void check_blackscholes(void)
{
double S = 60.0, X = 65.0, T = 0.25, r = 0.08, v = 0.30;
assert_equal(blackscholes(1, S, X, T, r, v), 2.1334);
assert_equal(blackscholes_call(S, X, T, r, v), 2.1334);
S = 96.1469; X = 90.0; T = 0.75; r = 0.10; v = 0.25;
assert_equal(blackscholes(1, S, X, T, r, v), 15.6465);
assert_equal(blackscholes_call(S, X, T, r, v), 15.6465);
}
int main()
{
typedef float T;
double t(0),v(0);
{
std::vector<T> price (128000);
std::vector<T> strike (128000);
std::vector<T> rate (128000);
std::vector<T> time (128000);
std::vector<T> volatility(128000);
std::vector<T> call (128000);
std::vector<T> put (128000);
std::fill(price.begin(),price.end(),1.);
std::fill(strike.begin(),strike.end(),1.);
std::fill(rate.begin(),rate.end(),1.);
std::fill(time.begin(),time.end(),1.);
std::fill(volatility.begin(),volatility.end(),1.);
std::cout << "std::vector\n";
for(int k=0;k<100;++k)
{
nt2::tic();
for(std::size_t i=0;i<price.size();++i)
blackscholes( price[i], strike[i] , rate[i] , time[i] , volatility[i]
, call[i] , put[i]
);
t += nt2::toc(false);
}
std::cout << t/100 << "\n";
}
v = call();
std::cout << "Speed-up: " << t/v << "\n";
}
/*
* We use NewtonRaphson() to compute the iv of an european option.
* How do we test it? We use one of the other functions to compute
* the value of an option, given a v. Then we feed the price into
* NewtonRaphson() and see if the returned iv is OK.
*/
void check_NewtonRaphson(void)
{
int fCall = 1, ok;
double iv, S = 100.0, X = 100.0, T = 0.5, r = 0.08, v = 0.20;
double cm = blackscholes(fCall, S, X, T, r, v);
ok = NewtonRaphson(fCall, S, X, T, r, cm, &iv);
assert(ok);
assert_equal(v, iv);
fCall = 0;
cm = blackscholes(fCall, S, X, T, r, v);
ok = NewtonRaphson(fCall, S, X, T, r, cm, &iv);
assert(ok);
assert_equal(v, iv);
}
double call()
{
typedef float T;
nt2::table<T> price = nt2::ones(nt2::of_size(128000), nt2::meta::as_<T>());
nt2::table<T> strike = nt2::ones(nt2::of_size(128000), nt2::meta::as_<T>());
nt2::table<T> rate = nt2::ones(nt2::of_size(128000), nt2::meta::as_<T>());
nt2::table<T> time = nt2::ones(nt2::of_size(128000), nt2::meta::as_<T>());
nt2::table<T> volatility= nt2::ones(nt2::of_size(128000), nt2::meta::as_<T>());
nt2::table<T> call = nt2::ones(nt2::of_size(128000), nt2::meta::as_<T>());
nt2::table<T> put = nt2::ones(nt2::of_size(128000), nt2::meta::as_<T>());
std::cout << "expression\n";
double t(0);
for(int k=0;k<100;++k)
{
nt2::tic();
blackscholes( price, strike , rate , time , volatility
, call , put
);
t += nt2::toc(false);
}
std::cout << t/100 << "\n";
return t;
}
int main (int argc, char* argv[])
{
const int width = 40;
const int height = 40;
float* input, *output1, *output2;
float* input_sc, *output1_sc, *output2_sc;
if(posix_memalign((void **) &input, 64, 4 * width*height * sizeof(float)) != 0)
{
exit(1);
}
if(posix_memalign((void **) &output1, 64, 4 * width*height * sizeof(float)) != 0)
{
exit(1);
}
if(posix_memalign((void **) &output2, 64, 4 * width*height * sizeof(float)) != 0)
{
exit(1);
}
if(posix_memalign((void **) &input_sc, 64, 4 * width*height * sizeof(float)) != 0)
{
exit(1);
}
if(posix_memalign((void **) &output1_sc, 64, 4 * width*height * sizeof(float)) != 0)
{
exit(1);
}
if(posix_memalign((void **) &output2_sc, 64, 4 * width*height * sizeof(float)) != 0)
{
exit(1);
}
int i;
for (i=0; i<(width*height*4); i++)
{
input[i] = (i*0.9f)/(i+1);
input_sc[i] = (i*0.9f)/(i+1);
}
blackscholes(width, height, input, output1, output2);
blackscholes_sc(width, height, input_sc, output1_sc, output2_sc);
for (i=0; i<(width*height*4); i++)
{
if(fabsf(input_sc[i] - input[i]) > 0.01f)
{
printf("ERROR\n");
exit(1);
}
if(fabsf(output1_sc[i] - output1[i]) > 0.01f)
{
printf("ERROR\n");
exit(1);
}
if(fabsf(output2_sc[i] - output2[i]) > 0.01f)
{
printf("ERROR\n");
exit(1);
}
}
return 0;
}
