Actual source code: ex2.c

petsc-3.5.1 2014-07-24
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  1: static char help[] = "Tests PetscRandom functions.\n\n";

  3: #include <petscsys.h>

  5: #define PETSC_MAXBSIZE     40
  6: #define DATAFILENAME "ex2_stock.txt"

  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;

 18: PetscErrorCode readData(MPI_Comm comm,himaInfo *hinfo);
 19: PetscReal mcVal(PetscReal St, PetscReal r, PetscReal vol, PetscReal dt, PetscReal eps);
 20: void exchange(PetscReal *a, PetscReal *b);
 21: PetscReal basketPayoff(PetscReal vol[], PetscReal St0[], PetscInt n, PetscReal r,PetscReal dt, PetscReal eps[]);
 22: void stdNormalArray(PetscReal *eps, PetscInt numdim,PetscRandom ran);
 23: PetscInt divWork(PetscMPIInt id, PetscInt num, PetscMPIInt size);

 25: /*
 26:    Contributed by Xiaoyan Zeng <zengxia@iit.edu> and Liu, Kwong Ip" <kiliu@math.hkbu.edu.hk>

 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: */

 34: int main(int argc, char *argv[])
 35: {
 36:   PetscReal      r,dt;
 37:   PetscInt       n;
 38:   unsigned long  i,myNumSim,totalNumSim,numdim;
 39:   PetscReal      *vol, *St0, x, totalx;
 40:   PetscMPIInt    size,rank;
 41:   PetscReal      *eps;
 42:   himaInfo       hinfo;
 43:   PetscRandom    ran;
 45:   PetscBool      flg;

 47:   PetscInitialize(&argc,&argv,(char*)0,help);
 48:   PetscRandomCreate(PETSC_COMM_WORLD,&ran);
 49: #if defined(PETSC_HAVE_SPRNG)
 50:   PetscRandomSetType(ran,PETSCSPRNG);
 51: #elif defined(PETSC_HAVE_RAND)
 52:   PetscRandomSetType(ran,PETSCRAND);
 53: #endif
 54:   PetscRandomSetFromOptions(ran);

 56:   MPI_Comm_size(PETSC_COMM_WORLD, &size);       /* number of nodes */
 57:   MPI_Comm_rank(PETSC_COMM_WORLD, &rank);     /* my ranking */

 59:   PetscOptionsHasName(NULL, "-check_generators", &flg);
 60:   if (flg) {
 61:     PetscRandomGetValue(ran,(PetscScalar*)&r);
 62:     PetscSynchronizedPrintf(PETSC_COMM_WORLD,"[%d] rval: %g\n",rank,r);
 63:     PetscSynchronizedFlush(PETSC_COMM_WORLD,PETSC_STDOUT);
 64:   }

 66:   hinfo.n           = 31;
 67:   hinfo.r           = 0.04;
 68:   hinfo.dt          = 1.0/12;   /* a month as a period */
 69:   hinfo.totalNumSim = 1000;

 71:   PetscOptionsGetInt(NULL,"-num_of_stocks",&(hinfo.n),NULL);
 72:   if (hinfo.n <1 || hinfo.n > 31) SETERRQ1(PETSC_COMM_SELF,PETSC_ERR_SUP,"Only 31 stocks listed in stock.txt. num_of_stocks %D must between 1 and 31",hinfo.n);
 73:   PetscOptionsGetReal(NULL,"-interest_rate",&(hinfo.r),NULL);
 74:   PetscOptionsGetReal(NULL,"-time_interval",&(hinfo.dt),NULL);
 75:   PetscOptionsGetInt(NULL,"-num_of_simulations",&(hinfo.totalNumSim),NULL);

 77:   n           = hinfo.n;
 78:   r           = hinfo.r;
 79:   dt          = hinfo.dt;
 80:   totalNumSim = hinfo.totalNumSim;
 81:   vol         = hinfo.vol = (PetscReal*)malloc(sizeof(PetscReal)*(2*n+1));
 82:   St0         = hinfo.St0 = hinfo.vol + n;
 83:   readData(PETSC_COMM_WORLD,&hinfo);

 85:   numdim = n*(n+1)/2;
 86:   if (numdim%2 == 1) numdim++;
 87:   eps = (PetscReal*)malloc(sizeof(PetscReal)*numdim);

 89:   myNumSim = divWork(rank,totalNumSim,size);

