Actual source code: ex2.c
petsc-3.7.5 2017-01-01
1: static char help[] = "Tests PetscRandom functions.\n\n";
3: #include <petscsys.h>
5: #define PETSC_MAXBSIZE 40
6: #define DATAFILENAME "ex2_stock.txt"
8: struct himaInfoTag {
9: PetscInt n;
10: PetscReal r;
11: PetscReal dt;
12: PetscInt totalNumSim;
13: PetscReal *St0;
14: PetscReal *vol;
15: };
16: typedef struct himaInfoTag himaInfo;
18: PetscErrorCode readData(MPI_Comm comm,himaInfo *hinfo);
19: PetscReal mcVal(PetscReal St, PetscReal r, PetscReal vol, PetscReal dt, PetscReal eps);
20: void exchange(PetscReal *a, PetscReal *b);
21: PetscReal basketPayoff(PetscReal vol[], PetscReal St0[], PetscInt n, PetscReal r,PetscReal dt, PetscReal eps[]);
22: void stdNormalArray(PetscReal *eps, PetscInt numdim,PetscRandom ran);
23: PetscInt divWork(PetscMPIInt id, PetscInt num, PetscMPIInt size);
25: /*
26: Contributed by Xiaoyan Zeng <zengxia@iit.edu> and Liu, Kwong Ip" <kiliu@math.hkbu.edu.hk>
28: Example of usage:
29: mpiexec -n 4 ./ex2 -num_of_stocks 30 -interest_rate 0.4 -time_interval 0.01 -num_of_simulations 10000
30: */
34: int main(int argc, char *argv[])
35: {
36: PetscReal r,dt;
37: PetscInt n;
38: unsigned long i,myNumSim,totalNumSim,numdim;
39: PetscReal *vol, *St0, x, totalx;
40: PetscMPIInt size,rank;
41: PetscReal *eps;
42: himaInfo hinfo;
43: PetscRandom ran;
45: PetscBool flg;
47: PetscInitialize(&argc,&argv,(char*)0,help);
48: PetscRandomCreate(PETSC_COMM_WORLD,&ran);
49: PetscRandomSetFromOptions(ran);
51: MPI_Comm_size(PETSC_COMM_WORLD, &size); /* number of nodes */
52: MPI_Comm_rank(PETSC_COMM_WORLD, &rank); /* my ranking */
54: PetscOptionsHasName(NULL,NULL, "-check_generators", &flg);
55: if (flg) {
56: PetscRandomGetValue(ran,(PetscScalar*)&r);
57: PetscSynchronizedPrintf(PETSC_COMM_WORLD,"[%d] rval: %g\n",rank,r);
58: PetscSynchronizedFlush(PETSC_COMM_WORLD,PETSC_STDOUT);
59: }
61: hinfo.n = 31;
62: hinfo.r = 0.04;
63: hinfo.dt = 1.0/12; /* a month as a period */
64: hinfo.totalNumSim = 1000;
66: PetscOptionsGetInt(NULL,NULL,"-num_of_stocks",&(hinfo.n),NULL);
67: if (hinfo.n <1 || hinfo.n > 31) SETERRQ1(PETSC_COMM_SELF,PETSC_ERR_SUP,"Only 31 stocks listed in stock.txt. num_of_stocks %D must between 1 and 31",hinfo.n);
68: PetscOptionsGetReal(NULL,NULL,"-interest_rate",&(hinfo.r),NULL);
69: PetscOptionsGetReal(NULL,NULL,"-time_interval",&(hinfo.dt),NULL);
70: PetscOptionsGetInt(NULL,NULL,"-num_of_simulations",&(hinfo.totalNumSim),NULL);
72: n = hinfo.n;
73: r = hinfo.r;
74: dt = hinfo.dt;
75: totalNumSim = hinfo.totalNumSim;
76: vol = hinfo.vol = (PetscReal*)malloc(sizeof(PetscReal)*(2*n+1));
77: St0 = hinfo.St0 = hinfo.vol + n;
78: readData(PETSC_COMM_WORLD,&hinfo);
80: numdim = n*(n+1)/2;
81: if (numdim%2 == 1) numdim++;
82: eps = (PetscReal*)malloc(sizeof(PetscReal)*numdim);
84: myNumSim = divWork(rank,totalNumSim,size);
86: x = 0;
87: for (i=0; i<myNumSim; i++) {
88: stdNormalArray(eps,numdim,ran);
