cuda-samples/Samples/BlackScholes/BlackScholes_gold.cpp
2021-10-21 16:34:49 +05:30

87 lines
3.9 KiB
C++

/* Copyright (c) 2021, NVIDIA CORPORATION. All rights reserved.
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#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);
}