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110 lines
4.0 KiB
110 lines
4.0 KiB
/* Copyright (c) 2022, NVIDIA CORPORATION. All rights reserved. |
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* |
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* Redistribution and use in source and binary forms, with or without |
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* modification, are permitted provided that the following conditions |
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* are met: |
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* * Redistributions of source code must retain the above copyright |
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* notice, this list of conditions and the following disclaimer. |
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* * Redistributions in binary form must reproduce the above copyright |
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* notice, this list of conditions and the following disclaimer in the |
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* documentation and/or other materials provided with the distribution. |
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* * Neither the name of NVIDIA CORPORATION nor the names of its |
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* contributors may be used to endorse or promote products derived |
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* from this software without specific prior written permission. |
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* |
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* THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS ``AS IS'' AND ANY |
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* EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE |
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* IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR |
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* PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR |
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* CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, |
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* EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, |
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* PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR |
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* PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY |
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* OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT |
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* (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE |
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* OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. |
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*/ |
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#include "binomialOptions_common.h" |
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#include "common_gpu_header.h" |
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#include "realtype.h" |
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// Preprocessed input option data |
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typedef struct |
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{ |
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real S; |
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real X; |
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real vDt; |
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real puByDf; |
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real pdByDf; |
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} __TOptionData; |
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static __constant__ __TOptionData d_OptionData[MAX_OPTIONS]; |
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__device__ real d_CallValue[MAX_OPTIONS]; |
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#define THREADBLOCK_SIZE 128 |
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#define ELEMS_PER_THREAD (NUM_STEPS / THREADBLOCK_SIZE) |
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#if NUM_STEPS % THREADBLOCK_SIZE |
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#error Bad constants |
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#endif |
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//////////////////////////////////////////////////////////////////////////////// |
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// Overloaded shortcut functions for different precision modes |
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//////////////////////////////////////////////////////////////////////////////// |
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#ifndef DOUBLE_PRECISION |
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__device__ inline float expiryCallValue(float S, float X, float vDt, int i) |
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{ |
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float d = S * __expf(vDt * (2.0f * i - NUM_STEPS)) - X; |
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return (d > 0.0F) ? d : 0.0F; |
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} |
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#else |
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__device__ inline double expiryCallValue(double S, double X, double vDt, int i) |
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{ |
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double d = S * exp(vDt * (2.0 * i - NUM_STEPS)) - X; |
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return (d > 0.0) ? d : 0.0; |
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} |
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#endif |
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//////////////////////////////////////////////////////////////////////////////// |
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// GPU kernel |
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//////////////////////////////////////////////////////////////////////////////// |
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extern "C" __global__ void binomialOptionsKernel() |
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{ |
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__shared__ real call_exchange[THREADBLOCK_SIZE + 1]; |
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const int tid = threadIdx.x; |
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const real S = d_OptionData[blockIdx.x].S; |
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const real X = d_OptionData[blockIdx.x].X; |
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const real vDt = d_OptionData[blockIdx.x].vDt; |
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const real puByDf = d_OptionData[blockIdx.x].puByDf; |
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const real pdByDf = d_OptionData[blockIdx.x].pdByDf; |
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real call[ELEMS_PER_THREAD + 1]; |
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#pragma unroll |
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for (int i = 0; i < ELEMS_PER_THREAD; ++i) |
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call[i] = expiryCallValue(S, X, vDt, tid * ELEMS_PER_THREAD + i); |
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if (tid == 0) |
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call_exchange[THREADBLOCK_SIZE] = expiryCallValue(S, X, vDt, NUM_STEPS); |
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int final_it = max(0, tid * ELEMS_PER_THREAD - 1); |
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#pragma unroll 16 |
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for (int i = NUM_STEPS; i > 0; --i) { |
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call_exchange[tid] = call[0]; |
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__syncthreads(); |
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call[ELEMS_PER_THREAD] = call_exchange[tid + 1]; |
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__syncthreads(); |
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if (i > final_it) { |
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#pragma unroll |
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for (int j = 0; j < ELEMS_PER_THREAD; ++j) |
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call[j] = puByDf * call[j + 1] + pdByDf * call[j]; |
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} |
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} |
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if (tid == 0) { |
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d_CallValue[blockIdx.x] = call[0]; |
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} |
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}
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