cuda-samples/Samples/MC_SingleAsianOptionP/src/test.cpp

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#include "../inc/test.h"

#include <sstream>
#include <iomanip>
#include <stdexcept>
#include <memory>
#include <iostream>
#include <cassert>
#include <typeinfo>
#include <stdio.h>
#include <cuda_runtime.h>
#include <math.h>

#include <helper_timer.h>

#include "../inc/asianoption.h"
#include "../inc/pricingengine.h"

template <typename Real>
bool Test<Real>::operator()() {
  using std::endl;
  using std::setw;
  using std::stringstream;

  StopWatchInterface *timer = NULL;
  sdkCreateTimer(&timer);

  // Get device properties
  struct cudaDeviceProp deviceProperties;
  cudaError_t cudaResult = cudaGetDeviceProperties(&deviceProperties, device);

  if (cudaResult != cudaSuccess) {
    std::string msg("Could not get device properties: ");
    msg += cudaGetErrorString(cudaResult);
    throw std::runtime_error(msg);
  }

  // This test prices a single Asian call option with European
  // exercise, with the priced averaged arithmetically on discrete
  // trading days (weekdays).
  AsianOption<Real> option;
  option.spot = static_cast<Real>(40);
  option.strike = static_cast<Real>(35);
  option.r = static_cast<Real>(0.03);
  option.sigma = static_cast<Real>(0.20);
  option.tenor = static_cast<Real>(1.0 / 3.0);
  option.dt = static_cast<Real>(1.0 / 261);
  option.type = AsianOption<Real>::Call;
  option.value = static_cast<Real>(0.0);
  option.golden = static_cast<Real>(5.162534);

  // Evaluate on GPU
  printf("Pricing option on GPU (%s)\n\n", deviceProperties.name);
  PricingEngine<Real> pricer(numSims, device, threadBlockSize, seed);
  sdkStartTimer(&timer);
  pricer(option);
  sdkStopTimer(&timer);
  elapsedTime = sdkGetAverageTimerValue(&timer) / 1000.0f;

  // Tolerance to compare result with expected
  // This is just to check that nothing has gone very wrong with the
  // test, the actual accuracy of the result depends on the number of
  // Monte Carlo trials
  const Real tolerance = static_cast<Real>(0.1);

  // Display results
  stringstream output;
  output << "Precision:      "
         << ((typeid(Real) == typeid(double)) ? "double" : "single") << endl;
  output << "Number of sims: " << numSims << endl;
  output << endl;
  output << "   Spot    |   Strike   |     r      |   sigma    |   tenor    |  "
            "Call/Put  |   Value    |  Expected  |"
         << endl;
  output << "-----------|------------|------------|------------|------------|--"
            "----------|------------|------------|"
         << endl;
  output << setw(10) << option.spot << " | ";
  output << setw(10) << option.strike << " | ";
  output << setw(10) << option.r << " | ";
  output << setw(10) << option.sigma << " | ";
  output << setw(10) << option.tenor << " | ";
  output << setw(10)
         << (option.type == AsianOption<Real>::Call ? "Call" : "Put") << " | ";
  output << setw(10) << option.value << " | ";
  output << setw(10) << option.golden << " |";

  printf("%s\n\n", output.str().c_str());

  // Check result
  if (fabs(option.value - option.golden) > tolerance) {
    printf("computed result (%e) does not match expected result (%e).\n",
           option.value, option.golden);
    pass = false;
  } else {
    pass = true;
  }

  // Print results
  printf(
      "MonteCarloSingleAsianOptionP, Performance = %.2f sims/s, Time = "
      "%.2f(ms), NumDevsUsed = %u, Blocksize = %u\n",
      numSims / elapsedTime, elapsedTime * 1000.0f, 1, threadBlockSize);

  sdkDeleteTimer(&timer);

  return pass;
}

// Explicit template instantiation
template struct Test<float>;
template struct Test<double>;