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Mathematica
8: CUDA and OpenCL Support
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Software Development
GPU Enhanced Financial Computation
Built-in examples carry out various financial computations using CUDA.
In[1]:=
X
numberOfOptions = 1024; spotPrices = RandomReal[{25.0, 35.0}, numberOfOptions]; strikePrices = RandomReal[{20.0, 40.0}, numberOfOptions]; expiration = RandomReal[{0.1, 10.0}, numberOfOptions]; interest = 0.08; volatility = RandomReal[{0.10, 0.50}, numberOfOptions]; dividend = RandomReal[{0.2, 0.06}, numberOfOptions]; CUDAFinancialDerivative[{"AsianArithmetic", "Call"}, { "StrikePrice" -> strikePrices, "Expiration" -> expiration}, { "CurrentPrice" -> spotPrices, "InterestRate" -> interest, "Volatility" -> volatility, "Dividend" -> dividend}] // Short
Out[1]//Short=