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examples/blackscholes/blackscholes.cpp

#include <iostream>
#include <stdio.h>
#include <cuda.h>

#include <arrayfire.h>

#include "input.h"
using namespace af;

array cnd(const array& x)
{
    float sqrt2 = sqrtf(2.0f);
    array temp = (x > 0);
    array y = mul(temp, (0.5f + erf(x/sqrt2)/2)) + mul((1-temp), (0.5f - erf((-x)/sqrt2)/2));
    return y;
}

void black_scholes(array& C, array& P, const array& S, const array& X, const array& R, const array& V, const array& T)
{
    // This function computes the call and put option prices based on
    // Black-Scholes Model

    // S = Underlying stock price
    // X = Strike Price
    // R = Risk free rate of interest
    // V = Volatility
    // T = Time to maturity

    array d1 = log(S / X);
    d1 = d1 + mul((R + mul(mul(V,V), 0.5)), T);
    d1 = d1 / mul(V, sqrt(T));

    array d2 = d1 - mul(V, sqrt(T));
    array tmp = mul(X, exp(mul(-R, T)));
    C = mul(S, cnd(d1))  - mul(tmp, cnd(d2));
    P = mul(tmp, cnd(-d2)) - mul(S, cnd(-d1));
}

int main(int argc, char **argv)
{
    printf("** Arrayfire Black-Scholes Example **\n"
           "**          by AccelerEyes         **\n\n");

    try {
        array GC1(4000, 1, C1);
        array GC2(4000, 1, C2);
        array GC3(4000, 1, C3);
        array GC4(4000, 1, C4);
        array GC5(4000, 1, C5);

        dim4 dims = GC1.dims();

        int iter = 5;
        for (int n = 1; n <= 50; n += 5) {

            // Create GPU copies of the data
            array Sg = tile(GC1, n, 1);
            array Xg = tile(GC2, n, 1);
            array Rg = tile(GC3, n, 1);
            array Vg = tile(GC4, n, 1);
            array Tg = tile(GC5, n, 1);

            dim4 dims = Xg.dims();
            printf("Input Data Size = %d x %d\n", dims[0], dims[1]);

            // Force compute on the GPU
            af::sync();
            array Cg, Pg;

            timer::tic();
            for (int i = 0; i < iter; i++) {
                black_scholes(Cg, Pg, Sg,Xg,Rg,Vg,Tg);
                eval(Cg,Pg);
            }
            af::sync();

            printf("Mean GPU Time = %0.6f\n\n\n", timer::toc()/iter);
        }
    } catch (af::exception& e){
        fprintf(stderr, "%s\n", e.what());
    }

    #ifdef WIN32 // pause in Windows
    if (!(argc == 2 && argv[1][0] =='-')) {
        printf("hit [enter]...");
        getchar();
    }
    #endif
    return 0;
}
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