Add BlackScholes demo from cuda samples

demos/CUDA/BlackScholes/BlackScholes.cu

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+/* Copyright (c) 2022, NVIDIA CORPORATION. All rights reserved.
+ *
+ * Redistribution and use in source and binary forms, with or without
+ * modification, are permitted provided that the following conditions
+ * are met:
+ *  * Redistributions of source code must retain the above copyright
+ *    notice, this list of conditions and the following disclaimer.
+ *  * Redistributions in binary form must reproduce the above copyright
+ *    notice, this list of conditions and the following disclaimer in the
+ *    documentation and/or other materials provided with the distribution.
+ *  * Neither the name of NVIDIA CORPORATION nor the names of its
+ *    contributors may be used to endorse or promote products derived
+ *    from this software without specific prior written permission.
+ *
+ * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS ``AS IS'' AND ANY
+ * EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+ * IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
+ * PURPOSE ARE DISCLAIMED.  IN NO EVENT SHALL THE COPYRIGHT OWNER OR
+ * CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
+ * EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
+ * PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
+ * PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY
+ * OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+ * (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+ * OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+ */
+
+/*
+ * This sample evaluates fair call and put prices for a
+ * given set of European options by Black-Scholes formula.
+ * See supplied whitepaper for more explanations.
+ */
+
+#include <helper_functions.h>  // helper functions for string parsing
+#include <helper_cuda.h>  // helper functions CUDA error checking and initialization
+
+////////////////////////////////////////////////////////////////////////////////
+// Process an array of optN options on CPU
+////////////////////////////////////////////////////////////////////////////////
+extern "C" void BlackScholesCPU(float *h_CallResult, float *h_PutResult,
+                                float *h_StockPrice, float *h_OptionStrike,
+                                float *h_OptionYears, float Riskfree,
+                                float Volatility, int optN);
+
+////////////////////////////////////////////////////////////////////////////////
+// Process an array of OptN options on GPU
+////////////////////////////////////////////////////////////////////////////////
+#include "BlackScholes_kernel.cuh"
+
+////////////////////////////////////////////////////////////////////////////////
+// Helper function, returning uniformly distributed
+// random float in [low, high] range
+////////////////////////////////////////////////////////////////////////////////
+float RandFloat(float low, float high) {
+  float t = (float)rand() / (float)RAND_MAX;
+  return (1.0f - t) * low + t * high;
+}
+
+////////////////////////////////////////////////////////////////////////////////
+// Data configuration
+////////////////////////////////////////////////////////////////////////////////
+const int OPT_N = 4000000;
+const int NUM_ITERATIONS = 512;
+
+const int OPT_SZ = OPT_N * sizeof(float);
+const float RISKFREE = 0.02f;
+const float VOLATILITY = 0.30f;
+
+#define DIV_UP(a, b) (((a) + (b)-1) / (b))
+
+////////////////////////////////////////////////////////////////////////////////
+// Main program
+////////////////////////////////////////////////////////////////////////////////
+int main(int argc, char **argv) {
+  // Start logs
+  printf("[%s] - Starting...\n", argv[0]);
+
+  //'h_' prefix - CPU (host) memory space
+  float
+      // Results calculated by CPU for reference
+      *h_CallResultCPU,
+      *h_PutResultCPU,
+      // CPU copy of GPU results
+      *h_CallResultGPU, *h_PutResultGPU,
+      // CPU instance of input data
+      *h_StockPrice, *h_OptionStrike, *h_OptionYears;
+
+  //'d_' prefix - GPU (device) memory space
+  float
+      // Results calculated by GPU
+      *d_CallResult,
+      *d_PutResult,
+      // GPU instance of input data
+      *d_StockPrice, *d_OptionStrike, *d_OptionYears;
+
+  double delta, ref, sum_delta, sum_ref, max_delta, L1norm, gpuTime;
+
+  StopWatchInterface *hTimer = NULL;
+  int i;
+
+  findCudaDevice(argc, (const char **)argv);
+
+  sdkCreateTimer(&hTimer);
+
+  printf("Initializing data...\n");
+  printf("...allocating CPU memory for options.\n");
+  h_CallResultCPU = (float *)malloc(OPT_SZ);
+  h_PutResultCPU = (float *)malloc(OPT_SZ);
+  h_CallResultGPU = (float *)malloc(OPT_SZ);
+  h_PutResultGPU = (float *)malloc(OPT_SZ);
+  h_StockPrice = (float *)malloc(OPT_SZ);
