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Changing black scholes to float and improving performance #840

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Merged
cliffburdick merged 1 commit into from
Jan 24, 2025
Merged

Changing black scholes to float and improving performance #840

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14 changes: 7 additions & 7 deletions examples/black_scholes.cu
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Original file line number Diff line number Diff line change
Expand Up @@ -72,11 +72,11 @@ public:
auto r = r_(idx);

auto VsqrtT = V * sqrt(T);
auto d1 = (log(S / K) + (r + 0.5 * V * V) * T) / VsqrtT ;
auto d1 = (log(S / K) + (r + 0.5f * V * V) * T) / VsqrtT ;
auto d2 = d1 - VsqrtT;
auto cdf_d1 = normcdf(d1);
auto cdf_d2 = normcdf(d2);
auto expRT = exp(-1 * r * T);
auto cdf_d1 = normcdff(d1); // Note in a custom op we call the CUDA math function directly
auto cdf_d2 = normcdff(d2);
auto expRT = exp(-1.f * r * T);

out_(idx) = S * cdf_d1 - K * expRT * cdf_d2;
}
Expand All @@ -96,11 +96,11 @@ void compute_black_scholes_matx(tensor_t<T1,1>& K,
cudaExecutor& exec)
{
auto VsqrtT = V * sqrt(T);
auto d1 = (log(S / K) + (r + 0.5 * V * V) * T) / VsqrtT ;
auto d1 = (log(S / K) + (r + 0.5f * V * V) * T) / VsqrtT ;
auto d2 = d1 - VsqrtT;
auto cdf_d1 = normcdf(d1);
auto cdf_d2 = normcdf(d2);
auto expRT = exp(-1 * r * T);
auto expRT = exp(-1.f * r * T);

(output = S * cdf_d1 - K * expRT * cdf_d2).run(exec);
}
Expand All @@ -109,7 +109,7 @@ int main([[maybe_unused]] int argc, [[maybe_unused]] char **argv)
{
MATX_ENTER_HANDLER();

using dtype = double;
using dtype = float;

index_t input_size = 100000000;
constexpr uint32_t num_iterations = 1;
Expand Down