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https://github.com/NVIDIA/cuda-samples.git
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140 lines
5.0 KiB
C++
140 lines
5.0 KiB
C++
/* Copyright (c) 2021, NVIDIA CORPORATION. All rights reserved.
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*
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* Redistribution and use in source and binary forms, with or without
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* modification, are permitted provided that the following conditions
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* are met:
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* * Redistributions of source code must retain the above copyright
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* notice, this list of conditions and the following disclaimer.
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* * Redistributions in binary form must reproduce the above copyright
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* notice, this list of conditions and the following disclaimer in the
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* documentation and/or other materials provided with the distribution.
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* * Neither the name of NVIDIA CORPORATION nor the names of its
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* contributors may be used to endorse or promote products derived
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* from this software without specific prior written permission.
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*
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* THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS ``AS IS'' AND ANY
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* EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
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* IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
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* PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR
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* CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
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* EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
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* PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
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* PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY
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* OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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* (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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* OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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*/
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#include "../inc/test.h"
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#include <sstream>
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#include <iomanip>
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#include <stdexcept>
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#include <memory>
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#include <iostream>
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#include <cassert>
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#include <typeinfo>
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#include <stdio.h>
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#include <cuda_runtime.h>
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#include <math.h>
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#include <helper_timer.h>
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#include "../inc/asianoption.h"
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#include "../inc/pricingengine.h"
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template <typename Real>
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bool Test<Real>::operator()() {
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using std::endl;
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using std::setw;
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using std::stringstream;
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StopWatchInterface *timer = NULL;
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sdkCreateTimer(&timer);
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// Get device properties
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struct cudaDeviceProp deviceProperties;
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cudaError_t cudaResult = cudaGetDeviceProperties(&deviceProperties, device);
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if (cudaResult != cudaSuccess) {
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std::string msg("Could not get device properties: ");
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msg += cudaGetErrorString(cudaResult);
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throw std::runtime_error(msg);
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}
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// This test prices a single Asian call option with European
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// exercise, with the priced averaged arithmetically on discrete
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// trading days (weekdays).
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AsianOption<Real> option;
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option.spot = static_cast<Real>(40);
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option.strike = static_cast<Real>(35);
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option.r = static_cast<Real>(0.03);
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option.sigma = static_cast<Real>(0.20);
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option.tenor = static_cast<Real>(1.0 / 3.0);
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option.dt = static_cast<Real>(1.0 / 261);
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option.type = AsianOption<Real>::Call;
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option.value = static_cast<Real>(0.0);
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option.golden = static_cast<Real>(5.162534);
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// Evaluate on GPU
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printf("Pricing option on GPU (%s)\n\n", deviceProperties.name);
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PricingEngine<Real> pricer(numSims, device, threadBlockSize, seed);
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sdkStartTimer(&timer);
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pricer(option);
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sdkStopTimer(&timer);
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elapsedTime = sdkGetAverageTimerValue(&timer) / 1000.0f;
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// Tolerance to compare result with expected
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// This is just to check that nothing has gone very wrong with the
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// test, the actual accuracy of the result depends on the number of
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// Monte Carlo trials
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const Real tolerance = static_cast<Real>(0.1);
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// Display results
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stringstream output;
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output << "Precision: "
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<< ((typeid(Real) == typeid(double)) ? "double" : "single") << endl;
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output << "Number of sims: " << numSims << endl;
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output << endl;
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output << " Spot | Strike | r | sigma | tenor | "
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"Call/Put | Value | Expected |"
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<< endl;
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output << "-----------|------------|------------|------------|------------|--"
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"----------|------------|------------|"
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<< endl;
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output << setw(10) << option.spot << " | ";
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output << setw(10) << option.strike << " | ";
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output << setw(10) << option.r << " | ";
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output << setw(10) << option.sigma << " | ";
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output << setw(10) << option.tenor << " | ";
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output << setw(10)
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<< (option.type == AsianOption<Real>::Call ? "Call" : "Put") << " | ";
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output << setw(10) << option.value << " | ";
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output << setw(10) << option.golden << " |";
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printf("%s\n\n", output.str().c_str());
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// Check result
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if (fabs(option.value - option.golden) > tolerance) {
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printf("computed result (%e) does not match expected result (%e).\n",
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option.value, option.golden);
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pass = false;
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} else {
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pass = true;
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}
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// Print results
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printf(
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"MonteCarloSingleAsianOptionP, Performance = %.2f sims/s, Time = "
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"%.2f(ms), NumDevsUsed = %u, Blocksize = %u\n",
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numSims / elapsedTime, elapsedTime * 1000.0f, 1, threadBlockSize);
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sdkDeleteTimer(&timer);
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return pass;
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}
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// Explicit template instantiation
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template struct Test<float>;
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template struct Test<double>;
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