Monte Carlo Black-Scholes Asian Options Pricing Design Example

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Please attach the *kernel_name*.log and quartus_sh_compile.log files from the compilation folder.

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It seems I ran out of DSPs :(. The DSPs got over utilized at 162%. Apparently, the example was specifically targeted for the D8 chip as opposed to the AB chip. Can I remove the unrolling of the loops to minimize the DSP utilization? Here is a snippet of the code:

__kernel

__attribute__((reqd_work_group_size(NUM_THREADS,1,1)))

void black_scholes( int m, int n,

float drift,

float vol,

float S_0,

float K)

{

// running statistics -- use double precision for the accumulator

double sum = 0.0;

// loop over all simulations

for(int path=0;path<m;path++) {

float S = S_0;

float arithmetic_average = 0.0f; // We're not including the initial price in the average

for (int t_i=0; t_i<n/VECTOR; t_i++) {

float U[VECTOR], Z[VECTOR];

vec_float_ty U0 = read_channel_intel(RANDOM_STREAM_0);

vec_float_ty U1 = read_channel_intel(RANDOM_STREAM_1);

vec_float_ty U2 = read_channel_intel(RANDOM_STREAM_2);

vec_float_ty U3 = read_channel_intel(RANDOM_STREAM_3);

#pragma unroll vector_div4

for (int i=0; i<VECTOR_DIV4; i++) {

U=u0;

U[i+1*VECTOR_DIV4]=U1;

u[i+2*vector_div4]=u2;

U[i+3*VECTOR_DIV4]=U3;

}

#pragma unroll vector_div2

for (int i=0; i<vector_div2; i++) {

float2 z = box_muller(u[2*i], u[2*i+1]);

z[2*i] = z.x;

z[2*i+1] = z.y;

}

#pragma unroll vector

for (int i=0; i<vector; i++) {

// convert uniform distribution to normal

float gauss_rnd = z;

// Simulate the path movement using geometric brownian motion

S *= drift * exp(vol * gauss_rnd);

arithmetic_average += S;

}

}

It took close to 24-hours to compile the example on a 16-core 3.3Ghz, 128Gig machine! :o

Thanks,

QG