Adding black-scholes and phoenix codes

black-scholes/black-scholes/Makefile

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+# Makefile
+# For CS5923, Assignment 1, Q4 (Monte Carlo)
+# Based on Prof. Kathy Yelick's material (at UC Berkeley)
+#
+#
+# Include platform-dependent settings.
+#
+include Makefile.include
+
+#
+# NOTE: This only works for GNU Make
+
+LDFLAGS += -Ldcmt0.4/lib -ldcmt
+
+Q4_INCS = black_scholes.h gaussian.h parser.h random.h timer.h util.h
+Q4_C_SRCS = black_scholes.c gaussian.c main.c parser.c random.c dcmt0.4/lib/random_seed.c timer.c util.c
+Q4_C_OBJS = $(Q4_C_SRCS:.c=.o)
+Q4_EXE = Q4.exe
+
+
+all: Q4.exe
+
+%.o: %.c
+	$(CC) -c $(CFLAGS) $(CPPFLAGS) $< -o $@
+
+Q4.exe: $(Q4_C_OBJS) dcmt0.4/lib/libdcmt.a
+	$(LINKER) $(CFLAGS) $(LDFLAGS) $(Q4_C_OBJS) -o $@
+
+dcmt0.4/lib/libdcmt.a: 
+	make -C dcmt0.4/lib
+
+black_scholes.o: black_scholes.c black_scholes.h gaussian.h random.h util.h
+
+gaussian.o: gaussian.c gaussian.h util.h
+
+main.o: main.c black_scholes.h parser.h random.h timer.h
+
+parser.o: parser.c parser.h
+
+random.o: random.c random.h
+
+dcmt0.4/lib/random_seed.o: dcmt0.4/lib/random_seed.c
+
+timer.o: timer.c timer.h
+
+util.o: util.c util.h
+
+clean:
+	make -C dcmt0.4/lib clean
+	rm -f $(Q4_C_OBJS) $(Q4_EXE)

black-scholes/black-scholes/Makefile.include

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+# Makefile.include
+# Platform-dependent settings for Q4
+#
+
+#CC = icc
+CC = gcc
+
+COPTFLAGS = -O2
+#COPTFLAGS = -g
+
+CPPFLAGS = 
+
+#CFLAGS = $(COPTFLAGS)
+CFLAGS = -Wall $(COPTFLAGS)
+
+#LINKER = icc
+LINKER = gcc
+
+LDFLAGS = -lm -lpthread
+
+

black-scholes/black-scholes/black_scholes.c

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+#include "black_scholes.h"
+#include "gaussian.h"
+#include "random.h" 
+#include "util.h"
+
+#include <assert.h>
+#include <math.h>
+#include <stdio.h>
+#include <stdlib.h>
+
+
+/**
+ * This function is what you compute for each iteration of
+ * Black-Scholes.  You don't have to understand it; just call it.
+ * "gaussian_random_number" is the current random number (from a
+ * Gaussian distribution, which in our case comes from gaussrand1()).
+ */
+static inline double 
+black_scholes_value (const double S,
+		     const double E,
+		     const double r,
+		     const double sigma,
+		     const double T,
+		     const double gaussian_random_number)
+{
+  const double current_value = S * exp ( (r - (sigma*sigma) / 2.0) * T + 
+					 sigma * sqrt (T) * gaussian_random_number );
+  return exp (-r * T) * 
+    ((current_value - E < 0.0) ? 0.0 : current_value - E);
+  /* return exp (-r * T) * max_double (current_value - E, 0.0); */
+}
+
+
+/**
+ * Compute the standard deviation of trials[0 .. M-1].
+ */
+static double
+black_scholes_stddev (void* the_args)
+{
+  black_scholes_args_t* args = (black_scholes_args_t*) the_args;
+  const double mean = args->mean;
+  const int M = args->M;
+  double variance = 0.0;
+  int k;
+
+  for (k = 0; k < M; k++)
+    {
+      const double diff = args->trials[k] - mean;
+      /*
+       * Just like when computing the mean, we scale each term of this
+       * sum in order to avoid overflow.
+       */
+      variance += diff * diff / (double) M;
+    }
+
+  args->variance = variance;
+  return sqrt (variance);
+}
+
+
+/**
+ * Take a pointer to a black_scholes_args_t struct, and return NULL.
+ * (The return value is irrelevant, because all the interesting
+ * information is written to the input struct.)  This function runs
+ * Black-Scholes iterations, and computes the local part of the mean.
+ */
+static void*
+black_scholes_iterate (void* the_args)
+{
+  black_scholes_args_t* args = (black_scholes_args_t*) the_args;
+
+  /* Unpack the IN/OUT struct */
+
+  /* IN (read-only) parameters */
+  const int S = args->S;
+  const int E = args->E;
+  const int M = args->M;
+  const double r = args->r;
+  const double sigma = args->sigma;
+  const double T = args->T;
+
+  /* OUT (write-only) parameters */
+  double* trials = args->trials;
+  double mean = 0.0;
+
+  /* Temporary variables */
+  gaussrand_state_t gaussrand_state;
+  void* prng_stream = NULL; 
+  int k;
+
+  /* Spawn a random number generator */
+  prng_stream = spawn_prng_stream (0);
+
+  /* Initialize the Gaussian random number module for this thread */
+  init_gaussrand_state (&gaussrand_state);
+
+  /* Do the Black-Scholes iterations */
+  for (k = 0; k < M; k++)
+    {
+      const double gaussian_random_number = gaussrand1 (&uniform_random_double,
+							prng_stream,
+							&gaussrand_state);
+      trials[k] = black_scholes_value (S, E, r, sigma, T, 
+				       gaussian_random_number);
+
+      /*
+       * We scale each term of the sum in order to avoid overflow. 
+       * This ensures that mean is never larger than the max
+       * element of trials[0 .. M-1].
+       */
+      mean += trials[k] / (double) M;
+    }
+
+  /* Pack the OUT values into the args struct */
+  args->mean = mean;
+
+  /* 
+   * We do the standard deviation computation as a second operation.
+   */
+
+  free_prng_stream (prng_stream);
+  return NULL;
+}
+
+
+
+void
+black_scholes (confidence_interval_t* interval,
+	       const double S,
+	       const double E,
+	       const double r,
+	       const double sigma,
+	       const double T,
+	       const int M)
+{
+  black_scholes_args_t args;
+  double mean = 0.0;
+  double stddev = 0.0;
+  double conf_width = 0.0;
+  double* trials = NULL;
+
+  assert (M > 0);
+  trials = (double*) malloc (M * sizeof (double));
+  assert (trials != NULL);
+
+  args.S = S;
+  args.E = E;
+  args.r = r;
+  args.sigma = sigma;
+  args.T = T;
+  args.M = M;
+  args.trials = trials;
+  args.mean = 0.0;
+  args.variance = 0.0;
+
+  (void) black_scholes_iterate (&args);
+  mean = args.mean;
+  stddev = black_scholes_stddev (&args);
+
+  conf_width = 1.96 * stddev / sqrt ((double) M);
+  interval->min = mean - conf_width;
+  interval->max = mean + conf_width;
+
+  /* Clean up and exit */
+
+  deinit_black_scholes_args (&args);
+}
+
+
+void
+deinit_black_scholes_args (black_scholes_args_t* args)
+{
+  if (args != NULL)
+    if (args->trials != NULL)
+      {
+	free (args->trials);
+	args->trials = NULL;
+      }
+}
+

