int main(int argc, char *argv[])
{
double r,dt;
int n;
unsigned long i,myNumSim,totalNumSim,numdim;
/* double payoff; */
double *vol, *St0, x, totalx;
int np,myid;
time_t start,stop;
double *eps;
himaInfo hinfo;
PetscRandom ran;
PetscErrorCode ierr;
PetscBool flg;
PetscInitialize(&argc,&argv,(char *)0,help);
#if defined(PETSC_USE_COMPLEX)
SETERRQ(PETSC_COMM_SELF,PETSC_ERR_SUP,"This example does not work for scalar type complex\n");
#endif
time(&start);
ierr = PetscRandomCreate(PETSC_COMM_WORLD,&ran);CHKERRQ(ierr);
#if defined(PETSC_HAVE_SPRNG)
ierr = PetscRandomSetType(ran,PETSCSPRNG);CHKERRQ(ierr);
#elif defined(PETSC_HAVE_RAND)
ierr = PetscRandomSetType(ran,PETSCRAND);CHKERRQ(ierr);
#endif
ierr = PetscRandomSetFromOptions(ran);CHKERRQ(ierr);
ierr = MPI_Comm_size(PETSC_COMM_WORLD, &np);CHKERRQ(ierr); /* number of nodes */
ierr = MPI_Comm_rank(PETSC_COMM_WORLD, &myid);CHKERRQ(ierr); /* my ranking */
ierr = PetscOptionsHasName(PETSC_NULL, "-check_generators", &flg);CHKERRQ(ierr);
if (flg){
ierr = PetscRandomGetValue(ran,(PetscScalar *)&r);
ierr = PetscSynchronizedPrintf(PETSC_COMM_WORLD,"[%d] rval: %g\n",myid,r);
ierr = PetscSynchronizedFlush(PETSC_COMM_WORLD);
}
hinfo.n = 31;
hinfo.r = 0.04;
hinfo.dt = 1.0/12; /* a month as a period */
hinfo.totalNumSim = 1000;
ierr = PetscOptionsGetInt(PETSC_NULL,"-num_of_stocks",&(hinfo.n),PETSC_NULL);CHKERRQ(ierr);
if (hinfo.n <1 || hinfo.n > 31) SETERRQ1(PETSC_COMM_SELF,PETSC_ERR_SUP,"Only 31 stocks listed in stock.txt. num_of_stocks %D must between 1 and 31",hinfo.n);
ierr = PetscOptionsGetReal(PETSC_NULL,"-interest_rate",&(hinfo.r),PETSC_NULL);CHKERRQ(ierr);
ierr = PetscOptionsGetReal(PETSC_NULL,"-time_interval",&(hinfo.dt),PETSC_NULL);CHKERRQ(ierr);
ierr = PetscOptionsGetInt(PETSC_NULL,"-num_of_simulations",&(hinfo.totalNumSim),PETSC_NULL);CHKERRQ(ierr);
n = hinfo.n;
r = hinfo.r;
dt = hinfo.dt;
totalNumSim = hinfo.totalNumSim;
vol = hinfo.vol = (double *)malloc(sizeof(double)*(2*n+1));
St0 = hinfo.St0 = hinfo.vol + n;
ierr = readData(PETSC_COMM_WORLD,&hinfo);CHKERRQ(ierr);
numdim = n*(n+1)/2;
if (numdim%2 == 1){
numdim++;
}
eps = (double *)malloc(sizeof(double)*numdim);
myNumSim = divWork(myid,totalNumSim,np);
x = 0;
for (i=0;i<myNumSim;i++){
stdNormalArray(eps,numdim,ran);
x += basketPayoff(vol,St0,n,r,dt,eps);
}
ierr = MPI_Reduce(&x, &totalx, 1, MPI_DOUBLE, MPI_SUM,0,PETSC_COMM_WORLD);CHKERRQ(ierr);
time(&stop);
/* payoff = exp(-r*dt*n)*(totalx/totalNumSim);
