ispc/examples/options/options.ispc

// -*- mode: c++ -*-
/*
  Copyright (c) 2010-2011, Intel Corporation
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      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,
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   PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
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*/

#include "options_defs.h"

// Cumulative normal distribution function
static inline float
CND(float X) {
    float L = abs(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 * exp(-L * L * .5f);

    if (X > 0.f)
        w = 1.0 - w;
    return w;
}

task void
bs_task(uniform float Sa[], uniform float Xa[], uniform float Ta[],
        uniform float ra[], uniform float va[], 
        uniform float result[], uniform int count) {
    uniform int first = taskIndex * (count/taskCount);
    uniform int last = min(count, (int)((taskIndex+1) * (count/taskCount)));

    foreach (i = first ... last) {
        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);

        result[i] = S * CND(d1) - X * exp(-r * T) * CND(d2);
    }
}

export void
black_scholes_ispc_tasks(uniform float Sa[], uniform float Xa[], uniform float Ta[],
                         uniform float ra[], uniform float va[], 
                         uniform float result[], uniform int count) {
    uniform int nTasks = max((int)64, (int)count/16384);
    launch[nTasks] bs_task(Sa, Xa, Ta, ra, va, result, count);
}


export void
black_scholes_ispc(uniform float Sa[], uniform float Xa[], uniform float Ta[],
                   uniform float ra[], uniform float va[], 
                   uniform float result[], uniform int count) {
    foreach (i = 0 ... count) {
        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);

        result[i] = S * CND(d1) - X * exp(-r * T) * CND(d2);
    }
}


static inline float
binomial_put(float S, float X, float T, float r, float v) {
    float V[BINOMIAL_NUM];

    float dt = T / BINOMIAL_NUM;
    float u = exp(v * sqrt(dt));
    float d = 1. / u;
    float disc = exp(r * dt);
    float Pu = (disc - d) / (u - d);

    for (uniform int j = 0; j < BINOMIAL_NUM; ++j) {
        float upow = pow(u, (float)(2*j-BINOMIAL_NUM));
        V[j] = max(0., X - S * upow);
    }

    for (uniform int j = BINOMIAL_NUM-1; j >= 0; --j)
        for (uniform int k = 0; k < j; ++k)
            V[k] = ((1 - Pu) * V[k] + Pu * V[k + 1]) / disc;
    return V[0];
}


export void
binomial_put_ispc(uniform float Sa[], uniform float Xa[], uniform float Ta[], 
                  uniform float ra[], uniform float va[], 
                  uniform float result[], uniform int count) {
    foreach (i = 0 ... count) {
        float S = Sa[i], X = Xa[i], T = Ta[i], r = ra[i], v = va[i];
        result[i] = binomial_put(S, X, T, r, v);
    }
}


task void
binomial_task(uniform float Sa[], uniform float Xa[], 
              uniform float Ta[], uniform float ra[], 
              uniform float va[], uniform float result[], 
              uniform int count) {
    uniform int first = taskIndex * (count/taskCount);
    uniform int last = min(count, (int)((taskIndex+1) * (count/taskCount)));

    foreach (i = first ... last) {
        float S = Sa[i], X = Xa[i], T = Ta[i], r = ra[i], v = va[i];
        result[i] = binomial_put(S, X, T, r, v);
    }
}


export void
binomial_put_ispc_tasks(uniform float Sa[], uniform float Xa[], 
                        uniform float Ta[], uniform float ra[], 
                        uniform float va[], uniform float result[], 
                        uniform int count) {
    uniform int nTasks = max((int)64, (int)count/16384);
    launch[nTasks] binomial_task(Sa, Xa, Ta, ra, va, result, count);
}