added cuda versino
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Evghenii
184
examples_cuda/options/options_cu.cpp
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184
examples_cuda/options/options_cu.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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#define NOMINMAX
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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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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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#include <sys/time.h>
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#include "../cuda_ispc.h"
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static void usage() {
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printf("usage: options [--count=<num options>]\n");
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}
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int main(int argc, char *argv[]) {
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int nOptions = 128*1024;
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for (int i = 1; i < argc; ++i) {
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if (strncmp(argv[i], "--count=", 8) == 0) {
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nOptions = atoi(argv[i] + 8);
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if (nOptions <= 0) {
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usage();
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exit(1);
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}
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}
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}
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float *S = new float[nOptions];
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float *X = new float[nOptions];
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float *T = new float[nOptions];
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float *r = new float[nOptions];
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float *v = new float[nOptions];
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float *result = new float[nOptions];
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for (int i = 0; i < nOptions; ++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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createContext();
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/*******************/
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devicePtr d_S = deviceMalloc(nOptions*sizeof(float));
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devicePtr d_X = deviceMalloc(nOptions*sizeof(float));
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devicePtr d_T = deviceMalloc(nOptions*sizeof(float));
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devicePtr d_r = deviceMalloc(nOptions*sizeof(float));
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devicePtr d_v = deviceMalloc(nOptions*sizeof(float));
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devicePtr d_result = deviceMalloc(nOptions*sizeof(float));
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memcpyH2D(d_S, S, nOptions*sizeof(float));
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memcpyH2D(d_X, X, nOptions*sizeof(float));
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memcpyH2D(d_T, T, nOptions*sizeof(float));
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memcpyH2D(d_r, r, nOptions*sizeof(float));
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memcpyH2D(d_v, v, nOptions*sizeof(float));
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double sum;
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//
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// Binomial options pricing model, ispc implementation
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//
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const bool print_log = false;
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const int nreg = 32;
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double binomial_ispc = 1e30;
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#if 0
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for (int i = 0; i < 3; ++i) {
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reset_and_start_timer();
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const double t0 = rtc();
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const char * func_name = "binomial_put_ispc";
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void *func_args[] = {&d_S, &d_X, &d_T, &d_r, &d_v, &d_result, &nOptions};
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double dt = CUDALaunch(NULL, func_name, func_args, print_log, nreg);
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dt *= 1e3;
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sum = 0.;
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for (int i = 0; i < nOptions; ++i)
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sum += result[i];
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binomial_ispc = std::min(binomial_ispc, dt);
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}
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printf("[binomial ispc, 1 thread]:\t[%.3f] million cycles (avg %f)\n",
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binomial_ispc, sum / nOptions);
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#endif
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//
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// Binomial options pricing model, ispc implementation, tasks
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//
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double binomial_tasks = 1e30;
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for (int i = 0; i < 3; ++i) {
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reset_and_start_timer();
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const char * func_name = "binomial_put_ispc_tasks";
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void *func_args[] = {&d_S, &d_X, &d_T, &d_r, &d_v, &d_result, &nOptions};
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double dt = CUDALaunch(NULL, func_name, func_args, print_log, nreg);
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dt *= 1e3;
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sum = 0.;
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for (int i = 0; i < nOptions; ++i)
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sum += result[i];
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binomial_tasks = std::min(binomial_tasks, dt);
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}
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printf("[binomial ispc, tasks]:\t\t[%.3f] million cycles (avg %f)\n",
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binomial_tasks, sum / nOptions);
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//
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// Black-Scholes options pricing model, ispc implementation, 1 thread
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//
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double bs_ispc = 1e30;
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#if 0
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for (int i = 0; i < 3; ++i) {
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reset_and_start_timer();
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const char * func_name = "black_scholes_ispc";
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void *func_args[] = {&d_S, &d_X, &d_T, &d_r, &d_v, &d_result, &nOptions};
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double dt = CUDALaunch(NULL, func_name, func_args, print_log, nreg);
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dt *= 1e3;
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sum = 0.;
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for (int i = 0; i < nOptions; ++i)
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sum += result[i];
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bs_ispc = std::min(bs_ispc, dt);
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}
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printf("[black-scholes ispc, 1 thread]:\t[%.3f] million cycles (avg %f)\n",
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bs_ispc, sum / nOptions);
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#endif
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//
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// Black-Scholes options pricing model, ispc implementation, tasks
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//
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double bs_ispc_tasks = 1e30;
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for (int i = 0; i < 3; ++i) {
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reset_and_start_timer();
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const char * func_name = "black_scholes_ispc_tasks";
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void *func_args[] = {&d_S, &d_X, &d_T, &d_r, &d_v, &d_result, &nOptions};
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double dt = CUDALaunch(NULL, func_name, func_args, print_log, nreg);
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dt *= 1e3;
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sum = 0.;
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for (int i = 0; i < nOptions; ++i)
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sum += result[i];
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bs_ispc_tasks = std::min(bs_ispc_tasks, dt);
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}
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printf("[black-scholes ispc, tasks]:\t[%.3f] million cycles (avg %f)\n",
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bs_ispc_tasks, sum / nOptions);
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return 0;
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}
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