[parsec-users] Output of Blackscholes correct ?

Yungang Bao ybao at CS.Princeton.EDU
Mon May 23 22:06:49 EDT 2011


Hi Olivier,

The errors result from the float precision problem. You can change "fptype" (defined in blackscholes.c:42) from float to double to let blackscholes use double-precisioin. Then the errors can be eliminated. 

Best Regards,
Yungang

----- Original Message -----
From: "Olivier Temam" <olivier.temam at inria.fr>
To: parsec-users at lists.cs.princeton.edu
Sent: Monday, May 23, 2011 12:09:05 PM
Subject: [parsec-users] Output of Blackscholes correct ?


Hi, 


I am looking into the output of Blackscholes because I need to compare this algorithm against another algorithm performing similar option pricing predictions (and then compare their performance/implementation). 
In order to see how good the current implementation of Blackscholes was, I #define ERR_CHK and I was surprised with the very large number of errors (99.99%) as defined by the test, later on in the code ("fabs(priceDelta) >= 1e-5"). Assuming the current implementation is correct, what parameters should be changed in order to get a reasonable amount of errors (and thus decent outputs) ? 

Thanks in advance, 
Olivier 


P.S: The commands I used (I tried with various inputs): 

bin/parsecmgmt -a build -p blackscholes -c gcc-serial 
bin/parsecmgmt -a run -p blackscholes -i simsmall -c gcc-serial 


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