black-scholes/black-scholes/black_scholes.h

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+#ifndef _black_scholes_h
+#define _black_scholes_h
+
+#include <math.h>
+
+/**
+ * In (read-only) and out (write-only) arguments to the function(s)
+ * that do(es) Black-Scholes iterations.  This is used for both the
+ * sequential and parallel (threaded with Pthreads) implementation.
+ *
+ * Fields marked [IN] are read-only inputs; don't modify them once
+ * they are set.
+ *
+ * Fields marked [OUT] are outputs to be computed by your code.
+ *
+ * You might add additional field(s) to this struct.
+ *
+ * @note The typedef lets you refer to this type without saying
+ * "struct" in front of it, but it means that you have to include this
+ * header file if you ever use this datatype.  Example:
+ *
+ * #include "black_scholes.h"
+ * #include <stdio.h>
+ *
+ * void 
+ * foo (black_scholes_args_t* args) 
+ * {
+ *   printf ("M = %d\n", args->M);
+ *   ...
+ * }
+ */
+typedef struct __black_scholes_args_t {
+  /**
+   * [IN] Various parameters of the Black-Scholes MC method.  
+   */
+  double S, E, r, sigma, T;
+  /**
+   * [IN] Number of Black-Scholes MC iterations.  
+   */
+  int M;
+  /**
+   * [OUT] Array (of M elements) containing the results of each of the
+   * M trials.
+   */
+  double* trials;
+  /**
+   * [OUT] Arithmetic mean of trials[0 .. M-1].
+   */
+  double mean;
+
+  /**
+   * [OUT] variance of trials[0 .. M-1].
+   */
+  double variance;
+} black_scholes_args_t;
+
+/**
+ * Frees any malloc'd objects in the args struct, without freeing the
+ * args pointer itself.
+ */
+void
+deinit_black_scholes_args (black_scholes_args_t* args);
+
+/**
+ * Confidence interval [min,max].
+ *
+ * The typedef lets you refer to this type without saying "struct" 
+ * in front of it, but it means that you have to include this header
+ * file if you ever use this datatype.
+ */
+typedef struct __confidence_interval_t {
+  double min, max;
+} confidence_interval_t;
+
+/**
+ * Run the Black-Scholes MC simulation using the parameters S, E, r,
+ * sigma, and T, with M total trials.  
+ *
+ * @note You might need to modify the signature of this function.
+ */
+void
+black_scholes (confidence_interval_t* interval,
+	       const double S,
+	       const double E,
+	       const double r,
+	       const double sigma,
+	       const double T,
+	       const int M);
+
+
+#endif /* _black_scholes_h */

black-scholes/black-scholes/dcmt0.4/CHANGELOG

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+version 0.4
+ A bug in sgenrand_mt() in lib/genmtrand.c is fixed. (2007/8/11)
+
+version 0.3
+  ``uint32'' is replaced by ``uint32_t.'' (2006/11/27)
+
+version 0.2.1
+ ``inttypes.h'' is included.
+ typedef unsigned int uint32; --> typedef uint32_t uint32; 
+ A C99 complier is required. (2006/11/18)
+
+version 0.2 
+ _sgenrand_dc() in lib/mt19937.c is changed. (2002/2/21)
+ sgenrand_mt() in lib/genmtrand.c is changed. (2002/2/21)
+