1 static char help[] = "Tests PetscRandom functions.\n\n"; 2 3 #include <petscsys.h> 4 5 #define PETSC_MAXBSIZE 40 6 #define DATAFILENAME "ex2_stock.txt" 7 8 struct himaInfoTag { 9 PetscInt n; 10 PetscReal r; 11 PetscReal dt; 12 PetscInt totalNumSim; 13 PetscReal *St0; 14 PetscReal *vol; 15 }; 16 typedef struct himaInfoTag himaInfo; 17 18 PetscErrorCode readData(MPI_Comm, himaInfo *); 19 PetscReal mcVal(PetscReal, PetscReal, PetscReal, PetscReal, PetscReal); 20 void exchangeVal(PetscReal *, PetscReal *); 21 PetscReal basketPayoff(PetscReal[], PetscReal[], PetscInt, PetscReal, PetscReal, PetscReal[]); 22 PetscErrorCode stdNormalArray(PetscReal *, PetscInt, PetscRandom); 23 PetscInt divWork(PetscMPIInt, PetscInt, PetscMPIInt); 24 25 /* 26 Contributed by Xiaoyan Zeng <zengxia@iit.edu> and Liu, Kwong Ip" <kiliu@math.hkbu.edu.hk> 27 28 Example of usage: 29 mpiexec -n 4 ./ex2 -num_of_stocks 30 -interest_rate 0.4 -time_interval 0.01 -num_of_simulations 10000 30 */ 31 32 int main(int argc, char *argv[]) 33 { 34 PetscReal r, dt; 35 PetscInt n; 36 unsigned long i, myNumSim, totalNumSim, numdim; 37 PetscReal *vol, *St0, x, totalx; 38 PetscMPIInt size, rank; 39 PetscReal *eps; 40 himaInfo hinfo; 41 PetscRandom ran; 42 43 PetscFunctionBeginUser; 44 PetscCall(PetscInitialize(&argc, &argv, (char *)0, help)); 45 PetscCall(PetscRandomCreate(PETSC_COMM_WORLD, &ran)); 46 PetscCall(PetscRandomSetFromOptions(ran)); 47 48 PetscCallMPI(MPI_Comm_size(PETSC_COMM_WORLD, &size)); 49 PetscCallMPI(MPI_Comm_rank(PETSC_COMM_WORLD, &rank)); 50 51 hinfo.n = 31; 52 hinfo.r = 0.04; 53 hinfo.dt = 1.0 / 12; /* a month as a period */ 54 hinfo.totalNumSim = 1000; 55 56 PetscCall(PetscOptionsGetInt(NULL, NULL, "-num_of_stocks", &(hinfo.n), NULL)); 57 PetscCheck(hinfo.n >= 1 && hinfo.n <= 31, PETSC_COMM_SELF, PETSC_ERR_SUP, "Only 31 stocks listed in stock.txt. num_of_stocks %" PetscInt_FMT " must between 1 and 31", hinfo.n); 58 PetscCall(PetscOptionsGetReal(NULL, NULL, "-interest_rate", &(hinfo.r), NULL)); 59 PetscCall(PetscOptionsGetReal(NULL, NULL, "-time_interval", &(hinfo.dt), NULL)); 60 PetscCall(PetscOptionsGetInt(NULL, NULL, "-num_of_simulations", &(hinfo.totalNumSim), NULL)); 61 62 n = hinfo.n; 63 r = hinfo.r; 64 dt = hinfo.dt; 65 totalNumSim = hinfo.totalNumSim; 66 PetscCall(PetscMalloc1(2 * n + 1, &hinfo.vol)); 67 vol = hinfo.vol; 68 St0 = hinfo.St0 = hinfo.vol + n; 69 PetscCall(readData(PETSC_COMM_WORLD, &hinfo)); 70 71 numdim = n * (n + 1) / 2; 72 if (numdim % 2 == 1) numdim++; 73 PetscCall(PetscMalloc1(numdim, &eps)); 74 75 myNumSim = divWork(rank, totalNumSim, size); 76 77 x = 0; 78 for (i = 0; i < myNumSim; i++) { 79 PetscCall(stdNormalArray(eps, numdim, ran)); 80 x += basketPayoff(vol, St0, n, r, dt, eps); 81 } 82 83 PetscCallMPI(MPI_Reduce(&x, &totalx, 1, MPIU_REAL, MPIU_SUM, 0, PETSC_COMM_WORLD)); 84 /* payoff = exp(-r*dt*n)*(totalx/totalNumSim); 85 ierr = PetscPrintf(PETSC_COMM_WORLD,"Option price = $%.3f using %ds of %s computation with %d %s for %d stocks, %d trading period per year, %.2f%% interest rate\n", 86 payoff,(int)(stop - start),"parallel",size,"processors",n,(int)(1/dt),r); */ 87 88 PetscCall(PetscFree(vol)); 89 PetscCall(PetscFree(eps)); 90 PetscCall(PetscRandomDestroy(&ran)); 91 PetscCall(PetscFinalize()); 92 return 0; 93 } 94 95 PetscErrorCode stdNormalArray(PetscReal *eps, PetscInt numdim, PetscRandom ran) 96 { 97 PetscInt i; 98 PetscScalar u1, u2; 99 PetscReal t; 100 101 PetscFunctionBegin; 102 for (i = 0; i < numdim; i += 2) { 103 PetscCall(PetscRandomGetValue(ran, &u1)); 104 PetscCall(PetscRandomGetValue(ran, &u2)); 105 106 t = PetscSqrtReal(-2 * PetscLogReal(PetscRealPart(u1))); 107 eps[i] = t * PetscCosReal(2 * PETSC_PI * PetscRealPart(u2)); 108 eps[i + 1] = t * PetscSinReal(2 * PETSC_PI * PetscRealPart(u2)); 109 } 110 PetscFunctionReturn(PETSC_SUCCESS); 111 } 112 113 PetscReal basketPayoff(PetscReal vol[], PetscReal St0[], PetscInt n, PetscReal r, PetscReal dt, PetscReal eps[]) 114 { 115 PetscReal Stk[PETSC_MAXBSIZE], temp; 116 PetscReal payoff; 117 PetscInt maxk, i, j; 118 PetscInt pointcount = 0; 119 120 for (i = 0; i < n; i++) Stk[i] = St0[i]; 121 122 for (i = 0; i < n; i++) { 123 maxk = 0; 124 for (j = 0; j < (n - i); j++) { 125 Stk[j] = mcVal(Stk[j], r, vol[j], dt, eps[pointcount++]); 126 if ((Stk[j] / St0[j]) > (Stk[maxk] / St0[maxk])) maxk = j; 127 } 128 exchangeVal(Stk + j - 1, Stk + maxk); 129 exchangeVal(St0 + j - 1, St0 + maxk); 130 exchangeVal(vol + j - 1, vol + maxk); 131 } 132 133 payoff = 0; 134 for (i = 0; i < n; i++) { 135 temp = (Stk[i] / St0[i]) - 1; 136 if (temp > 0) payoff += temp; 137 } 138 return payoff; 139 } 140 141 PetscErrorCode readData(MPI_Comm comm, himaInfo *hinfo) 142 { 143 PetscInt i; 144 FILE *fd; 145 char temp[50]; 146 PetscMPIInt rank; 147 PetscReal *v = hinfo->vol, *t = hinfo->St0; 148 PetscInt num = hinfo->n; 149 150 PetscFunctionBeginUser; 151 PetscCallMPI(MPI_Comm_rank(comm, &rank)); 152 if (rank == 0) { 153 PetscCall(PetscFOpen(PETSC_COMM_SELF, DATAFILENAME, "r", &fd)); 154 for (i = 0; i < num; i++) { 155 double vv, tt; 156 PetscCheck(fscanf(fd, "%s%lf%lf", temp, &vv, &tt) == 3, PETSC_COMM_SELF, PETSC_ERR_FILE_UNEXPECTED, "Badly formatted input file"); 157 v[i] = vv; 158 t[i] = tt; 159 } 160 fclose(fd); 161 } 162 PetscCallMPI(MPI_Bcast(v, 2 * num, MPIU_REAL, 0, PETSC_COMM_WORLD)); 163 /* ierr = PetscPrintf(PETSC_COMM_SELF,"[%d] vol %g, ... %g; St0 %g, ... %g\n",rank,hinfo->vol[0],hinfo->vol[num-1],hinfo->St0 [0],hinfo->St0[num-1]); */ 164 PetscFunctionReturn(PETSC_SUCCESS); 165 } 166 167 void exchangeVal(PetscReal *a, PetscReal *b) 168 { 169 PetscReal t; 170 171 t = *a; 172 *a = *b; 173 *b = t; 174 } 175 176 PetscReal mcVal(PetscReal St, PetscReal r, PetscReal vol, PetscReal dt, PetscReal eps) 177 { 178 return (St * PetscExpReal((r - 0.5 * vol * vol) * dt + vol * PetscSqrtReal(dt) * eps)); 179 } 180 181 PetscInt divWork(PetscMPIInt id, PetscInt num, PetscMPIInt size) 182 { 183 PetscInt numit; 184 185 numit = (PetscInt)(((PetscReal)num) / size); 186 numit++; 187 return numit; 188 } 189 190 /*TEST 191 192 test: 193 nsize: 2 194 output_file: output/ex1_1.out 195 localrunfiles: ex2_stock.txt 196 197 TEST*/ 198