void testParallelComputation() {
System system;
const int numParticles = 200;
for (int i = 0; i < numParticles; i++)
system.addParticle(1.0);
HarmonicBondForce* force = new HarmonicBondForce();
for (int i = 1; i < numParticles; i++)
force->addBond(i-1, i, 1.1, i);
system.addForce(force);
vector<Vec3> positions(numParticles);
for (int i = 0; i < numParticles; i++)
positions[i] = Vec3(i, 0, 0);
VerletIntegrator integrator1(0.01);
Context context1(system, integrator1, platform);
context1.setPositions(positions);
State state1 = context1.getState(State::Forces | State::Energy);
VerletIntegrator integrator2(0.01);
string deviceIndex = platform.getPropertyValue(context1, CudaPlatform::CudaDeviceIndex());
map<string, string> props;
props[CudaPlatform::CudaDeviceIndex()] = deviceIndex+","+deviceIndex;
Context context2(system, integrator2, platform, props);
context2.setPositions(positions);
State state2 = context2.getState(State::Forces | State::Energy);
ASSERT_EQUAL_TOL(state1.getPotentialEnergy(), state2.getPotentialEnergy(), 1e-5);
for (int i = 0; i < numParticles; i++)
ASSERT_EQUAL_VEC(state1.getForces()[i], state2.getForces()[i], 1e-5);
}
void VarianceGammaEngine::calculate() const {
QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
"not an European Option");
boost::shared_ptr<StrikedTypePayoff> payoff =
boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
QL_REQUIRE(payoff, "non-striked payoff given");
DiscountFactor dividendDiscount =
process_->dividendYield()->discount(
arguments_.exercise->lastDate());
DiscountFactor riskFreeDiscount =
process_->riskFreeRate()->discount(arguments_.exercise->lastDate());
DayCounter rfdc = process_->riskFreeRate()->dayCounter();
Time t = rfdc.yearFraction(process_->riskFreeRate()->referenceDate(),
arguments_.exercise->lastDate());
Integrand f(payoff,
process_->x0(),
t, riskFreeDiscount, dividendDiscount,
process_->sigma(), process_->nu(), process_->theta());
Real infinity = 15.0 * std::sqrt(process_->nu() * t);
Real target = absErr_*1e-4;
Real val = f(infinity);
while (std::abs(val)>target){
infinity*=1.5;
val = f(infinity);
}
// the integration is split due to occasional singularities at 0
Real split = 0.1;
GaussKronrodNonAdaptive integrator1(absErr_, 1000, 0);
Real pvA = integrator1(f, 0, split);
GaussLobattoIntegral integrator2(2000, absErr_);
Real pvB = integrator2(f, split, infinity);
results_.value = pvA + pvB;
}