+  h_OptionStrike = (float *)malloc(OPT_SZ);
+  h_OptionYears = (float *)malloc(OPT_SZ);
+
+  printf("...allocating GPU memory for options.\n");
+  checkCudaErrors(cudaMalloc((void **)&d_CallResult, OPT_SZ));
+  checkCudaErrors(cudaMalloc((void **)&d_PutResult, OPT_SZ));
+  checkCudaErrors(cudaMalloc((void **)&d_StockPrice, OPT_SZ));
+  checkCudaErrors(cudaMalloc((void **)&d_OptionStrike, OPT_SZ));
+  checkCudaErrors(cudaMalloc((void **)&d_OptionYears, OPT_SZ));
+
+  printf("...generating input data in CPU mem.\n");
+  srand(5347);
+
+  // Generate options set
+  for (i = 0; i < OPT_N; i++) {
+    h_CallResultCPU[i] = 0.0f;
+    h_PutResultCPU[i] = -1.0f;
+    h_StockPrice[i] = RandFloat(5.0f, 30.0f);
+    h_OptionStrike[i] = RandFloat(1.0f, 100.0f);
+    h_OptionYears[i] = RandFloat(0.25f, 10.0f);
+  }
+
+  printf("...copying input data to GPU mem.\n");
+  // Copy options data to GPU memory for further processing
+  checkCudaErrors(
+      cudaMemcpy(d_StockPrice, h_StockPrice, OPT_SZ, cudaMemcpyHostToDevice));
+  checkCudaErrors(cudaMemcpy(d_OptionStrike, h_OptionStrike, OPT_SZ,
+                             cudaMemcpyHostToDevice));
+  checkCudaErrors(
+      cudaMemcpy(d_OptionYears, h_OptionYears, OPT_SZ, cudaMemcpyHostToDevice));
+  printf("Data init done.\n\n");
+
+  printf("Executing Black-Scholes GPU kernel (%i iterations)...\n",
+         NUM_ITERATIONS);
+  checkCudaErrors(cudaDeviceSynchronize());
+  sdkResetTimer(&hTimer);
+  sdkStartTimer(&hTimer);
+
+  for (i = 0; i < NUM_ITERATIONS; i++) {
+    BlackScholesGPU<<<DIV_UP((OPT_N / 2), 128), 128 /*480, 128*/>>>(
+        (float2 *)d_CallResult, (float2 *)d_PutResult, (float2 *)d_StockPrice,
+        (float2 *)d_OptionStrike, (float2 *)d_OptionYears, RISKFREE, VOLATILITY,
+        OPT_N);
+    getLastCudaError("BlackScholesGPU() execution failed\n");
+  }
+
+  checkCudaErrors(cudaDeviceSynchronize());
+  sdkStopTimer(&hTimer);
+  gpuTime = sdkGetTimerValue(&hTimer) / NUM_ITERATIONS;
+
+  // Both call and put is calculated
+  printf("Options count             : %i     \n", 2 * OPT_N);
+  printf("BlackScholesGPU() time    : %f msec\n", gpuTime);
+  printf("Effective memory bandwidth: %f GB/s\n",
+         ((double)(5 * OPT_N * sizeof(float)) * 1E-9) / (gpuTime * 1E-3));
+  printf("Gigaoptions per second    : %f     \n\n",
+         ((double)(2 * OPT_N) * 1E-9) / (gpuTime * 1E-3));
+
+  printf(
+      "BlackScholes, Throughput = %.4f GOptions/s, Time = %.5f s, Size = %u "
+      "options, NumDevsUsed = %u, Workgroup = %u\n",
+      (((double)(2.0 * OPT_N) * 1.0E-9) / (gpuTime * 1.0E-3)), gpuTime * 1e-3,
+      (2 * OPT_N), 1, 128);
+
+  printf("\nReading back GPU results...\n");
+  // Read back GPU results to compare them to CPU results
+  checkCudaErrors(cudaMemcpy(h_CallResultGPU, d_CallResult, OPT_SZ,
+                             cudaMemcpyDeviceToHost));
+  checkCudaErrors(
+      cudaMemcpy(h_PutResultGPU, d_PutResult, OPT_SZ, cudaMemcpyDeviceToHost));
+
+  printf("Checking the results...\n");
+  printf("...running CPU calculations.\n\n");
+  // Calculate options values on CPU
+  BlackScholesCPU(h_CallResultCPU, h_PutResultCPU, h_StockPrice, h_OptionStrike,
+                  h_OptionYears, RISKFREE, VOLATILITY, OPT_N);
+
+  printf("Comparing the results...\n");
+  // Calculate max absolute difference and L1 distance
+  // between CPU and GPU results
+  sum_delta = 0;
+  sum_ref = 0;
+  max_delta = 0;
+
+  for (i = 0; i < OPT_N; i++) {
+    ref = h_CallResultCPU[i];
+    delta = fabs(h_CallResultCPU[i] - h_CallResultGPU[i]);
+
+    if (delta > max_delta) {
+      max_delta = delta;
+    }
+
+    sum_delta += delta;
+    sum_ref += fabs(ref);
+  }
+
+  L1norm = sum_delta / sum_ref;
+  printf("L1 norm: %E\n", L1norm);
+  printf("Max absolute error: %E\n\n", max_delta);
+
+  printf("Shutting down...\n");
+  printf("...releasing GPU memory.\n");
+  checkCudaErrors(cudaFree(d_OptionYears));
+  checkCudaErrors(cudaFree(d_OptionStrike));
+  checkCudaErrors(cudaFree(d_StockPrice));
+  checkCudaErrors(cudaFree(d_PutResult));
+  checkCudaErrors(cudaFree(d_CallResult));
+
+  printf("...releasing CPU memory.\n");
+  free(h_OptionYears);
+  free(h_OptionStrike);
+  free(h_StockPrice);
+  free(h_PutResultGPU);
+  free(h_CallResultGPU);
+  free(h_PutResultCPU);
+  free(h_CallResultCPU);
+  sdkDeleteTimer(&hTimer);
+  printf("Shutdown done.\n");
+
+  printf("\n[BlackScholes] - Test Summary\n");
+
+  if (L1norm > 1e-6) {
+    printf("Test failed!\n");
+    exit(EXIT_FAILURE);
+  }
+
+  printf(
+      "\nNOTE: The CUDA Samples are not meant for performance measurements. "
+      "Results may vary when GPU Boost is enabled.\n\n");
+  printf("Test passed\n");
+  exit(EXIT_SUCCESS);
+}

demos/CUDA/BlackScholes/BlackScholes_gold.cpp

@@ -0,0 +1,86 @@
+/* Copyright (c) 2022, NVIDIA CORPORATION. All rights reserved.
