out=1.0,
down=0.0,
points=252)
]
results = []
for o in options:
if (platform_name == "GPU"):
from ForwardFinancialFramework.Platforms.OpenCLGPU import OpenCLGPU_MonteCarlo, OpenCLGPU
platform = OpenCLGPU.OpenCLGPU()
mc_solver = OpenCLGPU_MonteCarlo.OpenCLGPU_MonteCarlo([o], paths,
platform)
elif (platform_name == "CPU"):
from ForwardFinancialFramework.Platforms.MulticoreCPU import MulticoreCPU_MonteCarlo, MulticoreCPU
platform = MulticoreCPU.MulticoreCPU()
mc_solver = MulticoreCPU_MonteCarlo.MulticoreCPU_MonteCarlo(
[o], paths, platform)
elif (platform_name == "FPGA"):
from ForwardFinancialFramework.Platforms.MaxelerFPGA import MaxelerFPGA_MonteCarlo, MaxelerFPGA
platform = MaxelerFPGA.MaxelerFPGA(instances=20)
mc_solver = MaxelerFPGA_MonteCarlo.MaxelerFPGA_MonteCarlo([o],
paths,
platform)
if ("Compile" in platform_arg or platform_name != "FPGA"):
mc_solver.generate()
mc_solver.compile()
if ("Execute" in platform_arg or platform_name != "FPGA"):
output_file = open(output_filename, "w")
for i in [1, 2, 4, 8, 16, 32, 64, 128, 256, 512, 1024, 2048,
4096]: #range(1,2**len(derivative)):
test_derivative = []
test_derivative_set = []
selection = bin(i)[2:]
index = len(selection) - 1
for s in selection:
if (s == "1"):
test_derivative.append(derivative[index])
test_derivative_set.append(index + 1)
index = index - 1
multicore_platform = MulticoreCPU.MulticoreCPU(threads)
mc_solver = MulticoreCPU_MonteCarlo.MulticoreCPU_MonteCarlo(
test_derivative,
paths,
multicore_platform,
reduce_underlyings=True)
mc_solver.solver_metadata["default_points"] = points
mc_solver.generate()
mc_solver.compile()
results = []
offset = len(test_derivative) * 2
CPU_time = 0.0
Wall_time = 0.0
efficiency_factor = 0.0
volatility_volatility = 0.425 rho = -0.4644 kappa = 2.75 theta = 0.035 #Kaiserslatuarn Option Number 5 strike_price = 90 barrier = 80.0 second_barrier = 120 out = 1.0 call = 1.0 down = 0.0 parameter_set = "I" reference_value = 5.7576 #underlying = [Underlying.Underlying(rfir,current_price)] #option = [Option.Option(underlying,time_period,call,strike_price)] underlying = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)] option = [Double_Barrier_Option.Double_Barrier_Option(underlying,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,second_barrier=second_barrier,down=down)] option.append(European_Option.European_Option(underlying,call=call,strike_price=strike_price,time_period=time_period)) multicore_cpu_platform = MulticoreCPU.MulticoreCPU() mc_solver = MulticoreCPU_MonteCarlo.MulticoreCPU_MonteCarlo(option,paths,multicore_cpu_platform) mc_solver.generate() compile_output = mc_solver.compile() execution_output = mc_solver.execute() print execution_output