V[k] + Pu * V[k + 1]) / disc;
+
+        result[i] = V[0];
+    }
+}
+
+