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Vectorized Black Scholes Code from Intel

Intel Corporation, Overview of Vector Mathematics in Intel Math Kernel Library, 2012, here.  I assume these are the Moscow Intel folks. We can back out the number cycles per Black Scholes element on a single core  it’s probably 20 to 30 percent better than the 2007 cycle counts  on the XLC/MASS  POWER6  (it was like 170 cycles all in).

void BlackScholesFormula( int nopt, tfloat r, tfloat sig,tfloat s0[], tfloat x[], tfloat t[], tfloat vcall[], tfloat vput[] )

{

vmlSetMode( VML_EP );

DIV(s0, x, Div); LOG(Div, Log);

for ( j = 0; j < nopt; j++ ) {

tr [j] = t[j] * r;

tss[j] = t[j] * sig_2;

tss05[j] = tss[j] * HALF;

mtr[j] = -tr[j];

}

EXP(mtr, Exp); INVSQRT(tss, InvSqrt);

for ( j = 0; j < nopt; j++ ) {

w1[j] =(Log[j] + tr[j] + tss05[j]) * InvSqrt[j] *INV_SQRT2;

w2[j] =(Log[j] + tr[j] – tss05[j]) * InvSqrt[j] *INV_SQRT2;

}

ERF(w1, w1); ERF(w2, w2);

for ( j = 0; j < nopt; j++ ) {

w1[j] = HALF + HALF * w1[j];

w2[j] = HALF + HALF * w2[j];

vcall[j] = s0[j] * w1[j] – x[j] * Exp[j] * w2[j];

vput[j] = vcall[j] – s0[j] + x[j] * Exp[j];

}

}

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1 Comment

  1. […] Iguana, Vectorized Black Scholes Code, here.  I forgot that Intel published their Black Scholes code and we talked about it a little  last […]

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