93 lines
2.9 KiB
C++
93 lines
2.9 KiB
C++
/*
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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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#include <math.h>
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#include "oclBlackScholes_common.h"
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///////////////////////////////////////////////////////////////////////////////
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// Rational approximation of cumulative normal distribution function
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///////////////////////////////////////////////////////////////////////////////
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static double CND(double d){
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const double A1 = 0.31938153;
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const double A2 = -0.356563782;
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const double A3 = 1.781477937;
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const double A4 = -1.821255978;
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const double A5 = 1.330274429;
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const double RSQRT2PI = 0.39894228040143267793994605993438;
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double
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K = 1.0 / (1.0 + 0.2316419 * fabs(d));
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double
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cnd = RSQRT2PI * exp(- 0.5 * 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 = 1.0 - 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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static void BlackScholesBodyCPU(
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float& call, //Call option price
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float& put, //Put option price
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float Sf, //Current stock price
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float Xf, //Option strike price
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float Tf, //Option years
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float Rf, //Riskless rate of return
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float Vf //Stock volatility
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){
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double S = Sf, X = Xf, T = Tf, R = Rf, V = Vf;
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double sqrtT = sqrt(T);
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double d1 = (log(S / X) + (R + 0.5 * V * V) * T) / (V * sqrtT);
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double d2 = d1 - V * sqrtT;
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double CNDD1 = CND(d1);
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double CNDD2 = CND(d2);
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//Calculate Call and Put simultaneously
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double expRT = exp(- R * T);
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call = (float)(S * CNDD1 - X * expRT * CNDD2);
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put = (float)(X * expRT * (1.0 - CNDD2) - S * (1.0 - CNDD1));
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}
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////////////////////////////////////////////////////////////////////////////////
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// Process an array of optN options
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////////////////////////////////////////////////////////////////////////////////
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extern "C" void BlackScholesCPU(
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float *h_Call, //Call option price
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float *h_Put, //Put option price
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float *h_S, //Current stock price
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float *h_X, //Option strike price
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float *h_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 optionCount
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){
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for(unsigned int i = 0; i < optionCount; i++)
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BlackScholesBodyCPU(
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h_Call[i],
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h_Put[i],
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h_S[i],
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h_X[i],
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h_T[i],
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R,
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V
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);
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}
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