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#!/usr/bin/python
#######################################################
# Copyright (c) 2015, ArrayFire
# All rights reserved.
#
# This file is distributed under 3-clause BSD license.
# The complete license agreement can be obtained at:
# http://arrayfire.com/licenses/BSD-3-Clause
########################################################
import arrayfire as af
from time import time
import math
import sys
sqrt2 = math.sqrt(2.0)
def cnd(x):
temp = (x > 0)
return temp * (0.5 + af.erf(x/sqrt2)/2) + (1 - temp) * (0.5 - af.erf((-x)/sqrt2)/2)
def black_scholes(S, X, R, V, T):
# S = Underlying stock price
# X = Strike Price
# R = Risk free rate of interest
# V = Volatility
# T = Time to maturity
d1 = af.log(S / X)
d1 = d1 + (R + (V * V) * 0.5) * T
d1 = d1 / (V * af.sqrt(T))
d2 = d1 - (V * af.sqrt(T))
cnd_d1 = cnd(d1)
cnd_d2 = cnd(d2)
C = S * cnd_d1 - (X * af.exp((-R) * T) * cnd_d2)
P = X * af.exp((-R) * T) * (1 - cnd_d2) - (S * (1 -cnd_d1))
return (C, P)
if __name__ == "__main__":
if (len(sys.argv) > 1):
af.set_device(int(sys.argv[1]))
af.info()
M = 4000
S = af.randu(M, 1)
X = af.randu(M, 1)
R = af.randu(M, 1)
V = af.randu(M, 1)
T = af.randu(M, 1)
(C, P) = black_scholes(S, X, R, V, T)
af.eval(C)
af.eval(P)
af.sync()
num_iter = 100
for N in range(50, 501, 50):
S = af.randu(M, N)
X = af.randu(M, N)
R = af.randu(M, N)
V = af.randu(M, N)
T = af.randu(M, N)
af.sync()
print("Input data size: %d elements" % (M * N))
start = time()
for i in range(num_iter):
(C, P) = black_scholes(S, X, R, V, T)
af.eval(C)
af.eval(P)
af.sync()
sec = (time() - start) / num_iter
print("Mean GPU Time: %0.6f ms\n\n" % (1000.0 * sec))
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