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/* Copyright (c) 2022, NVIDIA CORPORATION. All rights reserved.
*
* Redistribution and use in source and binary forms, with or without
* modification, are permitted provided that the following conditions
* are met:
* * Redistributions of source code must retain the above copyright
* notice, this list of conditions and the following disclaimer.
* * Redistributions in binary form must reproduce the above copyright
* notice, this list of conditions and the following disclaimer in the
* documentation and/or other materials provided with the distribution.
* * Neither the name of NVIDIA CORPORATION nor the names of its
* contributors may be used to endorse or promote products derived
* from this software without specific prior written permission.
*
* THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS ``AS IS'' AND ANY
* EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
* IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
* PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR
* CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
* EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
* PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
* PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY
* OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
* (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
* OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
*/
#ifndef MONTECARLO_COMMON_H
#define MONTECARLO_COMMON_H
#include "realtype.h"
#include "curand_kernel.h"
////////////////////////////////////////////////////////////////////////////////
// Global types
////////////////////////////////////////////////////////////////////////////////
typedef struct {
float S;
float X;
float T;
float R;
float V;
} TOptionData;
typedef struct
//#ifdef __CUDACC__
//__align__(8)
//#endif
{
float Expected;
float Confidence;
} TOptionValue;
// GPU outputs before CPU postprocessing
typedef struct {
real Expected;
real Confidence;
} __TOptionValue;
typedef struct {
// Device ID for multi-GPU version
int device;
// Option count for this plan
int optionCount;
// Host-side data source and result destination
TOptionData *optionData;
TOptionValue *callValue;
// Temporary Host-side pinned memory for async + faster data transfers
__TOptionValue *h_CallValue;
// Device- and host-side option data
void *d_OptionData;
void *h_OptionData;
// Device-side option values
void *d_CallValue;
// Intermediate device-side buffers
void *d_Buffer;
// random number generator states
curandState *rngStates;
// Pseudorandom samples count
int pathN;
// Time stamp
float time;
int gridSize;
} TOptionPlan;
extern "C" void initMonteCarloGPU(TOptionPlan *plan);
extern "C" void MonteCarloGPU(TOptionPlan *plan, cudaStream_t stream = 0);
extern "C" void closeMonteCarloGPU(TOptionPlan *plan);
#endif
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