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Evghenii
2013-11-15 20:21:31 +01:00
parent bc8b5b3896
commit 4421fb7e19
2 changed files with 12 additions and 8 deletions
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16
examples_cuda/options/options.cu
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@@ -45,9 +45,9 @@
__device__
static inline float
CND(float X) {
float L = abs(X);
float L = fabsf(X);
float k = 1.0 / (1.0 + 0.2316419 * L);
float k = 1.0f / (1.0f + 0.2316419f * L);
float k2 = k*k;
float k3 = k2*k;
float k4 = k2*k2;
@@ -56,10 +56,10 @@ CND(float X) {
const float invSqrt2Pi = 0.39894228040f;
float w = (0.31938153f * k - 0.356563782f * k2 + 1.781477937f * k3 +
-1.821255978f * k4 + 1.330274429f * k5);
w *= invSqrt2Pi * exp(-L * L * .5f);
w *= invSqrt2Pi * expf(-L * L * .5f);
if (X > 0.f)
w = 1.0 - w;
w = 1.0f - w;
return w;
}
@@ -75,10 +75,10 @@ void bs_task( float Sa[], float Xa[], float Ta[],
{
float S = Sa[i], X = Xa[i], T = Ta[i], r = ra[i], v = va[i];
float d1 = (log(S/X) + (r + v * v * .5f) * T) / (v * sqrt(T));
float d2 = d1 - v * sqrt(T);
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 * exp(-r * T) * CND(d2);
result[i] = S * CND(d1) - X * expf(-r * T) * CND(d2);
}
}
@@ -101,7 +101,7 @@ binomial_put(float S, float X, float T, float r, float v) {
float dt = T / BINOMIAL_NUM;
float u = exp(v * sqrt(dt));
float d = 1. / u;
float d = 1.f / u;
float disc = exp(r * dt);
float Pu = (disc - d) / (u - d);

4
examples_cuda/options/options_cu.cpp
View File

@@ -114,6 +114,7 @@ int main(int argc, char *argv[]) {
void *func_args[] = {&d_S, &d_X, &d_T, &d_r, &d_v, &d_result, &nOptions};
double dt = CUDALaunch(NULL, func_name, func_args, print_log, nreg);
dt *= 1e3;
memcpyD2H(result, d_result, nOptions*sizeof(float));
sum = 0.;
for (int i = 0; i < nOptions; ++i)
sum += result[i];
@@ -133,6 +134,7 @@ int main(int argc, char *argv[]) {
void *func_args[] = {&d_S, &d_X, &d_T, &d_r, &d_v, &d_result, &nOptions};
double dt = CUDALaunch(NULL, func_name, func_args, print_log, nreg);
dt *= 1e3;
memcpyD2H(result, d_result, nOptions*sizeof(float));
sum = 0.;
for (int i = 0; i < nOptions; ++i)
sum += result[i];
@@ -152,6 +154,7 @@ int main(int argc, char *argv[]) {
void *func_args[] = {&d_S, &d_X, &d_T, &d_r, &d_v, &d_result, &nOptions};
double dt = CUDALaunch(NULL, func_name, func_args, print_log, nreg);
dt *= 1e3;
memcpyD2H(result, d_result, nOptions*sizeof(float));
sum = 0.;
for (int i = 0; i < nOptions; ++i)
sum += result[i];
@@ -171,6 +174,7 @@ int main(int argc, char *argv[]) {
void *func_args[] = {&d_S, &d_X, &d_T, &d_r, &d_v, &d_result, &nOptions};
double dt = CUDALaunch(NULL, func_name, func_args, print_log, nreg);
dt *= 1e3;
memcpyD2H(result, d_result, nOptions*sizeof(float));
sum = 0.;
for (int i = 0; i < nOptions; ++i)
sum += result[i];