115 lines
3.5 KiB
C++
115 lines
3.5 KiB
C++
/*
|
|
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];
|
|
}
|
|
}
|
|
|
|
|