ispc/examples/options/options.cpp

/*
  Copyright (c) 2010-2011, Intel Corporation
  All rights reserved.

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      notice, this list of conditions and the following disclaimer in the
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    * Neither the name of Intel Corporation nor the names of its
      contributors may be used to endorse or promote products derived from
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   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
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*/

#include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <assert.h>
#include <math.h>
#include <algorithm>
#ifndef __APPLE__
#include <malloc.h>
#endif // !__APPLE__
using std::max;

#include "options_defs.h"
#include "../timing.h"

#include "options_ispc.h"
using namespace ispc;

// Allocate memory with 64-byte alignment.
float *AllocFloats(int count) {
    int size = count * sizeof(float);
#if defined(_WIN32) || defined(_WIN64)
    return (float *)_aligned_malloc(size, 64);
#elif defined (__APPLE__)
    // Allocate excess memory to ensure an aligned pointer can be returned
    void *mem = malloc(size + (64-1) + sizeof(void*));
    char *amem = ((char*)mem) + sizeof(void*);
    amem += 64 - (reinterpret_cast<uint64_t>(amem) & (64 - 1));
    ((void**)amem)[-1] = mem;
    return (float *)amem;
#else
    return (float *)memalign(64, size);
#endif
}

extern void black_scholes_serial(float Sa[], float Xa[], float Ta[], 
                                 float ra[], float va[], 
                                 float result[], int count);

extern void binomial_put_serial(float Sa[], float Xa[], float Ta[], 
                                float ra[], float va[], 
                                float result[], int count);

int main() {
    // Pointers passed to ispc code must have alignment of the target's
    // vector width at minimum.
    float *S = AllocFloats(N_OPTIONS);
    float *X = AllocFloats(N_OPTIONS);
    float *T = AllocFloats(N_OPTIONS);
    float *r = AllocFloats(N_OPTIONS);
    float *v = AllocFloats(N_OPTIONS);
    float *result = AllocFloats(N_OPTIONS);

    for (int i = 0; i < N_OPTIONS; ++i) {
        S[i] = 100;  // stock price
        X[i] = 98;   // option strike price
        T[i] = 2;    // time (years)
        r[i] = .02;  // risk-free interest rate
        v[i] = 5;    // volatility
    }

    //
    // Binomial options pricing model, ispc implementation
    //
    reset_and_start_timer();
    binomial_put_ispc(S, X, T, r, v, result, N_OPTIONS);
    double binomial_ispc = get_elapsed_mcycles();
    float sum = 0.f;
    for (int i = 0; i < N_OPTIONS; ++i)
        sum += result[i];
    printf("[binomial ispc]:\t\t[%.3f] million cycles (avg %f)\n", 
           binomial_ispc, sum / N_OPTIONS);

    //
    // Binomial options, serial implementation
    //
    reset_and_start_timer();
    binomial_put_serial(S, X, T, r, v, result, N_OPTIONS);
    double binomial_serial = get_elapsed_mcycles();
    sum = 0.f;
    for (int i = 0; i < N_OPTIONS; ++i)
        sum += result[i];
    printf("[binomial serial]:\t\t[%.3f] million cycles (avg %f)\n", 
           binomial_serial, sum / N_OPTIONS);

    printf("\t\t\t\t(%.2fx speedup from ISPC)\n", binomial_serial / binomial_ispc);

    //
    // Black-Scholes options pricing model, ispc implementation
    //
    sum = 0.f;
    reset_and_start_timer();
    for (int a = 0; a < N_BLACK_SCHOLES_ROUNDS; ++a) {
        black_scholes_ispc(S, X, T, r, v, result, N_OPTIONS);
        for (int i = 0; i < N_OPTIONS; ++i)
            sum += result[i];
    }
    double bs_ispc = get_elapsed_mcycles();
    printf("[black-scholes ispc]:\t\t[%.3f] million cycles (avg %f)\n", 
           bs_ispc, sum / (N_BLACK_SCHOLES_ROUNDS * N_OPTIONS));

    //
    // Black-Scholes options pricing model, serial implementation
    //
    sum = 0.f;
    reset_and_start_timer();
    for (int a = 0; a < N_BLACK_SCHOLES_ROUNDS; ++a) {
        black_scholes_serial(S, X, T, r, v, result, N_OPTIONS);
        for (int i = 0; i < N_OPTIONS; ++i)
            sum += result[i];
    }
    double bs_serial = get_elapsed_mcycles();
    printf("[black-scholes serial]:\t\t[%.3f] million cycles (avg %f)\n", bs_serial, 
           sum / (N_BLACK_SCHOLES_ROUNDS * N_OPTIONS));

    printf("\t\t\t\t(%.2fx speedup from ISPC)\n", bs_serial / bs_ispc);

    return 0;
}