/*
PetscRandomSetTypeFromOptions_Private - Sets the type of random generator from user options. Defaults to type PETSCRAND48 or PETSCRAND.
Collective on PetscRandom
Input Parameter:
. rnd - The random number generator context
Level: intermediate
.keywords: PetscRandom, set, options, database, type
.seealso: PetscRandomSetFromOptions(), PetscRandomSetType()
*/
static PetscErrorCode PetscRandomSetTypeFromOptions_Private(PetscRandom rnd)
{
PetscBool opt;
const char *defaultType;
char typeName[256];
PetscErrorCode ierr;
PetscFunctionBegin;
if (((PetscObject)rnd)->type_name) {
defaultType = ((PetscObject)rnd)->type_name;
} else {
#if defined(PETSC_HAVE_DRAND48)
defaultType = PETSCRAND48;
#elif defined(PETSC_HAVE_RAND)
defaultType = PETSCRAND;
#endif
}
if (!PetscRandomRegisterAllCalled) {ierr = PetscRandomRegisterAll();CHKERRQ(ierr);}
ierr = PetscOptionsFList("-random_type","PetscRandom type","PetscRandomSetType",PetscRandomList,defaultType,typeName,256,&opt);CHKERRQ(ierr);
if (opt) {
ierr = PetscRandomSetType(rnd, typeName);CHKERRQ(ierr);
} else {
ierr = PetscRandomSetType(rnd, defaultType);CHKERRQ(ierr);
}
PetscFunctionReturn(0);
}
/*
PetscRandomSetTypeFromOptions_Private - Sets the type of random generator from user options. Defaults to type PETSCRAND48 or PETSCRAND.
Collective on PetscRandom
Input Parameter:
. rnd - The random number generator context
Level: intermediate
.keywords: PetscRandom, set, options, database, type
.seealso: PetscRandomSetFromOptions(), PetscRandomSetType()
*/
static PetscErrorCode PetscRandomSetTypeFromOptions_Private(PetscOptions *PetscOptionsObject,PetscRandom rnd)
{
PetscBool opt;
const char *defaultType;
char typeName[256];
PetscErrorCode ierr;
PetscFunctionBegin;
if (((PetscObject)rnd)->type_name) {
defaultType = ((PetscObject)rnd)->type_name;
} else {
defaultType = PETSCRANDER48;
}
ierr = PetscRandomRegisterAll();
CHKERRQ(ierr);
ierr = PetscOptionsFList("-random_type","PetscRandom type","PetscRandomSetType",PetscRandomList,defaultType,typeName,256,&opt);
CHKERRQ(ierr);
if (opt) {
ierr = PetscRandomSetType(rnd, typeName);
CHKERRQ(ierr);
} else {
ierr = PetscRandomSetType(rnd, defaultType);
CHKERRQ(ierr);
}
PetscFunctionReturn(0);
}
PetscErrorCode PetscRandomCreate(MPI_Comm comm,PetscRandom *r)
{
PetscRandom rr;
PetscErrorCode ierr;
PetscMPIInt rank;
PetscFunctionBegin;
PetscValidPointer(r,3);
*r = NULL;
ierr = PetscRandomInitializePackage();
CHKERRQ(ierr);
ierr = PetscHeaderCreate(rr,PETSC_RANDOM_CLASSID,"PetscRandom","Random number generator","Sys",comm,PetscRandomDestroy,NULL);
CHKERRQ(ierr);
ierr = MPI_Comm_rank(comm,&rank);
CHKERRQ(ierr);
rr->data = NULL;
rr->low = 0.0;
rr->width = 1.0;
rr->iset = PETSC_FALSE;
rr->seed = 0x12345678 + 76543*rank;
ierr = PetscRandomSetType(rr,PETSCRANDER48);
CHKERRQ(ierr);
*r = rr;
PetscFunctionReturn(0);
}
PetscErrorCode ComputeMatrix(DM da,Mat B)
{
PetscErrorCode ierr;
