[parsec-users] Output of Blackscholes correct ?

Olivier Temam olivier.temam at inria.fr
Wed May 25 04:49:44 EDT 2011


Hi Yungang,

On Tue, May 24, 2011 at 4:11 AM, Yungang Bao <ybao at cs.princeton.edu> wrote:

> 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.
>

  Thanks. I have tried and it did not change the error rate. But then, I
forgot to mention I was using parsec-1.0. I downloaded parsec-2.1, tried
again (with float, not double) on the small test input set and there is no
error.
  I have been trying to confirm on large input sets since yesterday, but I
failed so far to download the input sets (Simulation Inputs); about 20
download attempts so far, and all downloads stopping after a while (any
other way to access them ?). I will keep trying, but then, it may be more
that something was wrong in the 1.0 version. I noticed the error criterion
has been reduced from 1e-5 in 1.0 to 1e-4 in 2.1, but the error was anyway
much more significant in 1.0, so I don't believe that's the reason.

Take care,
Olivier

P.S: Good to hear from you !


>
> 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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