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108 lines
3.9 KiB
Plaintext
108 lines
3.9 KiB
Plaintext
/* 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 "common_gpu_header.h"
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#include "binomialOptions_common.h"
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#include "realtype.h"
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// Preprocessed input option data
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typedef struct {
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real S;
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real X;
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real vDt;
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real puByDf;
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real pdByDf;
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} __TOptionData;
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static __constant__ __TOptionData d_OptionData[MAX_OPTIONS];
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__device__ real d_CallValue[MAX_OPTIONS];
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#define THREADBLOCK_SIZE 128
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#define ELEMS_PER_THREAD (NUM_STEPS / THREADBLOCK_SIZE)
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#if NUM_STEPS % THREADBLOCK_SIZE
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#error Bad constants
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#endif
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////////////////////////////////////////////////////////////////////////////////
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// Overloaded shortcut functions for different precision modes
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////////////////////////////////////////////////////////////////////////////////
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#ifndef DOUBLE_PRECISION
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__device__ inline float expiryCallValue(float S, float X, float vDt, int i) {
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float d = S * __expf(vDt * (2.0f * i - NUM_STEPS)) - X;
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return (d > 0.0F) ? d : 0.0F;
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}
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#else
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__device__ inline double expiryCallValue(double S, double X, double vDt,
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int i) {
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double d = S * exp(vDt * (2.0 * i - NUM_STEPS)) - X;
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return (d > 0.0) ? d : 0.0;
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}
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#endif
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////////////////////////////////////////////////////////////////////////////////
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// GPU kernel
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////////////////////////////////////////////////////////////////////////////////
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extern "C" __global__ void binomialOptionsKernel() {
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__shared__ real call_exchange[THREADBLOCK_SIZE + 1];
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const int tid = threadIdx.x;
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const real S = d_OptionData[blockIdx.x].S;
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const real X = d_OptionData[blockIdx.x].X;
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const real vDt = d_OptionData[blockIdx.x].vDt;
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const real puByDf = d_OptionData[blockIdx.x].puByDf;
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const real pdByDf = d_OptionData[blockIdx.x].pdByDf;
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real call[ELEMS_PER_THREAD + 1];
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#pragma unroll
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for (int i = 0; i < ELEMS_PER_THREAD; ++i)
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call[i] = expiryCallValue(S, X, vDt, tid * ELEMS_PER_THREAD + i);
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if (tid == 0)
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call_exchange[THREADBLOCK_SIZE] = expiryCallValue(S, X, vDt, NUM_STEPS);
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int final_it = max(0, tid * ELEMS_PER_THREAD - 1);
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#pragma unroll 16
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for (int i = NUM_STEPS; i > 0; --i) {
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call_exchange[tid] = call[0];
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__syncthreads();
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call[ELEMS_PER_THREAD] = call_exchange[tid + 1];
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__syncthreads();
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if (i > final_it) {
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#pragma unroll
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for (int j = 0; j < ELEMS_PER_THREAD; ++j)
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call[j] = puByDf * call[j + 1] + pdByDf * call[j];
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}
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}
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if (tid == 0) {
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d_CallValue[blockIdx.x] = call[0];
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}
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}
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