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Modify black scholes example to use internal RNG from library instead of std::rand #418

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Modify black scholes example to use internal RNG from library instead of std::rand #418

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27 changes: 11 additions & 16 deletions example/black_scholes.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -15,6 +15,8 @@
#include <boost/compute/system.hpp>
#include <boost/compute/algorithm/copy_n.hpp>
#include <boost/compute/container/vector.hpp>
#include <boost/compute/random/default_random_engine.hpp>
#include <boost/compute/random/uniform_real_distribution.hpp>
#include <boost/compute/utility/source.hpp>

namespace compute = boost::compute;
Expand Down Expand Up @@ -43,29 +45,22 @@ int main()
compute::command_queue queue(context, gpu);
std::cout << "device: " << gpu.name() << std::endl;

// initialize option data on host
std::vector<float> stock_price_data(N);
std::vector<float> option_strike_data(N);
std::vector<float> option_years_data(N);

std::srand(5347);
for(int i = 0; i < N; i++){
stock_price_data[i] = rand_float(5.0f, 30.0f);
option_strike_data[i] = rand_float(1.0f, 100.0f);
option_years_data[i] = rand_float(0.25f, 10.0f);
}

// create memory buffers on the device
compute::vector<float> call_result(N, context);
compute::vector<float> put_result(N, context);
compute::vector<float> stock_price(N, context);
compute::vector<float> option_strike(N, context);
compute::vector<float> option_years(N, context);

// copy initial values to the device
compute::copy_n(stock_price_data.begin(), N, stock_price.begin(), queue);
compute::copy_n(option_strike_data.begin(), N, option_strike.begin(), queue);
compute::copy_n(option_years_data.begin(), N, option_years.begin(), queue);
// generate option data
compute::default_random_engine engine(queue, 5347);
compute::uniform_real_distribution<float> dist_stock_price(5.0f, 30.0f);
compute::uniform_real_distribution<float> dist_option_strike(1.0f, 100.0f);
compute::uniform_real_distribution<float> dist_option_years(0.25f, 10.0f);

dist_stock_price.generate(stock_price.begin(), stock_price.end(), engine, queue);
dist_option_strike.generate(option_strike.begin(), option_strike.end(), engine, queue);
dist_option_years.generate(option_years.begin(), option_years.end(), engine, queue);

// source code for black-scholes program
const char source[] = BOOST_COMPUTE_STRINGIZE_SOURCE(
Expand Down