U
    hâËd·  ã                   @   s�   d dl Zd dlZd dlmZmZmZ d dlmZm	Z	 dZ
dZdZdZdZd	Zd
ZdZdd„ Zdd„ Zdd„ ZG dd„ de	ƒZedkrŒe ¡  dS )é    N)ÚcudaÚdoubleÚvoid)ÚunittestÚCUDATestCaseg{®Gáz”?g333333Ó?gìø’:¿pÔ?g[2¨åðÑÖ¿gh^_ï€ü?gÐxòNÝ#ý¿gC)ôÖÍHõ?gQ6Ô3EˆÙ?c                 C   sj   dddt  | ¡   }tt  d|  |  ¡ |t|t|t|t|t          }t  	| dkd| |¡S ©Nç      ð?gqq¦Í?g      à¿r   )
ÚnpÚabsÚRSQRT2PIÚexpÚA1ÚA2ÚA3ÚA4ÚA5Úwhere©ÚdÚKZret_val© r   úb/home/sam/Atlas/atlas_env/lib/python3.8/site-packages/numba/cuda/tests/cudapy/test_blackscholes.pyÚcnd   s
    &ÿr   c                 C   s¸   |}|}|}	|}
|}t  |	¡}t  || ¡|
d| |  |	  ||  }|||  }t|ƒ}t|ƒ}t  |
 |	 ¡}|| || |  | d d …< || d|  |d|   |d d …< d S )Nç      à?r   )r	   ÚsqrtÚlogr   r   )Ú
callResultÚ	putResultÚ
stockPriceÚoptionStrikeÚoptionYearsZRiskfreeZ
VolatilityÚSÚXÚTÚRÚVÚsqrtTÚd1Úd2Úcndd1Úcndd2ÚexpRTr   r   r   Úblack_scholes   s    
*r,   c                 C   s   d|  | | |  S )Nr   r   )Zrand_varÚlowÚhighr   r   r   Ú	randfloat+   s    r/   c                   @   s   e Zd Zdd„ ZdS )ÚTestBlackScholesc              
      sü  d}d}t tj |¡ddƒ}t tj |¡ddƒ}t tj |¡ddƒ}t |¡}t |¡ }t |¡}t |¡ }	t|ƒD ]}
t|||||ttƒ qxt	j
ttƒd	d	d
�dd„ ƒ‰ t	 
ttd d … td d … td d … td d … td d … ttƒ¡‡ fdd„ƒ}d}tt t|ƒ|d  ¡ƒdf}t	 ¡ }t	 ||¡}t	 |	|¡}t	 ||¡}t	 ||¡}t	 ||¡}t|ƒD ]$}
||||f |||||ttƒ �qj| ||¡ | |	|¡ | ¡  t || ¡}| ¡ t |¡ ¡  }| ¡ }|  |dk ¡ |  |dk ¡ d S )Ni�  é   g      @g      >@r   g      Y@g      Ð?g      $@T)ZdeviceÚinlinec                 S   sh   dddt  | ¡   }tt  d|  |  ¡ |t|t|t|t|t          }| dkrdd| }|S r   )	ÚmathÚfabsr   r   r   r   r   r   r   r   r   r   r   Úcnd_cudaC   s    &ÿz4TestBlackScholes.test_blackscholes.<locals>.cnd_cudac                    sì   t jjt jjt jj  }||jd kr*d S t || ¡}t || ||  ¡|d| |  ||   ||  }	|	||  }
ˆ |	ƒ}ˆ |
ƒ}t 	d| ||  ¡}|| | || | |  | |< || | d|  || d|   ||< d S )Nr   r   g      ð¿r   )
r   Z	threadIdxÚxZblockIdxZblockDimÚshaper3   r   r   r   )r   r   r!   r"   r#   r$   r%   Úir&   r'   r(   r)   r*   r+   ©r5   r   r   Úblack_scholes_cudaL   s    ,ÿ z>TestBlackScholes.test_blackscholes.<locals>.black_scholes_cuda)i   é   r   r;   g‚vIhÂ%<=)r/   r	   ÚrandomZzerosZonesÚranger,   ÚRISKFREEÚ
VOLATILITYr   Zjitr   r   Úintr3   ÚceilÚfloatÚstreamZ	to_deviceZcopy_to_hostZsynchronizer
   ÚsumÚmaxÚ
assertTrue)ÚselfZOPT_NZ
iterationsr   r   r    ZcallResultNumpyZputResultNumpyZcallResultNumbaZputResultNumbar8   r:   ZblockdimZgriddimrC   Zd_callResultZd_putResultZd_stockPriceZd_optionStrikeZd_optionYearsÚdeltaZL1normZmax_abs_errr   r9   r   Útest_blackscholes0   sb    

   ÿ
8 ÿ     þz"TestBlackScholes.test_blackscholesN)Ú__name__Ú
__module__Ú__qualname__rI   r   r   r   r   r0   /   s   r0   Ú__main__)Únumpyr	   r3   Znumbar   r   r   Znumba.cuda.testingr   r   r>   r?   r   r   r   r   r   r   r   r,   r/   r0   rJ   Úmainr   r   r   r   Ú<module>   s"   H