+ *
+ * Redistribution and use in source and binary forms, with or without
+ * modification, are permitted provided that the following conditions
+ * are met:
+ *  * Redistributions of source code must retain the above copyright
+ *    notice, this list of conditions and the following disclaimer.
+ *  * Redistributions in binary form must reproduce the above copyright
+ *    notice, this list of conditions and the following disclaimer in the
+ *    documentation and/or other materials provided with the distribution.
+ *  * Neither the name of NVIDIA CORPORATION nor the names of its
+ *    contributors may be used to endorse or promote products derived
+ *    from this software without specific prior written permission.
+ *
+ * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS ``AS IS'' AND ANY
+ * EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+ * IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
+ * PURPOSE ARE DISCLAIMED.  IN NO EVENT SHALL THE COPYRIGHT OWNER OR
+ * CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
+ * EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
+ * PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
+ * PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY
+ * OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+ * (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+ * OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+ */
+
+#include <math.h>
+
+////////////////////////////////////////////////////////////////////////////////
+// Polynomial approximation of cumulative normal distribution function
+////////////////////////////////////////////////////////////////////////////////
+static double CND(double d) {
+  const double A1 = 0.31938153;
+  const double A2 = -0.356563782;
+  const double A3 = 1.781477937;
+  const double A4 = -1.821255978;
+  const double A5 = 1.330274429;
+  const double RSQRT2PI = 0.39894228040143267793994605993438;
+
+  double K = 1.0 / (1.0 + 0.2316419 * fabs(d));
+
+  double cnd = RSQRT2PI * exp(-0.5 * d * d) *
+               (K * (A1 + K * (A2 + K * (A3 + K * (A4 + K * A5)))));
+
+  if (d > 0) cnd = 1.0 - cnd;
+
+  return cnd;
+}
+
+////////////////////////////////////////////////////////////////////////////////
+// Black-Scholes formula for both call and put
+////////////////////////////////////////////////////////////////////////////////
+static void BlackScholesBodyCPU(float &callResult, float &putResult,
+                                float Sf,  // Stock price
+                                float Xf,  // Option strike
+                                float Tf,  // Option years
+                                float Rf,  // Riskless rate
+                                float Vf  // Volatility rate
+                                ) {
+  double S = Sf, X = Xf, T = Tf, R = Rf, V = Vf;
+
+  double sqrtT = sqrt(T);
+  double d1 = (log(S / X) + (R + 0.5 * V * V) * T) / (V * sqrtT);
+  double d2 = d1 - V * sqrtT;
+  double CNDD1 = CND(d1);
+  double CNDD2 = CND(d2);
+
+  // Calculate Call and Put simultaneously
+  double expRT = exp(-R * T);
+  callResult = (float)(S * CNDD1 - X * expRT * CNDD2);
+  putResult = (float)(X * expRT * (1.0 - CNDD2) - S * (1.0 - CNDD1));
+}
+
+////////////////////////////////////////////////////////////////////////////////
+// Process an array of optN options
+////////////////////////////////////////////////////////////////////////////////
+extern "C" void BlackScholesCPU(float *h_CallResult, float *h_PutResult,
+                                float *h_StockPrice, float *h_OptionStrike,
+                                float *h_OptionYears, float Riskfree,
+                                float Volatility, int optN) {
+  for (int opt = 0; opt < optN; opt++)
+    BlackScholesBodyCPU(h_CallResult[opt], h_PutResult[opt], h_StockPrice[opt],
+                        h_OptionStrike[opt], h_OptionYears[opt], Riskfree,
+                        Volatility);
+}