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111 lines
3.8 KiB
Diff
111 lines
3.8 KiB
Diff
*** /home/charlie/Projects/benchmarks/parsec2.1-unmodified/pkgs/apps/swaptions/src/HJM_SimPath_Forward_Blocking.cpp 2008-11-11 15:23:28.000000000 -0500
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--- HJM_SimPath_Forward_Blocking.cpp 2015-03-23 12:37:56.687945058 -0400
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***************
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*** 62,69 ****
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for(int l=0;l<=iFactors-1;++l){
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! for(int b=0; b<BLOCKSIZE; b++){
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! for (int j=1;j<=iN-1;++j){
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pdZ[l][BLOCKSIZE*j + b]= CumNormalInv(randZ[l][BLOCKSIZE*j + b]); /* 18% of the total executition time */
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}
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}
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--- 62,69 ----
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for(int l=0;l<=iFactors-1;++l){
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! for (int j=1;j<=iN-1;++j){
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! for(int b=0; b<BLOCKSIZE; b++){
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pdZ[l][BLOCKSIZE*j + b]= CumNormalInv(randZ[l][BLOCKSIZE*j + b]); /* 18% of the total executition time */
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}
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}
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***************
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*** 99,122 ****
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// t=0 forward curve stored iN first row of ppdHJMPath
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// At time step 0: insert expected drift
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// rest reset to 0
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! for(int b=0; b<BLOCKSIZE; b++){
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for(j=0;j<=iN-1;j++){
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ppdHJMPath[0][BLOCKSIZE*j + b] = pdForward[j];
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for(i=1;i<=iN-1;++i)
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{ ppdHJMPath[i][BLOCKSIZE*j + b]=0; } //initializing HJMPath to zero
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}
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! }
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// -----------------------------------------------------
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// =====================================================
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// sequentially generating random numbers
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!
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! for(int b=0; b<BLOCKSIZE; b++){
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! for(int s=0; s<1; s++){
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! for (j=1;j<=iN-1;++j){
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! for (l=0;l<=iFactors-1;++l){
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//compute random number in exact same sequence
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randZ[l][BLOCKSIZE*j + b + s] = RanUnif(lRndSeed); /* 10% of the total executition time */
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}
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--- 99,136 ----
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// t=0 forward curve stored iN first row of ppdHJMPath
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// At time step 0: insert expected drift
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// rest reset to 0
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! /*for(int b=0; b<BLOCKSIZE; b++){
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for(j=0;j<=iN-1;j++){
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ppdHJMPath[0][BLOCKSIZE*j + b] = pdForward[j];
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for(i=1;i<=iN-1;++i)
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{ ppdHJMPath[i][BLOCKSIZE*j + b]=0; } //initializing HJMPath to zero
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}
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! }*/
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! for(j=0;j<=iN-1;j++) {
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! for(int b=0; b<BLOCKSIZE; b++) {
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! ppdHJMPath[0][BLOCKSIZE*j + b] = pdForward[j];
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! }
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! }
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!
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! for(i=1;i<=iN-1;++i) {
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! memset(ppdHJMPath[i], 0, BLOCKSIZE*iN*sizeof(FTYPE));
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! //for(j=0;j<=iN-1;j++) {
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! //memset(&ppdHJMPath[i][BLOCKSIZE*j], BLOCKSIZE, sizeof(FTYPE));
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! //for(int b=0; b<BLOCKSIZE; b++) {
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! // ppdHJMPath[i][BLOCKSIZE*j + b]=0;
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! //}
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! //}
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! }
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// -----------------------------------------------------
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// =====================================================
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// sequentially generating random numbers
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! for (l=0;l<=iFactors-1;++l){
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! for (j=1;j<=iN-1;++j){
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! for(int b=0; b<BLOCKSIZE; b++){
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! for(int s=0; s<1; s++){
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//compute random number in exact same sequence
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randZ[l][BLOCKSIZE*j + b + s] = RanUnif(lRndSeed); /* 10% of the total executition time */
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}
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***************
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*** 141,150 ****
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// =====================================================
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// Generation of HJM Path1
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! for(int b=0; b<BLOCKSIZE; b++){ // b is the blocks
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! for (j=1;j<=iN-1;++j) {// j is the timestep
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! for (l=0;l<=iN-(j+1);++l){ // l is the future steps
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dTotalShock = 0;
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for (i=0;i<=iFactors-1;++i){// i steps through the stochastic factors
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--- 155,165 ----
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// =====================================================
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// Generation of HJM Path1
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!
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! for (j=1;j<=iN-1;++j) {// j is the timestep
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! for (l=0;l<=iN-(j+1);++l){ // l is the future steps
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! for(int b=0; b<BLOCKSIZE; b++){ // b is the blocks
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dTotalShock = 0;
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for (i=0;i<=iFactors-1;++i){// i steps through the stochastic factors
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