 91:   x = 0;
 92:   for (i=0; i<myNumSim; i++) {
 93:     stdNormalArray(eps,numdim,ran);
 94:     x += basketPayoff(vol,St0,n,r,dt,eps);
 95:   }

 97:   MPI_Reduce(&x, &totalx, 1, MPIU_REAL, MPIU_SUM,0,PETSC_COMM_WORLD);
 98:   /* payoff = exp(-r*dt*n)*(totalx/totalNumSim);
 99:   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",
100:    payoff,(int)(stop - start),"parallel",size,"processors",n,(int)(1/dt),r); */

102:   free(vol);
103:   free(eps);
104:   PetscRandomDestroy(&ran);
105:   PetscFinalize();
106:   return 0;
107: }

109: void stdNormalArray(PetscReal *eps, PetscInt numdim, PetscRandom ran)
110: {
111:   PetscInt       i;
112:   PetscReal      u1,u2,t;

115:   for (i=0; i<numdim; i+=2) {
116:     PetscRandomGetValue(ran,(PetscScalar*)&u1);CHKERRABORT(PETSC_COMM_WORLD,ierr);
117:     PetscRandomGetValue(ran,(PetscScalar*)&u2);CHKERRABORT(PETSC_COMM_WORLD,ierr);

119:     t        = PetscSqrtReal(-2*PetscLogReal(u1));
120:     eps[i]   = t * PetscCosReal(2*PETSC_PI*u2);
121:     eps[i+1] = t * PetscSinReal(2*PETSC_PI*u2);
122:   }
123: }


126: PetscReal basketPayoff(PetscReal vol[], PetscReal St0[], PetscInt n, PetscReal r,PetscReal dt, PetscReal eps[])
127: {
128:   PetscReal Stk[PETSC_MAXBSIZE], temp;
129:   PetscReal payoff;
130:   PetscInt  maxk,i,j;
131:   PetscInt  pointcount=0;

133:   for (i=0;i<n;i++) Stk[i] = St0[i];

135:   for (i=0;i<n;i++) {
136:     maxk = 0;
137:     for (j=0;j<(n-i);j++) {
138:       Stk[j] = mcVal(Stk[j],r,vol[j],dt,eps[pointcount++]);
139:       if ((Stk[j]/St0[j]) > (Stk[maxk]/St0[maxk])) maxk = j;
140:     }
141:     exchange(Stk+j-1,Stk+maxk);
142:     exchange(St0+j-1,St0+maxk);
143:     exchange(vol+j-1,vol+maxk);
144:   }

146:   payoff = 0;
147:   for (i=0; i<n; i++) {
148:     temp = (Stk[i]/St0[i]) - 1;
149:     if (temp > 0) payoff += temp;
150:   }
151:   return payoff;
152: }

156: PetscErrorCode readData(MPI_Comm comm,himaInfo *hinfo)
157: {
158:   PetscInt       i;
159:   FILE           *fd;
160:   char           temp[50];
162:   PetscMPIInt    rank;
163:   PetscReal      *v = hinfo->vol, *t = hinfo->St0;
164:   PetscInt       num=hinfo->n;

167:   MPI_Comm_rank(comm,&rank);
168:   if (!rank) {
169:     PetscFOpen(PETSC_COMM_SELF,DATAFILENAME,"r",&fd);
170:     for (i=0;i<num;i++) {
171:       double vv,tt;
172:       fscanf(fd,"%s%lf%lf",temp,&vv,&tt);
173:       v[i] = vv;
174:       t[i] = tt;
175:     }
176:     fclose(fd);
177:   }
178:   MPI_Bcast(v,2*num,MPIU_REAL,0,PETSC_COMM_WORLD);
179:   /* 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]); */
180:   return(0);
181: }

183: void exchange(PetscReal *a, PetscReal *b)
184: {
185:   PetscReal t;

187:   t  = *a;
188:   *a = *b;
189:   *b = t;
190: }

192: PetscReal mcVal(PetscReal St, PetscReal r, PetscReal vol, PetscReal dt, PetscReal eps)
193: {
194:   return (St * PetscExpReal((r-0.5*vol*vol)*dt + vol*PetscSqrtReal(dt)*eps));
195: }

197: PetscInt divWork(PetscMPIInt id, PetscInt num, PetscMPIInt size)
198: {
199:   PetscInt numit;

201:   numit = (PetscInt)(((PetscReal)num)/size);
202:   numit++;
203:   return numit;
204: }