89: x += basketPayoff(vol,St0,n,r,dt,eps);
90: }
92: MPI_Reduce(&x, &totalx, 1, MPIU_REAL, MPIU_SUM,0,PETSC_COMM_WORLD);
93: /* payoff = exp(-r*dt*n)*(totalx/totalNumSim);
94: PetscPrintf(PETSC_COMM_WORLD,"Option price = $%.3f using %ds of %s computation with %d %s for %d stocks, %d trading period per year, %.2f%% interest rate\n",
95: payoff,(int)(stop - start),"parallel",size,"processors",n,(int)(1/dt),r); */
97: free(vol);
98: free(eps);
99: PetscRandomDestroy(&ran);
100: PetscFinalize();
101: return 0;
102: }
104: void stdNormalArray(PetscReal *eps, PetscInt numdim, PetscRandom ran)
105: {
106: PetscInt i;
107: PetscReal u1,u2,t;
110: for (i=0; i<numdim; i+=2) {
111: PetscRandomGetValue(ran,(PetscScalar*)&u1);CHKERRABORT(PETSC_COMM_WORLD,ierr);
112: PetscRandomGetValue(ran,(PetscScalar*)&u2);CHKERRABORT(PETSC_COMM_WORLD,ierr);
114: t = PetscSqrtReal(-2*PetscLogReal(u1));
115: eps[i] = t * PetscCosReal(2*PETSC_PI*u2);
116: eps[i+1] = t * PetscSinReal(2*PETSC_PI*u2);
117: }
118: }
121: PetscReal basketPayoff(PetscReal vol[], PetscReal St0[], PetscInt n, PetscReal r,PetscReal dt, PetscReal eps[])
122: {
123: PetscReal Stk[PETSC_MAXBSIZE], temp;
124: PetscReal payoff;
125: PetscInt maxk,i,j;
126: PetscInt pointcount=0;
128: for (i=0;i<n;i++) Stk[i] = St0[i];
130: for (i=0;i<n;i++) {
131: maxk = 0;
132: for (j=0;j<(n-i);j++) {
133: Stk[j] = mcVal(Stk[j],r,vol[j],dt,eps[pointcount++]);
134: if ((Stk[j]/St0[j]) > (Stk[maxk]/St0[maxk])) maxk = j;
135: }
136: exchange(Stk+j-1,Stk+maxk);
137: exchange(St0+j-1,St0+maxk);
138: exchange(vol+j-1,vol+maxk);
139: }
141: payoff = 0;
142: for (i=0; i<n; i++) {
143: temp = (Stk[i]/St0[i]) - 1;
144: if (temp > 0) payoff += temp;
145: }
146: return payoff;
147: }
151: PetscErrorCode readData(MPI_Comm comm,himaInfo *hinfo)
152: {
153: PetscInt i;
154: FILE *fd;
155: char temp[50];
157: PetscMPIInt rank;
158: PetscReal *v = hinfo->vol, *t = hinfo->St0;
159: PetscInt num=hinfo->n;
162: MPI_Comm_rank(comm,&rank);
163: if (!rank) {
164: PetscFOpen(PETSC_COMM_SELF,DATAFILENAME,"r",&fd);
165: for (i=0;i<num;i++) {
166: double vv,tt;
167: fscanf(fd,"%s%lf%lf",temp,&vv,&tt);
168: v[i] = vv;
169: t[i] = tt;
170: }
171: fclose(fd);
172: }
173: MPI_Bcast(v,2*num,MPIU_REAL,0,PETSC_COMM_WORLD);
174: /* PetscPrintf(PETSC_COMM_SELF,"[%d] vol %g, ... %g; St0 %g, ... %g\n",rank,hinfo->vol[0],hinfo->vol[num-1],hinfo->St0 [0],hinfo->St0[num-1]); */
175: return(0);
176: }
178: void exchange(PetscReal *a, PetscReal *b)
179: {
180: PetscReal t;
182: t = *a;
183: *a = *b;
184: *b = t;
185: }
187: PetscReal mcVal(PetscReal St, PetscReal r, PetscReal vol, PetscReal dt, PetscReal eps)
188: {
189: return (St * PetscExpReal((r-0.5*vol*vol)*dt + vol*PetscSqrtReal(dt)*eps));
190: }
192: PetscInt divWork(PetscMPIInt id, PetscInt num, PetscMPIInt size)
193: {
194: PetscInt numit;
196: numit = (PetscInt)(((PetscReal)num)/size);
197: numit++;
198: return numit;
199: }