Actual source code: ex2.c
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,himaInfo *);
19: PetscReal mcVal(PetscReal, PetscReal, PetscReal, PetscReal, PetscReal);
20: void exchangeVal(PetscReal*, PetscReal*);
21: PetscReal basketPayoff(PetscReal[], PetscReal[], PetscInt, PetscReal,PetscReal, PetscReal[]);
22: PetscErrorCode stdNormalArray(PetscReal*, PetscInt,PetscRandom);
23: PetscInt divWork(PetscMPIInt, PetscInt, PetscMPIInt);
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: */
32: int main(int argc, char *argv[])
33: {
34: PetscReal r,dt;
35: PetscInt n;
36: unsigned long i,myNumSim,totalNumSim,numdim;
37: PetscReal *vol, *St0, x, totalx;
38: PetscMPIInt size,rank;
39: PetscReal *eps;
40: himaInfo hinfo;
41: PetscRandom ran;
43: PetscInitialize(&argc,&argv,(char*)0,help);
44: PetscRandomCreate(PETSC_COMM_WORLD,&ran);
45: PetscRandomSetFromOptions(ran);
47: MPI_Comm_size(PETSC_COMM_WORLD, &size);
48: MPI_Comm_rank(PETSC_COMM_WORLD, &rank);
50: hinfo.n = 31;
51: hinfo.r = 0.04;
52: hinfo.dt = 1.0/12; /* a month as a period */
53: hinfo.totalNumSim = 1000;
55: PetscOptionsGetInt(NULL,NULL,"-num_of_stocks",&(hinfo.n),NULL);
57: PetscOptionsGetReal(NULL,NULL,"-interest_rate",&(hinfo.r),NULL);
58: PetscOptionsGetReal(NULL,NULL,"-time_interval",&(hinfo.dt),NULL);
59: PetscOptionsGetInt(NULL,NULL,"-num_of_simulations",&(hinfo.totalNumSim),NULL);
61: n = hinfo.n;
62: r = hinfo.r;
63: dt = hinfo.dt;
64: totalNumSim = hinfo.totalNumSim;
65: PetscMalloc1(2*n+1,&hinfo.vol);
66: vol = hinfo.vol;
67: St0 = hinfo.St0 = hinfo.vol + n;
68: readData(PETSC_COMM_WORLD,&hinfo);
70: numdim = n*(n+1)/2;
71: if (numdim%2 == 1) numdim++;
72: PetscMalloc1(numdim,&eps);
74: myNumSim = divWork(rank,totalNumSim,size);
76: x = 0;
77: for (i=0; i<myNumSim; i++) {
78: stdNormalArray(eps,numdim,ran);
79: x += basketPayoff(vol,St0,n,r,dt,eps);
80: }
82: MPI_Reduce(&x, &totalx, 1, MPIU_REAL, MPIU_SUM,0,PETSC_COMM_WORLD);
83: /* payoff = exp(-r*dt*n)*(totalx/totalNumSim);
84: 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",
85: payoff,(int)(stop - start),"parallel",size,"processors",n,(int)(1/dt),r); */
87: PetscFree(vol);
88: PetscFree(eps);
89: PetscRandomDestroy(&ran);
90: PetscFinalize();
91: return 0;
92: }
94: PetscErrorCode stdNormalArray(PetscReal *eps, PetscInt numdim, PetscRandom ran)
95: {
96: PetscInt i;
97: PetscScalar u1,u2;
98: PetscReal t;
100: for (i=0; i<numdim; i+=2) {
101: PetscRandomGetValue(ran,&u1);
102: PetscRandomGetValue(ran,&u2);
104: t = PetscSqrtReal(-2*PetscLogReal(PetscRealPart(u1)));
105: eps[i] = t * PetscCosReal(2*PETSC_PI*PetscRealPart(u2));
106: eps[i+1] = t * PetscSinReal(2*PETSC_PI*PetscRealPart(u2));
107: }
108: return 0;
109: }
111: PetscReal basketPayoff(PetscReal vol[], PetscReal St0[], PetscInt n, PetscReal r,PetscReal dt, PetscReal eps[])
112: {
113: PetscReal Stk[PETSC_MAXBSIZE], temp;
114: PetscReal payoff;
115: PetscInt maxk,i,j;
116: PetscInt pointcount=0;
118: for (i=0;i<n;i++) Stk[i] = St0[i];
120: for (i=0;i<n;i++) {
121: maxk = 0;
122: for (j=0;j<(n-i);j++) {
123: Stk[j] = mcVal(Stk[j],r,vol[j],dt,eps[pointcount++]);
124: if ((Stk[j]/St0[j]) > (Stk[maxk]/St0[maxk])) maxk = j;
125: }
126: exchangeVal(Stk+j-1,Stk+maxk);
127: exchangeVal(St0+j-1,St0+maxk);
128: exchangeVal(vol+j-1,vol+maxk);
129: }
131: payoff = 0;
132: for (i=0; i<n; i++) {
133: temp = (Stk[i]/St0[i]) - 1;
134: if (temp > 0) payoff += temp;
135: }
136: return payoff;
137: }
139: PetscErrorCode readData(MPI_Comm comm,himaInfo *hinfo)
140: {
141: PetscInt i;
142: FILE *fd;
143: char temp[50];
144: PetscMPIInt rank;
145: PetscReal *v = hinfo->vol, *t = hinfo->St0;
146: PetscInt num=hinfo->n;
149: MPI_Comm_rank(comm,&rank);
150: if (rank == 0) {
151: PetscFOpen(PETSC_COMM_SELF,DATAFILENAME,"r",&fd);
152: for (i=0;i<num;i++) {
153: double vv,tt;
155: v[i] = vv;
156: t[i] = tt;
157: }
158: fclose(fd);
159: }
160: MPI_Bcast(v,2*num,MPIU_REAL,0,PETSC_COMM_WORLD);
161: /* 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]); */
162: return 0;
163: }
165: void exchangeVal(PetscReal *a, PetscReal *b)
166: {
167: PetscReal t;
169: t = *a;
170: *a = *b;
171: *b = t;
172: }
174: PetscReal mcVal(PetscReal St, PetscReal r, PetscReal vol, PetscReal dt, PetscReal eps)
175: {
176: return (St * PetscExpReal((r-0.5*vol*vol)*dt + vol*PetscSqrtReal(dt)*eps));
177: }
179: PetscInt divWork(PetscMPIInt id, PetscInt num, PetscMPIInt size)
180: {
181: PetscInt numit;
183: numit = (PetscInt)(((PetscReal)num)/size);
184: numit++;
185: return numit;
186: }
188: /*TEST
190: test:
191: nsize: 2
192: output_file: output/ex1_1.out
193: localrunfiles: ex2_stock.txt
195: TEST*/