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99 lines
3.0 KiB
C
99 lines
3.0 KiB
C
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/* Copyright (c) 2021, NVIDIA CORPORATION. All rights reserved.
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*
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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
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* are 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 NVIDIA CORPORATION nor the names of its
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* contributors may be used to endorse or promote products derived
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* from this software without specific prior written permission.
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*
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* THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS ``AS IS'' AND ANY
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* EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
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* IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
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* PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR
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* 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
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* OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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* (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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* OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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*/
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#ifndef MONTECARLO_COMMON_H
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#define MONTECARLO_COMMON_H
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#include "realtype.h"
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#include "curand_kernel.h"
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////////////////////////////////////////////////////////////////////////////////
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// Global types
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////////////////////////////////////////////////////////////////////////////////
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typedef struct {
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float S;
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float X;
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float T;
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float R;
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float V;
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} TOptionData;
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typedef struct
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//#ifdef __CUDACC__
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//__align__(8)
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//#endif
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{
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float Expected;
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float Confidence;
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} TOptionValue;
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// GPU outputs before CPU postprocessing
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typedef struct {
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real Expected;
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real Confidence;
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} __TOptionValue;
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typedef struct {
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// Device ID for multi-GPU version
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int device;
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// Option count for this plan
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int optionCount;
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// Host-side data source and result destination
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TOptionData *optionData;
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TOptionValue *callValue;
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// Temporary Host-side pinned memory for async + faster data transfers
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__TOptionValue *h_CallValue;
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// Device- and host-side option data
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void *d_OptionData;
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void *h_OptionData;
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// Device-side option values
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void *d_CallValue;
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// Intermediate device-side buffers
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void *d_Buffer;
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// random number generator states
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curandState *rngStates;
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// Pseudorandom samples count
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int pathN;
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// Time stamp
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float time;
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int gridSize;
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} TOptionPlan;
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extern "C" void initMonteCarloGPU(TOptionPlan *plan);
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extern "C" void MonteCarloGPU(TOptionPlan *plan, cudaStream_t stream = 0);
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extern "C" void closeMonteCarloGPU(TOptionPlan *plan);
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#endif
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