def monte_carlo_pricer(paths, dt, interest, volatility):
n = paths.shape[0]
mm = MM(shape=n, dtype=np.double, prealloc=5)
blksz = cuda.get_current_device().MAX_THREADS_PER_BLOCK
gridsz = int(math.ceil(float(n) / blksz))
stream = cuda.stream()
prng = PRNG(PRNG.MRG32K3A, stream=stream)
# Allocate device side array
d_normdist = cuda.device_array(n, dtype=np.double, stream=stream)
c0 = interest - 0.5 * volatility ** 2
c1 = volatility * math.sqrt(dt)
d_last = cuda.to_device(paths[:, 0], to=mm.get())
for j in range(1, paths.shape[1]):
prng.normal(d_normdist, mean=0, sigma=1)
d_paths = cuda.to_device(paths[:, j], stream=stream, to=mm.get())
step(d_last, dt, c0, c1, d_normdist, out=d_paths, stream=stream)
d_paths.copy_to_host(paths[:, j], stream=stream)
mm.free(d_last)
d_last = d_paths
stream.synchronize()
def monte_carlo_pricer(paths, dt, interest, volatility):
n = paths.shape[0]
mm = MM(shape=n, dtype=np.double, prealloc=5)
blksz = cuda.get_current_device().MAX_THREADS_PER_BLOCK
gridsz = int(math.ceil(float(n) / blksz))
stream = cuda.stream()
prng = PRNG(PRNG.MRG32K3A, stream=stream)
# Allocate device side array
d_normdist = cuda.device_array(n, dtype=np.double, stream=stream)
c0 = interest - 0.5 * volatility**2
c1 = volatility * math.sqrt(dt)
d_last = cuda.to_device(paths[:, 0], to=mm.get())
for j in range(1, paths.shape[1]):
prng.normal(d_normdist, mean=0, sigma=1)
d_paths = cuda.to_device(paths[:, j], stream=stream, to=mm.get())
step(d_last, dt, c0, c1, d_normdist, out=d_paths, stream=stream)
d_paths.copy_to_host(paths[:, j], stream=stream)
mm.free(d_last)
d_last = d_paths
stream.synchronize()
def getPseudoRandomNumbers_Standard_cuda(shape=tuple):
# type: (object) -> object
"""
generates a an array of psuedo random numbers from standard normal distribution using CUDA
:rtype: ndarray
:param length:
:return:
"""
prng = PRNG(rndtype=PRNG.XORWOW)
rand = empty(shape)
prng.normal(rand, 0, 1)
return rand
def monte_carlo_pricer(paths, dt, interest, volatility):
n = paths.shape[0]
blksz = cuda.get_current_device().MAX_THREADS_PER_BLOCK
gridsz = int(math.ceil(float(n) / blksz))
# Instantiate cuRAND PRNG
prng = PRNG(PRNG.MRG32K3A)
# Allocate device side array
d_normdist = cuda.device_array(n, dtype=np.double)
c0 = interest - 0.5 * volatility ** 2
c1 = volatility * math.sqrt(dt)
# Simulation loop
d_last = cuda.to_device(paths[:, 0])
for j in range(1, paths.shape[1]):
prng.normal(d_normdist, mean=0, sigma=1)
d_paths = cuda.to_device(paths[:, j])
step(d_last, dt, c0, c1, d_normdist, out=d_paths)
d_paths.copy_to_host(paths[:, j])
d_last = d_paths
def monte_carlo_pricer(paths, dt, interest, volatility):
n = paths.shape[0]
blksz = cuda.get_current_device().MAX_THREADS_PER_BLOCK
gridsz = int(math.ceil(float(n) / blksz))
# Instantiate cuRAND PRNG
prng = PRNG(PRNG.MRG32K3A)
# Allocate device side array
d_normdist = cuda.device_array(n, dtype=np.double)
c0 = interest - 0.5 * volatility**2
c1 = volatility * math.sqrt(dt)
# Simulation loop
d_last = cuda.to_device(paths[:, 0])
for j in range(1, paths.shape[1]):
prng.normal(d_normdist, mean=0, sigma=1)
d_paths = cuda.to_device(paths[:, j])
step(d_last, dt, c0, c1, d_normdist, out=d_paths)
d_paths.copy_to_host(paths[:, j])
d_last = d_paths
