102 lines
3.3 KiB
Common Lisp
102 lines
3.3 KiB
Common Lisp
/*
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* Copyright 1993-2010 NVIDIA Corporation. All rights reserved.
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*
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* Please refer to the NVIDIA end user license agreement (EULA) associated
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* with this source code for terms and conditions that govern your use of
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* this software. Any use, reproduction, disclosure, or distribution of
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* this software and related documentation outside the terms of the EULA
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* is strictly prohibited.
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*
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*/
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#if(0)
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#define EXP(a) native_exp(a)
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#define LOG(a) native_log(a)
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#define SQRT(a) native_sqrt(a)
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#else
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#define EXP(a) exp(a)
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#define LOG(a) log(a)
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#define SQRT(a) sqrt(a)
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#endif
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///////////////////////////////////////////////////////////////////////////////
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// Predefine functions to avoid bug in OpenCL compiler on Mac OSX 10.7 systems
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///////////////////////////////////////////////////////////////////////////////
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float CND(float d);
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void BlackScholesBody(__global float *call, __global float *put, float S,
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float X, float T, float R, float V);
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///////////////////////////////////////////////////////////////////////////////
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// Rational approximation of cumulative normal distribution function
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///////////////////////////////////////////////////////////////////////////////
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float CND(float d){
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const float A1 = 0.31938153f;
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const float A2 = -0.356563782f;
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const float A3 = 1.781477937f;
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const float A4 = -1.821255978f;
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const float A5 = 1.330274429f;
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const float RSQRT2PI = 0.39894228040143267793994605993438f;
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float
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K = 1.0f / (1.0f + 0.2316419f * fabs(d));
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float
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cnd = RSQRT2PI * EXP(- 0.5f * d * d) *
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(K * (A1 + K * (A2 + K * (A3 + K * (A4 + K * A5)))));
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if(d > 0)
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cnd = 1.0f - cnd;
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return cnd;
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}
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///////////////////////////////////////////////////////////////////////////////
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// Black-Scholes formula for both call and put
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///////////////////////////////////////////////////////////////////////////////
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void BlackScholesBody(
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__global float *call, //Call option price
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__global float *put, //Put option price
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float S, //Current stock price
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float X, //Option strike price
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float T, //Option years
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float R, //Riskless rate of return
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float V //Stock volatility
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){
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float sqrtT = SQRT(T);
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float d1 = (LOG(S / X) + (R + 0.5f * V * V) * T) / (V * sqrtT);
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float d2 = d1 - V * sqrtT;
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float CNDD1 = CND(d1);
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float CNDD2 = CND(d2);
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//Calculate Call and Put simultaneously
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float expRT = EXP(- R * T);
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*call = (S * CNDD1 - X * expRT * CNDD2);
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*put = (X * expRT * (1.0f - CNDD2) - S * (1.0f - CNDD1));
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}
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__kernel void BlackScholes(
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__global float *d_Call, //Call option price
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__global float *d_Put, //Put option price
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__global float *d_S, //Current stock price
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__global float *d_X, //Option strike price
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__global float *d_T, //Option years
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float R, //Riskless rate of return
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float V, //Stock volatility
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unsigned int optN
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){
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for(unsigned int opt = get_global_id(0); opt < optN; opt += get_global_size(0))
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BlackScholesBody(
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&d_Call[opt],
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&d_Put[opt],
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d_S[opt],
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d_X[opt],
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d_T[opt],
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R,
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V
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);
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}
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