#include <iostream>
#include <stdio.h>
#include <math.h>
template<
class ty>
dtype get_dtype();
template<>
dtype get_dtype<float>() {
return f32; }
template<>
dtype get_dtype<double>() {
return f64; }
template<class ty, bool use_barrier>
static ty monte_carlo_barrier(int N, ty K, ty t, ty vol, ty r, ty strike, int steps, ty B)
{
dtype pres = get_dtype<ty>();
ty dt = t / (ty)(steps - 1);
randmat =
exp((r - (vol * vol * 0.5)) * dt + vol *
sqrt(dt) * randmat);
if (use_barrier) {
}
payoff =
max(0.0, S - K);
ty P = mean<ty>(payoff) *
exp(-r * t);
return P;
}
template<class ty, bool use_barrier>
double monte_carlo_bench(int N)
{
int steps = 180;
ty stock_price = 100.0;
ty maturity = 0.5;
ty volatility = .30;
ty rate = .01;
ty strike = 100;
ty barrier = 115.0;
timer::start();
for (int i = 0; i < 10; i++) {
monte_carlo_barrier<ty, use_barrier>(N, stock_price, maturity, volatility,
rate, strike, steps, barrier);
}
return timer::stop() / 10;
}
int main()
{
try {
monte_carlo_bench<float, false>(1000);
monte_carlo_bench<float, true>(1000);
for (int n = 10000; n <= 100000; n += 10000) {
printf("Time for %7d paths - "
"vanilla method: %4.3f ms, "
"barrier method: %4.3f ms\n", n,
1000 * monte_carlo_bench<float, false>(n),
1000 * monte_carlo_bench<float, true>(n));
}
std::cerr << ae.
what() << std::endl;
}
return 0;
}
A multi dimensional data container.
Definition: array.h:27
Definition: exception.h:20
virtual const char * what() const
Definition: exception.h:34
af_dtype
Definition: defines.h:195
@ f32
32-bit floating point values
Definition: defines.h:196
@ f64
64-bit complex floating point values
Definition: defines.h:198
AFAPI array exp(const array &in)
C++ Interface for exponential of an array.
AFAPI array sqrt(const array &in)
C++ Interface for square root of input.
array constant(T val, const dim4 &dims, const dtype ty=(af_dtype) dtype_traits< T >::ctype)
AFAPI array randn(const dim4 &dims, const dtype ty=f32)
AFAPI array join(const int dim, const array &first, const array &second)
Join 2 arrays along dim.
AFAPI array allTrue(const array &in, const int dim=-1)
C++ Interface for checking all true values in an array.
AFAPI array max(const array &in, const int dim=-1)
C++ Interface for maximum values in an array.
AFAPI array product(const array &in, const int dim=-1)
C++ Interface for product of elements in an array.
Definition: algorithm.h:15