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;
}
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;
}
