99221f7d17
fp constant undesirably causing computation to be done in double precision. Makes C scalar versions of the options pricing models, rt, and aobench 3-5% faster. Makes scalar version of noise about 15% faster. Others are unchanged.
115 lines
3.5 KiB
C++
115 lines
3.5 KiB
C++
/*
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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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#ifdef _MSC_VER
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#define _CRT_SECURE_NO_WARNINGS
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#define NOMINMAX
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#pragma warning (disable: 4244)
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#pragma warning (disable: 4305)
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#endif
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#include "options_defs.h"
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#include <math.h>
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#include <algorithm>
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// Cumulative normal distribution function
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static inline float
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CND(float X) {
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float L = fabsf(X);
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float k = 1.f / (1.f + 0.2316419f * L);
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float k2 = k*k;
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float k3 = k2*k;
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float k4 = k2*k2;
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float k5 = k3*k2;
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const float invSqrt2Pi = 0.39894228040f;
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float w = (0.31938153f * k - 0.356563782f * k2 + 1.781477937f * k3 +
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-1.821255978f * k4 + 1.330274429f * k5);
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w *= invSqrt2Pi * expf(-L * L * .5f);
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if (X > 0.f)
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w = 1.f - w;
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return w;
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}
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void
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black_scholes_serial(float Sa[], float Xa[], float Ta[],
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float ra[], float va[],
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float result[], int count) {
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for (int i = 0; i < count; ++i) {
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float S = Sa[i], X = Xa[i];
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float T = Ta[i], r = ra[i];
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float v = va[i];
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float d1 = (logf(S/X) + (r + v * v * .5f) * T) / (v * sqrtf(T));
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float d2 = d1 - v * sqrtf(T);
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result[i] = S * CND(d1) - X * expf(-r * T) * CND(d2);
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}
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}
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void
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binomial_put_serial(float Sa[], float Xa[], float Ta[],
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float ra[], float va[],
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float result[], int count) {
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float V[BINOMIAL_NUM];
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for (int i = 0; i < count; ++i) {
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float S = Sa[i], X = Xa[i];
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float T = Ta[i], r = ra[i];
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float v = va[i];
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float dt = T / BINOMIAL_NUM;
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float u = expf(v * sqrtf(dt));
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float d = 1.f / u;
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float disc = expf(r * dt);
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float Pu = (disc - d) / (u - d);
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for (int j = 0; j < BINOMIAL_NUM; ++j) {
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float upow = powf(u, (float)(2*j-BINOMIAL_NUM));
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V[j] = std::max(0.f, X - S * upow);
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}
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for (int j = BINOMIAL_NUM-1; j >= 0; --j)
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for (int k = 0; k < j; ++k)
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V[k] = ((1 - Pu) * V[k] + Pu * V[k + 1]) / disc;
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result[i] = V[0];
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}
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}
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