:Merge branch 'master' of bitbucket.org:bohrium/benchpress

benchmarks/README.rst

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+Welcome to the benchpress / benchmark repos.
+============================================
+
+.. image:: https://readthedocs.org/projects/benchpress/badge/?version=latest
+   :target: https://readthedocs.org/projects/benchpress/?badge=latest
+   :alt: Documentation Status
+

benchmarks/black_scholes/cpp11_armadillo/.gitignore

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+bin/*

benchmarks/black_scholes/cpp11_armadillo/Makefile

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+include ../Makefile.common
+
+all: benchmarks
+
+clean:
+	rm -rf *.o *~
+	find bin/ -type f -name "*" -exec rm  {} \;
+
+benchmarks: $(BENCHMARKS)
+
+#
+# Benchmarks
+#
+black_scholes: src/black_scholes.cpp
+	$(CXX) $< -o bin/$@ $(CXXFLAGS) $(INCLUDE) $(LIBS) $(EXTRAS)
+
+mc: src/mc.cpp
+	$(CXX) $< -o bin/$@ $(CXXFLAGS) $(INCLUDE) $(LIBS) $(EXTRAS)
+
+synth: src/synth.cpp
+	$(CXX) $< -o bin/$@ $(CXXFLAGS) $(INCLUDE) $(LIBS) $(EXTRAS)
+

benchmarks/black_scholes/cpp11_armadillo/src/black_scholes.cpp

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+/*
+This file is part of Bohrium and Copyright (c) 2012 the Bohrium team:
+http://bohrium.bitbucket.org
+
+Bohrium is free software: you can redistribute it and/or modify
+it under the terms of the GNU Lesser General Public License as 
+published by the Free Software Foundation, either version 3 
+of the License, or (at your option) any later version.
+
+Bohrium is distributed in the hope that it will be useful,
+but WITHOUT ANY WARRANTY; without even the implied warranty of
+MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+GNU General Public License for more details.
+
+You should have received a copy of the 
+GNU Lesser General Public License along with bohrium. 
+
+If not, see <http://www.gnu.org/licenses/>.
+*/
+#include <iostream>
+#include <armadillo>
+#include "util/timing.hpp"
+#include "util/argparse.hpp"
+
+using namespace std;
+using namespace arma;
+using namespace argparse;
+
+template <typename T>
+Col<T> cnd(Col<T> x)
+{
+    size_t samples = x.n_elem;
+    Col<T> l(samples), k(samples), w(samples);
+    T a1 = 0.31938153,
+      a2 =-0.356563782,
+      a3 = 1.781477937,
+      a4 =-1.821255978,
+      a5 = 1.330274429,
+      pp = 2.5066282746310002; // sqrt(2.0*PI)
+
+    l = abs(x);
+    k = 1.0 / (1.0 + 0.2316419 * l);
+
+    w = 1.0 - 1.0 / pp * exp(-1.0*l%l/2.0) % \
+        (a1*k + \
+         a2*(pow(k,(T)2)) + \
+         a3*(pow(k,(T)3)) + \
+         a4*(pow(k,(T)4)) + \
+         a5*(pow(k,(T)5)));
+
+    uvec mask = x < 0.0;
+
+    return w % (-mask) + (1.0-w) % mask;
+}
+
+template <typename T>
+T* pricing(size_t samples, size_t iterations, char flag, T x, T d_t, T r, T v)
+{
+    T* p    = (T*)malloc(sizeof(T)*samples);    // Intermediate results
+    T t     = d_t;                              // Initial delta
+
+    Col<T> d1(samples), d2(samples), res(samples);
+    Col<T> s = randu<Col<T> >(samples)*4.0 +58.0;      // Model between 58-62
+
+    for(size_t i=0; i<iterations; i++) {
+        d1 = (log(s/x) + (r+v*v/2.0)*t) / (v*sqrt(t));
+        d2 = d1-v*sqrt(t);
+        if (flag == 'c') {
+            res = s % cnd<T>(d1) -x * exp(-r*t) * cnd<T>(d2);
+        } else {
+            res = x * exp(-r*t) * cnd<T>(-1.0*d2) - s*cnd<T>(-1.0*d1);
+        }
+
+        t += d_t;                               // Increment delta
+        p[i] = sum(res) / (T)samples;           // Result from timestep
+    }
+
+    return p;
+}
+
+int main(int argc, char* argv[])
+{
+    const char usage[] = "usage: ./black_scholes --size=1000*10 [--verbose]";
+    if (2>argc) {
+        cout << usage << endl;
+        return 1;
+    }
+
+    arguments_t args;                   // Parse command-line
+    if (!parse_args(argc, argv, args)) {
+        cout << "Err: Invalid argument(s)." << endl;
+        cout << usage << endl;
+        return 1;
+    }
+    if (2 > args.size.size()) {
+        cout << "Err: Not enough arguments." << endl;
+        cout << usage << endl;
+        return 1;
+    }
+    if (2 < args.size.size()) {
+        cout << "Err: Too many arguments." << endl;
+        cout << usage << endl;
+        return 1;
+    }
+
+    size_t start = sample_time();
+    double* prices = pricing(           // Do the computations...
+        args.size[0], args.size[1],
+        'c', 65.0, 1.0 / 365.0,
+        0.08, 0.3
+    );
+    size_t end = sample_time();
+                                        // Output timing
+    cout << "{elapsed-time: "<< (end-start)/1000000.0 <<"";          
+    if (args.verbose) {                 // and values.
+        cout << ", \"output\": [";
+        for(size_t i=0; i<args.size[1]; i++) {
+            cout << prices[i];
+            if (args.size[1]-1!=i) {
+                cout << ", ";
+            }
+        }
+        cout << "]" << endl;
+    }
+    cout << "}" << endl;
+
+    free(prices);                       // Cleanup
+    return 0;
+}
+

