C++ (Cpp) computeCholeskyTrans Examples

Example #1

File: ValueAtRisk.cpp Project: PKRoma/Benchmarks

int main( int argc, char **argv )
{
  size_t const numTradingDays = 252;
  double const dt = 1.0 / numTradingDays;
  double const sqrtDT = sqrt( dt );

  double priceMeans[NS];
  for ( size_t i=0; i<NS; ++i )
    priceMeans[i] = 25.0/numTradingDays;

  double priceDevs[NS];
  for ( size_t i=0; i<NS; ++i )
    priceDevs[i] = 25.0/numTradingDays;

  uint32_t seed = initialSeed(0);

  double priceCorrelations[NS][NS];
  randomCorrelation( priceCorrelations, seed );

  double priceCovariance[NS][NS];
  for ( size_t i=0; i<NS; ++i )
  {
    for ( size_t j=0; j<NS; ++j )
    {
      priceCovariance[i][j] = priceDevs[i] * priceDevs[j] * priceCorrelations[i][j];
    }
  }

  double choleskyTrans[NS][NS];
  computeCholeskyTrans( priceCovariance, choleskyTrans );

  double drifts[NS];
  for ( size_t i=0; i<NS; ++i )
    drifts[i] = priceMeans[i] - priceCovariance[i][i]/2.0;

  size_t const numTrials = 1048576;
  double *trialResults = new double[numTrials];
  for ( size_t trial=0; trial<numTrials; ++trial )
  {
    trialResults[trial] = runTrial( trial, numTradingDays, dt, sqrtDT, choleskyTrans, drifts );
  }

  qsort( trialResults, numTrials, sizeof(double), doubleCompare );

  printf( "VaR = %.16f\n", 100.0*NS - trialResults[(size_t)floor( 0.05 * numTrials )] );

  delete [] trialResults;

  return 0;
}

Example #2

File: var-mt.cpp Project: matiu2/Benchmarks

int main( int argc, char **argv )
{
  size_t const numTrials = 1048576;
  double *trialResults = new double[numTrials];

  FixedArgs fixedArgs;
  fixedArgs.numTradingDays = 252;
  fixedArgs.dt = 1.0 / fixedArgs.numTradingDays;
  fixedArgs.sqrtDT = sqrt( fixedArgs.dt );

  double priceMeans[NS];
  for ( size_t i=0; i<NS; ++i )
    priceMeans[i] = 25.0/fixedArgs.numTradingDays;

  double priceDevs[NS];
  for ( size_t i=0; i<NS; ++i )
    priceDevs[i] = 25.0/fixedArgs.numTradingDays;

  uint32_t seed = initialSeed(0);

  double priceCorrelations[NS][NS];
  randomCorrelation( priceCorrelations, seed );

  double priceCovariance[NS][NS];
  for ( size_t i=0; i<NS; ++i )
  {
    for ( size_t j=0; j<NS; ++j )
    {
      priceCovariance[i][j] = priceDevs[i] * priceDevs[j] * priceCorrelations[i][j];
    }
  }

  computeCholeskyTrans( priceCovariance, fixedArgs.choleskyTrans );

  for ( size_t i=0; i<NS; ++i )
    fixedArgs.drifts[i] = priceMeans[i] - priceCovariance[i][i]/2.0;

  Args args[CORES];
  pthread_t threads[CORES-1];
  for ( size_t core=0; core<CORES; ++core )
  {
    if ( core == 0 )
      args[core].startIndex = 0;
    else
      args[core].startIndex = args[core-1].endIndex;
    if ( core+1 == CORES )
      args[core].endIndex = numTrials;
    else
      args[core].endIndex = args[core].startIndex + numTrials/CORES;
    args[core].fixedArgs = &fixedArgs;
    args[core].trialResults = trialResults;
    if ( core+1 == CORES )
      threadEntry( &args[core] );
    else
      pthread_create( &threads[core], 0, &threadEntry, &args[core] );
  }

  for ( size_t core=0; core<CORES-1; ++core )
    pthread_join( threads[core], 0 );

  qsort( trialResults, numTrials, sizeof(double), doubleCompare );

  printf( "VaR = %.16f\n", 100.0*NS - trialResults[(size_t)floor( 0.05 * numTrials )] );

  delete [] trialResults;

  return 0;
}