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 PetscCall(PetscInitialize(&argc,&argv,(char*)0,help)); 44 PetscCall(PetscRandomCreate(PETSC_COMM_WORLD,&ran)); 45 PetscCall(PetscRandomSetFromOptions(ran)); 46 47 PetscCallMPI(MPI_Comm_size(PETSC_COMM_WORLD, &size)); 48 PetscCallMPI(MPI_Comm_rank(PETSC_COMM_WORLD, &rank)); 49 50 hinfo.n = 31; 51 hinfo.r = 0.04; 52 hinfo.dt = 1.0/12; /* a month as a period */ 53 hinfo.totalNumSim = 1000; 54 55 PetscCall(PetscOptionsGetInt(NULL,NULL,"-num_of_stocks",&(hinfo.n),NULL)); 56 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); 57 PetscCall(PetscOptionsGetReal(NULL,NULL,"-interest_rate",&(hinfo.r),NULL)); 58 PetscCall(PetscOptionsGetReal(NULL,NULL,"-time_interval",&(hinfo.dt),NULL)); 59 PetscCall(PetscOptionsGetInt(NULL,NULL,"-num_of_simulations",&(hinfo.totalNumSim),NULL)); 60 61 n = hinfo.n; 62 r = hinfo.r; 63 dt = hinfo.dt; 64 totalNumSim = hinfo.totalNumSim; 65 PetscCall(PetscMalloc1(2*n+1,&hinfo.vol)); 66 vol = hinfo.vol; 67 St0 = hinfo.St0 = hinfo.vol + n; 68 PetscCall(readData(PETSC_COMM_WORLD,&hinfo)); 69 70 numdim = n*(n+1)/2; 71 if (numdim%2 == 1) numdim++; 72 PetscCall(PetscMalloc1(numdim,&eps)); 73 74 myNumSim = divWork(rank,totalNumSim,size); 75 76 x = 0; 77 for (i=0; i<myNumSim; i++) { 78 PetscCall(stdNormalArray(eps,numdim,ran)); 79 x += basketPayoff(vol,St0,n,r,dt,eps); 80 } 81 82 PetscCallMPI(MPI_Reduce(&x, &totalx, 1, MPIU_REAL, MPIU_SUM,0,PETSC_COMM_WORLD)); 83 /* payoff = exp(-r*dt*n)*(totalx/totalNumSim); 84 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", 85 payoff,(int)(stop - start),"parallel",size,"processors",n,(int)(1/dt),r); */ 86 87 PetscCall(PetscFree(vol)); 88 PetscCall(PetscFree(eps)); 89 PetscCall(PetscRandomDestroy(&ran)); 90 PetscCall(PetscFinalize()); 91 return 0; 92 } 93 94 PetscErrorCode stdNormalArray(PetscReal *eps, PetscInt numdim, PetscRandom ran) 95 { 96 PetscInt i; 97 PetscScalar u1,u2; 98 PetscReal t; 99 100 PetscFunctionBegin; 101 for (i=0; i<numdim; i+=2) { 102 PetscCall(PetscRandomGetValue(ran,&u1)); 103 PetscCall(PetscRandomGetValue(ran,&u2)); 104 105 t = PetscSqrtReal(-2*PetscLogReal(PetscRealPart(u1))); 106 eps[i] = t * PetscCosReal(2*PETSC_PI*PetscRealPart(u2)); 107 eps[i+1] = t * PetscSinReal(2*PETSC_PI*PetscRealPart(u2)); 108 } 109 PetscFunctionReturn(0); 110 } 111 112 PetscReal basketPayoff(PetscReal vol[], PetscReal St0[], PetscInt n, PetscReal r,PetscReal dt, PetscReal eps[]) 113 { 114 PetscReal Stk[PETSC_MAXBSIZE], temp; 115 PetscReal payoff; 116 PetscInt maxk,i,j; 117 PetscInt pointcount=0; 118 119 for (i=0;i<n;i++) Stk[i] = St0[i]; 120 121 for (i=0;i<n;i++) { 122 maxk = 0; 123 for (j=0;j<(n-i);j++) { 124 Stk[j] = mcVal(Stk[j],r,vol[j],dt,eps[pointcount++]); 125 if ((Stk[j]/St0[j]) > (Stk[maxk]/St0[maxk])) maxk = j; 126 } 127 exchangeVal(Stk+j-1,Stk+maxk); 128 exchangeVal(St0+j-1,St0+maxk); 129 exchangeVal(vol+j-1,vol+maxk); 130 } 131 132 payoff = 0; 133 for (i=0; i<n; i++) { 134 temp = (Stk[i]/St0[i]) - 1; 135 if (temp > 0) payoff += temp; 136 } 137 return payoff; 138 } 139 140 PetscErrorCode readData(MPI_Comm comm,himaInfo *hinfo) 141 { 142 PetscInt i; 143 FILE *fd; 144 char temp[50]; 145 PetscMPIInt rank; 146 PetscReal *v = hinfo->vol, *t = hinfo->St0; 147 PetscInt num=hinfo->n; 148 149 PetscFunctionBeginUser; 150 PetscCallMPI(MPI_Comm_rank(comm,&rank)); 151 if (rank == 0) { 152 PetscCall(PetscFOpen(PETSC_COMM_SELF,DATAFILENAME,"r",&fd)); 153 for (i=0;i<num;i++) { 154 double vv,tt; 155 PetscCheck(fscanf(fd,"%s%lf%lf",temp,&vv,&tt) == 3,PETSC_COMM_SELF,PETSC_ERR_FILE_UNEXPECTED,"Badly formatted input file"); 156 v[i] = vv; 157 t[i] = tt; 158 } 159 fclose(fd); 160 } 161 PetscCallMPI(MPI_Bcast(v,2*num,MPIU_REAL,0,PETSC_COMM_WORLD)); 162 /* 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]); */ 163 PetscFunctionReturn(0); 164 } 165 166 void exchangeVal(PetscReal *a, PetscReal *b) 167 { 168 PetscReal t; 169 170 t = *a; 171 *a = *b; 172 *b = t; 173 } 174 175 PetscReal mcVal(PetscReal St, PetscReal r, PetscReal vol, PetscReal dt, PetscReal eps) 176 { 177 return (St * PetscExpReal((r-0.5*vol*vol)*dt + vol*PetscSqrtReal(dt)*eps)); 178 } 179 180 PetscInt divWork(PetscMPIInt id, PetscInt num, PetscMPIInt size) 181 { 182 PetscInt numit; 183 184 numit = (PetscInt)(((PetscReal)num)/size); 185 numit++; 186 return numit; 187 } 188 189 /*TEST 190 191 test: 192 nsize: 2 193 output_file: output/ex1_1.out 194 localrunfiles: ex2_stock.txt 195 196 TEST*/ 197