//--------------------------------------------------------------------------------------
//?Copyright?（c）?Microsoft?Corp.?
//
//?File:?BlackScholes.cpp
//
//?Licensed?under?the?Apache?License?Version?2.0?（the?“License“）;?you?may?not?use?this?
//?file?except?in?compliance?with?the?License.?You?may?obtain?a?copy?of?the?License?at?
//?http://www.apache.org/licenses/LICENSE-2.0??
//??
//?THIS?CODE?IS?PROVIDED?*AS?IS*?BASIS?WITHOUT?WARRANTIES?OR?CONDITIONS?OF?ANY?KIND?
//?EITHER?EXPRESS?OR?IMPLIED?INCLUDING?WITHOUT?LIMITATION?ANY?IMPLIED?WARRANTIES?OR?
//?CONDITIONS?OF?title?FITNESS?FOR?A?PARTICULAR?PURPOSE?MERCHANTABLITY?OR?NON-INFRINGEMENT.?
//??
//?See?the?Apache?Version?2.0?License?for?specific?language?governing?permissions?and?
//?limitations?under?the?License.
//--------------------------------------------------------------------------------------

//--------------------------------------------------------------------------------------
//?Implements?Black?Scholes?sample?in?C++?AMP
//?Refer?README.txt
//--------------------------------------------------------------------------------------

#include?“blackscholes.h“

#include?
#include?
#include?
#include?

blackscholes::blackscholes（float?_volatility?float?_riskfreerate?int?_size）
{
????data_size?=?_size;
????riskfreerate?=?_riskfreerate;
????volatility?=?_volatility;

????stock_price.resize（data_size）;
????option_strike.resize（data_size）;
????option_years.resize（data_size）;
????call_result_amp.resize（data_size）;?
????put_result_amp.resize（data_size）;

????srand（2012）;

????for?（int?i?=?0;?i?????{
????????stock_price[i]?=?100.0f?*?（（（float）rand（））?/?RAND_MAX）;
????????option_strike[i]?=?stock_price[i]?*?（（float）rand（））?/?RAND_MAX;
????????option_years[i]?=?20.0f?*?（（float）rand（））?/?RAND_MAX;
????????call_result_amp[i]?=?0;
????????put_result_amp[i]?=?0;
????}
}

blackscholes::~blackscholes（）
{

}

void?blackscholes::execute（）
{
????const?array?a_stock_price（data_size?stock_price.begin（））;
????const?array?a_option_strike（data_size?option_strike.begin（））;
????const?array?a_option_years（data_size?option_years.begin（））;
????array?a_call_result（data_size）;
????array?a_put_result（data_size）;

????float?R?=?riskfreerate;
????float?V?=?volatility;

????assert（（data_size%BSCHOLES_TILE_SIZE）?==?0）;

????parallel_for_each（extent<1>（data_size）.tile（）
????[=?&a_stock_price?&a_option_strike?&a_option_years?&a_call_result?&a_put_result]?（tiled_index?tidx）?restrict（amp）
????{
????????float?S?=?a_stock_price（tidx.global[0]）;
????????float?X?=?a_option_strike（tidx.global[0]）;
????????float?T?=?a_option_years（tidx.global[0]）;
????????????
????????float?sqrtT?=?fast_math::sqrtf（T）;
????????float?d1?=?（fast_math::logf（S?/?X）?+?（R?+?0.5f?*?V?*?V）?*?T）?/?（V?*?sqrtT）;
????????float?d

?屬性????????????大小?????日期????時(shí)間???名稱
-----------?---------??----------?-----??----
?????文件????????6126??2013-02-11?10:09??BlackScholes\BlackScholes.cpp
?????文件????????2032??2013-02-11?09:59??BlackScholes\BlackScholes.h
?????文件????????7560??2013-02-11?09:57??BlackScholes\BlackScholes.vcxproj
?????文件????????1694??2012-11-09?13:39??BlackScholes\README.txt