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 PetscErrorCode ierr; 43 44 ierr = PetscInitialize(&argc,&argv,(char*)0,help);if (ierr) return ierr; 45 CHKERRQ(PetscRandomCreate(PETSC_COMM_WORLD,&ran)); 46 CHKERRQ(PetscRandomSetFromOptions(ran)); 47 48 CHKERRMPI(MPI_Comm_size(PETSC_COMM_WORLD, &size)); 49 CHKERRMPI(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 CHKERRQ(PetscOptionsGetInt(NULL,NULL,"-num_of_stocks",&(hinfo.n),NULL)); 57 PetscCheckFalse(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 CHKERRQ(PetscOptionsGetReal(NULL,NULL,"-interest_rate",&(hinfo.r),NULL)); 59 CHKERRQ(PetscOptionsGetReal(NULL,NULL,"-time_interval",&(hinfo.dt),NULL)); 60 CHKERRQ(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 CHKERRQ(PetscMalloc1(2*n+1,&hinfo.vol)); 67 vol = hinfo.vol; 68 St0 = hinfo.St0 = hinfo.vol + n; 69 CHKERRQ(readData(PETSC_COMM_WORLD,&hinfo)); 70 71 numdim = n*(n+1)/2; 72 if (numdim%2 == 1) numdim++; 73 CHKERRQ(PetscMalloc1(numdim,&eps)); 74 75 myNumSim = divWork(rank,totalNumSim,size); 76 77 x = 0; 78 for (i=0; i<myNumSim; i++) { 79 CHKERRQ(stdNormalArray(eps,numdim,ran)); 80 x += basketPayoff(vol,St0,n,r,dt,eps); 81 } 82 83 CHKERRMPI(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);CHKERRQ(ierr); */ 87 88 CHKERRQ(PetscFree(vol)); 89 CHKERRQ(PetscFree(eps)); 90 CHKERRQ(PetscRandomDestroy(&ran)); 91 ierr = PetscFinalize(); 92 return ierr; 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 CHKERRQ(PetscRandomGetValue(ran,&u1)); 104 CHKERRQ(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(0); 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 CHKERRMPI(MPI_Comm_rank(comm,&rank)); 152 if (rank == 0) { 153 CHKERRQ(PetscFOpen(PETSC_COMM_SELF,DATAFILENAME,"r",&fd)); 154 for (i=0;i<num;i++) { 155 double vv,tt; 156 PetscCheckFalse(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 CHKERRMPI(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(0); 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