ierr = PetscPrintf(PETSC_COMM_WORLD,"Option price = $%.3f using %ds of %s computation with %d %s for %d stocks, %d trading period per year, %.2f%% interest rate\n",
payoff,(int)(stop - start),"parallel",np,"processors",n,(int)(1/dt),r);CHKERRQ(ierr); */
free(vol);
free(eps);
ierr = PetscRandomDestroy(&ran);CHKERRQ(ierr);
PetscFinalize();
return 0;
}
int main(int argc, char *argv[])
{
PetscReal r,dt;
PetscInt n;
unsigned long i,myNumSim,totalNumSim,numdim;
PetscReal *vol, *St0, x, totalx;
PetscMPIInt size,rank;
PetscReal *eps;
himaInfo hinfo;
PetscRandom ran;
PetscErrorCode ierr;
ierr = PetscInitialize(&argc,&argv,(char*)0,help);if (ierr) return ierr;
ierr = PetscRandomCreate(PETSC_COMM_WORLD,&ran);CHKERRQ(ierr);
ierr = PetscRandomSetFromOptions(ran);CHKERRQ(ierr);
ierr = MPI_Comm_size(PETSC_COMM_WORLD, &size);CHKERRQ(ierr); /* number of nodes */
ierr = MPI_Comm_rank(PETSC_COMM_WORLD, &rank);CHKERRQ(ierr); /* my ranking */
hinfo.n = 31;
hinfo.r = 0.04;
hinfo.dt = 1.0/12; /* a month as a period */
hinfo.totalNumSim = 1000;
ierr = PetscOptionsGetInt(NULL,NULL,"-num_of_stocks",&(hinfo.n),NULL);CHKERRQ(ierr);
if (hinfo.n <1 || hinfo.n > 31) SETERRQ1(PETSC_COMM_SELF,PETSC_ERR_SUP,"Only 31 stocks listed in stock.txt. num_of_stocks %D must between 1 and 31",hinfo.n);
ierr = PetscOptionsGetReal(NULL,NULL,"-interest_rate",&(hinfo.r),NULL);CHKERRQ(ierr);
ierr = PetscOptionsGetReal(NULL,NULL,"-time_interval",&(hinfo.dt),NULL);CHKERRQ(ierr);
ierr = PetscOptionsGetInt(NULL,NULL,"-num_of_simulations",&(hinfo.totalNumSim),NULL);CHKERRQ(ierr);
n = hinfo.n;
r = hinfo.r;
dt = hinfo.dt;
totalNumSim = hinfo.totalNumSim;
ierr = PetscMalloc1(2*n+1,&hinfo.vol);CHKERRQ(ierr);
vol = hinfo.vol;
St0 = hinfo.St0 = hinfo.vol + n;
ierr = readData(PETSC_COMM_WORLD,&hinfo);CHKERRQ(ierr);
numdim = n*(n+1)/2;
if (numdim%2 == 1) numdim++;
ierr = PetscMalloc1(numdim,&eps);CHKERRQ(ierr);
myNumSim = divWork(rank,totalNumSim,size);
x = 0;
for (i=0; i<myNumSim; i++) {
ierr = stdNormalArray(eps,numdim,ran);CHKERRQ(ierr);
x += basketPayoff(vol,St0,n,r,dt,eps);
}
ierr = MPI_Reduce(&x, &totalx, 1, MPIU_REAL, MPIU_SUM,0,PETSC_COMM_WORLD);CHKERRQ(ierr);
/* payoff = exp(-r*dt*n)*(totalx/totalNumSim);
ierr = PetscPrintf(PETSC_COMM_WORLD,"Option price = $%.3f using %ds of %s computation with %d %s for %d stocks, %d trading period per year, %.2f%% interest rate\n",
payoff,(int)(stop - start),"parallel",size,"processors",n,(int)(1/dt),r);CHKERRQ(ierr); */
ierr = PetscFree(vol);CHKERRQ(ierr);
ierr = PetscFree(eps);CHKERRQ(ierr);
ierr = PetscRandomDestroy(&ran);CHKERRQ(ierr);
ierr = PetscFinalize();
return ierr;
}