benchmarks/black_scholes/cpp11_blitz/.gitignore

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+bin/*

benchmarks/black_scholes/cpp11_blitz/Makefile

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+include ../Makefile.common
+
+BENCHMARKS=mc
+
+all: benchmarks
+
+clean:
+	rm -rf *.o *~
+	find bin/ -type f -name "*" -exec rm  {} \;
+
+benchmarks: $(BENCHMARKS)
+
+#
+# Benchmarks
+#
+black_scholes: src/black_scholes.cpp
+	echo $(BENCHMARKS)
+	$(CXX) $< -o bin/$@ $(CXXFLAGS) $(INCLUDE) $(LIBS) $(EXTRAS)
+
+mc: src/mc.cpp
+	$(CXX) $< -o bin/$@ $(CXXFLAGS) $(INCLUDE) $(LIBS) $(EXTRAS)
+
+synth: src/synth.cpp
+	$(CXX) $< -o bin/$@ $(CXXFLAGS) $(INCLUDE) $(LIBS) $(EXTRAS)
+

benchmarks/black_scholes/cpp11_blitz/src/black_scholes.cpp

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+#include <blitz/array.h>
+#include <random/uniform.h>
+#include "util/argparse.hpp"
+#include "util/timing.hpp"
+
+using namespace blitz;
+using namespace ranlib;
+using namespace argparse;
+
+template <typename T>
+Array<T, 1> cnd(Array<T, 1> & x)
+{
+    int samples = x.numElements();
+    Array<T, 1> l(samples), k(samples), w(samples), res(samples);
+    Array<bool, 1> mask(samples);
+    T a1 = 0.31938153,
+      a2 =-0.356563782,
+      a3 = 1.781477937,
+      a4 =-1.821255978,
+      a5 = 1.330274429,
+      pp = 2.5066282746310002; // sqrt(2.0*PI)
+
+    l = abs(x);
+    k = 1.0 / (1.0 + 0.2316419 * l);
+    w = 1.0 - 1.0 / pp * exp(-1.0*l*l/2.0) * \
+        (a1*k + \
+         a2*(pow(k,(T)2)) + \
+         a3*(pow(k,(T)3)) + \
+         a4*(pow(k,(T)4)) + \
+         a5*(pow(k,(T)5)));
+
+    mask    = x < 0.0;
+    res     = (w * cast<T>(!mask) + (1.0-w)* cast<T>(mask));
+    return res;
+}
+
+template <typename T>
+T* pricing(size_t samples, size_t iterations, char flag, T x, T d_t, T r, T v)
+{
+    Array<T, 1> d1(samples), d2(samples), res(samples);
+    T* p    = (T*)malloc(sizeof(T)*samples);    // Intermediate results
+    T t     = d_t;                              // Initial delta
+
+    Array<T, 1> s(samples);                     // Initial uniform sampling
+    Uniform<T> rand;                            // values between 58-62
+    rand.seed((unsigned int)time(0));
+    s = rand.random() *4.0 +58.0;
+
+    for(size_t i=0; i<iterations; i++) {
+        d1 = (log(s/x) + (r+v*v/2.0)*t) / (v*sqrt(t));
+        d2 = d1-v*sqrt(t);
+        if (flag == 'c') {
+            res = s * cnd(d1) - x * exp(-r * t) * cnd(d2);
+        } else {
+            Array<T, 1> tmp1(samples), tmp2(samples);
+            tmp1 = -1.0*d2;
+            tmp2 = -1.0*d1;
+
+            res = x * exp(-r*t) * cnd(tmp1) - s*cnd(tmp2);
+        }
+        t += d_t;                               // Increment delta
+        p[i] = sum(res) / (T)samples;           // Result from timestep
+    }
+
+    return p;
+}
+
+//FLOP count: 2*s+i*(s*8+2*s*23) where s is samples and i is iterations
+
+int main(int argc, char* argv[])
+{
+    const char usage[] = "usage: ./black_scholes --size=1000*10 [--verbose]";
+    if (2>argc) {
+        cout << usage << endl;
+        return 1;
+    }
+
+    arguments_t args;                   // Parse command-line
+    if (!parse_args(argc, argv, args)) {
+        cout << "Err: Invalid argument(s)." << endl;
+        cout << usage << endl;
+        return 1;
+    }
+    if (2 > args.size.size()) {
+        cout << "Err: Not enough arguments." << endl;
+        cout << usage << endl;
+        return 1;
+    }
+    if (2 < args.size.size()) {
+        cout << "Err: Too many arguments." << endl;
+        cout << usage << endl;
+        return 1;
+    }
+
+    size_t start = sample_time();
+    double* prices = pricing(           // Do the computations...
+        args.size[0], args.size[1],
+        'c', 65.0, 1.0 / 365.0,
+        0.08, 0.3
+    );
+    size_t end = sample_time();
+                                        // Output timing
+    cout << "{elapsed-time: "<< (end-start)/1000000.0 <<"";
+    if (args.verbose) {                 // and values.
+        cout << ", \"output\": [";
+        for(size_t i=0; i<args.size[1]; i++) {
+            cout << prices[i];
+            if (args.size[1]-1!=i) {
+                cout << ", ";
+            }
+        }
+        cout << "]" << endl;
+    }
+    cout << "}" << endl;
+
+    free(prices);                       // Cleanup
+    return 0;
+}
+
+