cuda-samples/Samples/binomialOptions_nvrtc/binomialOptions_gpu.cpp

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////////////////////////////////////////////////////////////////////////////////
// Global types and parameters
////////////////////////////////////////////////////////////////////////////////

#include <stdio.h>
#include <stdlib.h>
#include <cmath>

#include <helper_cuda.h>
#include <nvrtc_helper.h>
#include <cuda_runtime.h>

#include "binomialOptions_common.h"

#include "common_gpu_header.h"
#include "realtype.h"

// Preprocessed input option data
typedef struct {
  real S;
  real X;
  real vDt;
  real puByDf;
  real pdByDf;

} __TOptionData;

static bool moduleLoaded = false;
char *cubin, *kernel_file;
size_t cubinSize;
CUmodule module;

////////////////////////////////////////////////////////////////////////////////
// Host-side interface to GPU binomialOptions
////////////////////////////////////////////////////////////////////////////////

extern "C" void binomialOptionsGPU(real *callValue, TOptionData *optionData,
                                   int optN, int argc, char **argv) {
  if (!moduleLoaded) {
    kernel_file = sdkFindFilePath("binomialOptions_kernel.cu", argv[0]);
    compileFileToCUBIN(kernel_file, argc, argv, &cubin, &cubinSize, 0);
    module = loadCUBIN(cubin, argc, argv);
    moduleLoaded = true;
  }

  __TOptionData h_OptionData[MAX_OPTIONS];

  for (int i = 0; i < optN; i++) {
    const real T = optionData[i].T;
    const real R = optionData[i].R;
    const real V = optionData[i].V;

    const real dt = T / (real)NUM_STEPS;
    const real vDt = V * sqrt(dt);
    const real rDt = R * dt;
    // Per-step interest and discount factors
    const real If = exp(rDt);
    const real Df = exp(-rDt);
    // Values and pseudoprobabilities of upward and downward moves
    const real u = exp(vDt);
    const real d = exp(-vDt);
    const real pu = (If - d) / (u - d);
    const real pd = (real)1.0 - pu;
    const real puByDf = pu * Df;
    const real pdByDf = pd * Df;

    h_OptionData[i].S = (real)optionData[i].S;
    h_OptionData[i].X = (real)optionData[i].X;
    h_OptionData[i].vDt = (real)vDt;
    h_OptionData[i].puByDf = (real)puByDf;
    h_OptionData[i].pdByDf = (real)pdByDf;
  }

  CUfunction kernel_addr;
  checkCudaErrors(
      cuModuleGetFunction(&kernel_addr, module, "binomialOptionsKernel"));

  CUdeviceptr d_OptionData;
  checkCudaErrors(
      cuModuleGetGlobal(&d_OptionData, NULL, module, "d_OptionData"));
  checkCudaErrors(
      cuMemcpyHtoD(d_OptionData, h_OptionData, optN * sizeof(__TOptionData)));

  dim3 cudaBlockSize(128, 1, 1);
  dim3 cudaGridSize(optN, 1, 1);

  checkCudaErrors(cuLaunchKernel(kernel_addr, cudaGridSize.x, cudaGridSize.y,
                                 cudaGridSize.z, /* grid dim */
                                 cudaBlockSize.x, cudaBlockSize.y,
                                 cudaBlockSize.z, /* block dim */
                                 0, 0,            /* shared mem, stream */
                                 NULL,            /* arguments */
                                 0));

  checkCudaErrors(cuCtxSynchronize());

  CUdeviceptr d_CallValue;
  checkCudaErrors(cuModuleGetGlobal(&d_CallValue, NULL, module, "d_CallValue"));
  checkCudaErrors(cuMemcpyDtoH(callValue, d_CallValue, optN * sizeof(real)));
}