PetscInt i,j,k,mx,my,mz,xm,ym,zm,xs,ys,zs,dof,k1,k2,k3;
PetscScalar *v,*v_neighbor,Hx,Hy,Hz,HxHydHz,HyHzdHx,HxHzdHy,r1,r2;
MatStencil row,col;
PetscRandom rand;
PetscFunctionBegin;
ierr = PetscRandomCreate(PETSC_COMM_WORLD,&rand);CHKERRQ(ierr);
ierr = PetscRandomSetType(rand,PETSCRAND);CHKERRQ(ierr);
ierr = PetscRandomSetSeed(rand,1);CHKERRQ(ierr);
ierr = PetscRandomSetInterval(rand,-.001,.001);CHKERRQ(ierr);
ierr = PetscRandomSetFromOptions(rand);CHKERRQ(ierr);
ierr = DMDAGetInfo(da,0,&mx,&my,&mz,0,0,0,&dof,0,0,0,0,0);CHKERRQ(ierr);
/* For simplicity, this example only works on mx=my=mz */
if ( mx != my || mx != mz) SETERRQ3(PETSC_COMM_SELF,1,"This example only works with mx %d = my %d = mz %d\n",mx,my,mz);
Hx = 1.0 / (PetscReal)(mx-1); Hy = 1.0 / (PetscReal)(my-1); Hz = 1.0 / (PetscReal)(mz-1);
HxHydHz = Hx*Hy/Hz; HxHzdHy = Hx*Hz/Hy; HyHzdHx = Hy*Hz/Hx;
ierr = PetscMalloc((2*dof*dof+1)*sizeof(PetscScalar),&v);CHKERRQ(ierr);
v_neighbor = v + dof*dof;
ierr = PetscMemzero(v,(2*dof*dof+1)*sizeof(PetscScalar));CHKERRQ(ierr);
k3 = 0;
for (k1=0; k1<dof; k1++){
for (k2=0; k2<dof; k2++){
if (k1 == k2){
v[k3] = 2.0*(HxHydHz + HxHzdHy + HyHzdHx);
v_neighbor[k3] = -HxHydHz;
} else {
ierr = PetscRandomGetValue(rand,&r1);CHKERRQ(ierr);
ierr = PetscRandomGetValue(rand,&r2);CHKERRQ(ierr);
v[k3] = r1;
v_neighbor[k3] = r2;
}
k3++;
}
}
ierr = DMDAGetCorners(da,&xs,&ys,&zs,&xm,&ym,&zm);CHKERRQ(ierr);
for (k=zs; k<zs+zm; k++){
for (j=ys; j<ys+ym; j++){
for (i=xs; i<xs+xm; i++){
row.i = i; row.j = j; row.k = k;
if (i==0 || j==0 || k==0 || i==mx-1 || j==my-1 || k==mz-1){ /* boudary points */
ierr = MatSetValuesBlockedStencil(B,1,&row,1,&row,v,INSERT_VALUES);CHKERRQ(ierr);
} else { /* interior points */
/* center */
col.i = i; col.j = j; col.k = k;
ierr = MatSetValuesBlockedStencil(B,1,&row,1,&col,v,INSERT_VALUES);CHKERRQ(ierr);
/* x neighbors */
col.i = i-1; col.j = j; col.k = k;
ierr = MatSetValuesBlockedStencil(B,1,&row,1,&col,v_neighbor,INSERT_VALUES);CHKERRQ(ierr);
col.i = i+1; col.j = j; col.k = k;
ierr = MatSetValuesBlockedStencil(B,1,&row,1,&col,v_neighbor,INSERT_VALUES);CHKERRQ(ierr);
/* y neighbors */
col.i = i; col.j = j-1; col.k = k;
ierr = MatSetValuesBlockedStencil(B,1,&row,1,&col,v_neighbor,INSERT_VALUES);CHKERRQ(ierr);
col.i = i; col.j = j+1; col.k = k;
ierr = MatSetValuesBlockedStencil(B,1,&row,1,&col,v_neighbor,INSERT_VALUES);CHKERRQ(ierr);
/* z neighbors */
col.i = i; col.j = j; col.k = k-1;
ierr = MatSetValuesBlockedStencil(B,1,&row,1,&col,v_neighbor,INSERT_VALUES);CHKERRQ(ierr);
col.i = i; col.j = j; col.k = k+1;
ierr = MatSetValuesBlockedStencil(B,1,&row,1,&col,v_neighbor,INSERT_VALUES);CHKERRQ(ierr);
}
}
}
}
ierr = MatAssemblyBegin(B,MAT_FINAL_ASSEMBLY);CHKERRQ(ierr);
ierr = MatAssemblyEnd(B,MAT_FINAL_ASSEMBLY);CHKERRQ(ierr);
ierr = PetscFree(v);CHKERRQ(ierr);
ierr = PetscRandomDestroy(&rand);CHKERRQ(ierr);
PetscFunctionReturn(0);
}
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;
}
