/* Copyright (c) 2022, 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. */ #ifndef MONTECARLO_COMMON_H #define MONTECARLO_COMMON_H #include "realtype.h" #include "curand_kernel.h" //////////////////////////////////////////////////////////////////////////////// // Global types //////////////////////////////////////////////////////////////////////////////// typedef struct { float S; float X; float T; float R; float V; } TOptionData; typedef struct //#ifdef __CUDACC__ //__align__(8) //#endif { float Expected; float Confidence; } TOptionValue; // GPU outputs before CPU postprocessing typedef struct { real Expected; real Confidence; } __TOptionValue; typedef struct { // Device ID for multi-GPU version int device; // Option count for this plan int optionCount; // Host-side data source and result destination TOptionData *optionData; TOptionValue *callValue; // Temporary Host-side pinned memory for async + faster data transfers __TOptionValue *h_CallValue; // Device- and host-side option data void *d_OptionData; void *h_OptionData; // Device-side option values void *d_CallValue; // Intermediate device-side buffers void *d_Buffer; // random number generator states curandState *rngStates; // Pseudorandom samples count int pathN; // Time stamp float time; int gridSize; } TOptionPlan; extern "C" void initMonteCarloGPU(TOptionPlan *plan); extern "C" void MonteCarloGPU(TOptionPlan *plan, cudaStream_t stream = 0); extern "C" void closeMonteCarloGPU(TOptionPlan *plan); #endif