def option_enumeration(platform_name, instance_paths, path_points, options,
optimisations):
instances = 1
cslow_flag = False
tp_flag = False
for o in options.split():
temp_options = KS_ProblemSet.KS_Options([o])
for opt in optimisations.split():
cslow_flag = False
tp_flag = False
instances = 1
pipelining = 1
if ("naive" == opt): pass
if ("pipeline_parallelism" == opt):
if (platform_name == "Maxeler"):
pipelining = 8
if (o == "13"): pipelining = 16
if ("all" == opt):
tp_flag = True
cslow_flag = True
if (("task_parallelism" == opt) or tp_flag):
if (platform_name == "Maxeler"):
instances = 8
if (o == "13"): instances = 16
if ("cslow" == opt): cslow_flag = True
if (platform_name == "Maxeler"):
from ForwardFinancialFramework.Platforms.MaxelerFPGA import MaxelerFPGA_MonteCarlo, MaxelerFPGA
platform = MaxelerFPGA.MaxelerFPGA()
mc_solver = MaxelerFPGA_MonteCarlo.MaxelerFPGA_MonteCarlo(
temp_options,
instance_paths,
platform,
path_points,
c_slow=cslow_flag,
instances=instances,
pipelining=pipelining)
elif (platform_name == "Vivado"):
pass
elif (platform_name == "Altera"):
pass
else:
print "unrecognised platform!"
fpga_compile(mc_solver)
elif(option_number=="12"): derivative.append(Digital_Double_Barrier_Option.Digital_Double_Barrier_Option(underlying_heston_IV,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="13"): derivative.append(Asian_Option.Asian_Option(underlying_black_scholes_VII,call=call,strike_price=strike_price,time_period=time_period,points=points))
else:
if(option_number=="4"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_III,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="5"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_I,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="6"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_IV,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="7"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_V,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="8"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_VI,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="9"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_I,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="10"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_VI,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
#threads = multiprocessing.cpu_count() #queries the OS as to how many CPUs there are available
#multicore_platform = MulticoreCPU.MulticoreCPU(threads)
maxeler_platform = MaxelerFPGA.MaxelerFPGA(1)
for d in derivative: d.points = points
#mc_solver = MulticoreCPU_MonteCarlo.MulticoreCPU_MonteCarlo(derivative,paths,multicore_platform,reduce_underlyings=False)
mc_solver = MaxelerFPGA_MonteCarlo.MaxelerFPGA_MonteCarlo(derivative,paths,maxeler_platform)
mc_solver.generate()
mc_solver.compile()
results = mc_solver.execute()
print "Derivative Values"
for d in derivative_set: print ("Value of Option %d:\t%s" % (d,results[d-1]))
#Performance Monitoring
offset = len(derivative)
CPU_time = float(results[offset])
Wall_time = float(results[offset+1])
test_derivative.append(derivative[index])
test_derivative_set.append(index + 1)
index = index - 1
same_points = True
d_0_points = test_derivative[0].points
for d in test_derivative:
if ((d_0_points != d.points)
and (d_0_points != time_period * points)):
same_points = False
#threads = multiprocessing.cpu_count() #queries the OS as to how many CPUs there are available
#threads = 7
#multicore_platform = MulticoreCPU.MulticoreCPU(threads)
instances = int(10 / len(test_derivative))
maxeler_platform = MaxelerFPGA.MaxelerFPGA(instances)
#mc_solver = MulticoreCPU_MonteCarlo.MulticoreCPU_MonteCarlo(test_derivative,paths,multicore_platform,reduce_underlyings=True)
mc_solver = MaxelerFPGA_MonteCarlo.MaxelerFPGA_MonteCarlo(
test_derivative, paths, maxeler_platform)
if (command == "compile" and same_points):
print "Building for trial: %s (%s)" % (selection,
str(test_derivative_set))
mc_solver.generate()
mc_solver.compile()
elif (command == "execute" and same_points):
results = mc_solver.execute()
print "Selection for trial: %s (%s)" % (selection,
str(test_derivative_set))
print "Derivative Values"
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"):
o_result = mc_solver.execute()
results.append(o_result)
print "Hostname,Platform Type,Option Number,Simulation Paths,Value,95%% Confidence Interval of Value,Execution Latency,"
for i, r in enumerate(results):
print "%s,%s,%d,%d,%f,%f,%f," % (os.uname()[1].split(".")[0],
if (platform_name == "GPU"):
from ForwardFinancialFramework.Platforms.OpenCLGPU import OpenCLGPU_MonteCarlo, OpenCLGPU
platform = OpenCLGPU.OpenCLGPU()
mc_solver = OpenCLGPU_MonteCarlo.OpenCLGPU_MonteCarlo(
options, paths, platform)
elif (platform_name == "CPU"):
from ForwardFinancialFramework.Platforms.MulticoreCPU import MulticoreCPU_MonteCarlo, MulticoreCPU
platform = MulticoreCPU.MulticoreCPU()
mc_solver = MulticoreCPU_MonteCarlo.MulticoreCPU_MonteCarlo(
options, paths, platform)
elif (platform_name == "FPGA"):
from ForwardFinancialFramework.Platforms.MaxelerFPGA import MaxelerFPGA_MonteCarlo, MaxelerFPGA
platform = MaxelerFPGA.MaxelerFPGA()
mc_solver = MaxelerFPGA_MonteCarlo.MaxelerFPGA_MonteCarlo(
options, paths, platform)
else:
print "incorrect platform type!"
sys.exit()
mc_solver.populate_model(paths, steps)
mc_solver.generate_pickle(pickle_file_name)
#mc_solver.generate_derivative_pickle(pickle_file_name)
"""mc_solver = pickle.load(open("%s.p"%pickle_file_name,"rb"))
mc_solver.derivative = pickle.load(open("%s_derivative.p"%pickle_file_name,"rb"))
mc_solver.latency_model = mc_solver.generate_aggregate_latency_model()
for p in numpy.arange(paths,paths*(steps+1),paths): print mc_solver.latency_model(p)"""