cuda-samples/Samples/BlackScholes_nvrtc/BlackScholes_gold.cpp

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2021-10-21 19:04:49 +08:00
/* Copyright (c) 2021, NVIDIA 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 NVIDIA 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 ``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.
*/
#include <math.h>
///////////////////////////////////////////////////////////////////////////////
// Polynomial approximation of cumulative normal distribution function
///////////////////////////////////////////////////////////////////////////////
static double CND(double d) {
const double A1 = 0.31938153;
const double A2 = -0.356563782;
const double A3 = 1.781477937;
const double A4 = -1.821255978;
const double A5 = 1.330274429;
const double RSQRT2PI = 0.39894228040143267793994605993438;
double K = 1.0 / (1.0 + 0.2316419 * fabs(d));
double cnd = RSQRT2PI * exp(-0.5 * d * d) *
(K * (A1 + K * (A2 + K * (A3 + K * (A4 + K * A5)))));
if (d > 0) cnd = 1.0 - cnd;
return cnd;
}
///////////////////////////////////////////////////////////////////////////////
// Black-Scholes formula for both call and put
///////////////////////////////////////////////////////////////////////////////
static void BlackScholesBodyCPU(float &callResult, float &putResult,
float Sf, // Stock price
float Xf, // Option strike
float Tf, // Option years
float Rf, // Riskless rate
float Vf // Volatility rate
) {
double S = Sf, X = Xf, T = Tf, R = Rf, V = Vf;
double sqrtT = sqrt(T);
double d1 = (log(S / X) + (R + 0.5 * V * V) * T) / (V * sqrtT);
double d2 = d1 - V * sqrtT;
double CNDD1 = CND(d1);
double CNDD2 = CND(d2);
// Calculate Call and Put simultaneously
double expRT = exp(-R * T);
callResult = (float)(S * CNDD1 - X * expRT * CNDD2);
putResult = (float)(X * expRT * (1.0 - CNDD2) - S * (1.0 - CNDD1));
}
////////////////////////////////////////////////////////////////////////////////
// Process an array of optN options
////////////////////////////////////////////////////////////////////////////////
extern "C" void BlackScholesCPU(float *h_CallResult, float *h_PutResult,
float *h_StockPrice, float *h_OptionStrike,
float *h_OptionYears, float Riskfree,
float Volatility, int optN) {
for (int opt = 0; opt < optN; opt++)
BlackScholesBodyCPU(h_CallResult[opt], h_PutResult[opt], h_StockPrice[opt],
h_OptionStrike[opt], h_OptionYears[opt], Riskfree,
Volatility);
}