exprtk_bsm_benchmark.cpp

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/*
 **************************************************************
 *         C++ Mathematical Expression Toolkit Library        *
 *                                                            *
 * ExprTk Black Scholes Merton Benchmark                      *
 * Author: Arash Partow (1999-2024)                           *
 * URL: https://www.partow.net/programming/exprtk/index.html  *
 *                                                            *
 * Copyright notice:                                          *
 * Free use of the Mathematical Expression Toolkit Library is *
 * permitted under the guidelines and in accordance with the  *
 * most current version of the MIT License.                   *
 * https://www.opensource.org/licenses/MIT                    *
 * SPDX-License-Identifier: MIT                               *
 *                                                            *
 **************************************************************
*/
 
 
#include <cstdio>
#include <string>
 
#include "exprtk.hpp"
 
 
static const std::size_t rounds = 20000000;
 
template <typename T>
struct bsm_parameters
{
   T s; // Stock / Underlying / Base price
   T k; // Strike price
   T v; // Volatility
   T t; // Years to maturity
   T r; // Risk free rate
};
 
const bsm_parameters<double> bsm_list[] =
   {
      { 60.11, 65.11, 0.31, 0.25, 0.08 },
      { 60.22, 65.22, 0.32, 0.25, 0.08 },
      { 60.33, 65.33, 0.33, 0.25, 0.08 },
      { 60.44, 65.44, 0.34, 0.25, 0.08 },
      { 60.55, 65.55, 0.35, 0.25, 0.08 },
      { 60.66, 65.66, 0.36, 0.25, 0.08 },
      { 60.77, 65.77, 0.37, 0.25, 0.08 },
      { 60.88, 65.88, 0.38, 0.25, 0.08 },
      { 60.11, 65.11, 0.31, 0.25, 0.08 },
      { 60.22, 65.22, 0.32, 0.25, 0.08 },
      { 60.33, 65.33, 0.33, 0.25, 0.08 },
      { 60.44, 65.44, 0.34, 0.25, 0.08 },
      { 60.55, 65.55, 0.35, 0.25, 0.08 },
      { 60.66, 65.66, 0.36, 0.25, 0.08 },
      { 60.77, 65.77, 0.37, 0.25, 0.08 },
      { 60.88, 65.88, 0.38, 0.25, 0.08 }
   };
 
const std::size_t bsm_list_size = sizeof (bsm_list) / sizeof(bsm_parameters<double>);
 
template <typename T>
void black_scholes_merton_model()
{
   typedef exprtk::symbol_table<T> symbol_table_t;
   typedef exprtk::expression<T>   expression_t;
   typedef exprtk::parser<T>       parser_t;
 
   const std::string bsm_model_program =
      " var d1 := (log(s / k) + (r + v^2 / 2) * t) / (v * sqrt(t)); "
      " var d2 := d1 - v * sqrt(t);                                 "
      "                                                             "
      " if (callput_flag == 'call')                                 "
      "    s * ncdf(d1) - k * e^(-r * t) * ncdf(d2);                "
      " else if (callput_flag == 'put')                             "
      "    k * e^(-r * t) * ncdf(-d2) - s * ncdf(-d1);              "
      "                                                             ";
 
   const std::string bsm_model_program_opt1 =
      " var v_sqrtt := (v * sqrt(t));                               "
      " var d1   := (log(s / k) + (r + v * v / 2) * t) / v_sqrtt;   "
      " var d2   := d1 - v_sqrtt;                                   "
      " var kert := k * exp(-r * t);                                "
      "                                                             "
      " if (callput_flag == 'call')                                 "
      "    s * ncdf(d1) - kert * ncdf(d2);                          "
      " else if (callput_flag == 'put')                             "
      "    kert * ncdf(-d2) - s * ncdf(-d1);                        "
      "                                                             ";
 
   const std::string bsm_model_program_opt2 =
      " var v_sqrtt := (v * sqrt(t));                               "
      " var d1   := (log(s / k) + (r + v * v / 2) * t) / v_sqrtt;   "
      " var d2   := d1 - v_sqrtt;                                   "
      "                                                             "
      " if (callput_flag == 'call')                                 "
      "    s * ncdf(d1) - (k * exp(-r * t)) * ncdf(d2);             "
      " else if (callput_flag == 'put')                             "
      "    (k * exp(-r * t)) * ncdf(-d2) - s * ncdf(-d1);           "
      "                                                             ";
 
   T s = T(0);
   T k = T(0);
   T t = T(0);
   T r = T(0);
   T v = T(0);
 
   std::string callput_flag;
 
   static const T e = exprtk::details::numeric::constant::e;
 
   symbol_table_t symbol_table;
   symbol_table.add_variable("s",s);
   symbol_table.add_variable("k",k);
   symbol_table.add_variable("t",t);
   symbol_table.add_variable("r",r);
   symbol_table.add_variable("v",v);
   symbol_table.add_constant("e",e);
   symbol_table.add_stringvar("callput_flag",callput_flag);
 
   expression_t bsm_expression     (symbol_table);
   expression_t bsm_expression_opt1(symbol_table);
   expression_t bsm_expression_opt2(symbol_table);
 
   parser_t parser;
 
   parser.compile(bsm_model_program     , bsm_expression     );
   parser.compile(bsm_model_program_opt1, bsm_expression_opt1);
   parser.compile(bsm_model_program_opt2, bsm_expression_opt2);
 
   {
      exprtk::timer timer;
      timer.start();
 
      T total = T(0);
 
      for (std::size_t i = 0; i < rounds; ++i)
      {
         const bsm_parameters<T>& params = bsm_list[i % bsm_list_size];
 
         s = params.s;
         k = params.k;
         t = params.t;
         r = params.r;
         v = params.v;
 
         callput_flag = "call";
         total += bsm_expression.value();
 
         callput_flag = "put";
         total += bsm_expression.value();
      }
 
      timer.stop();
 
      printf("[exprtk0] Total: %16.5f\tTime:%8.3fsec\tRate:%16.3fbsm/sec\n",
             total,
             timer.time(),
             (2.0 * rounds) / timer.time());
   }
 
   {
      exprtk::timer timer;
      timer.start();
 
      T total = T(0);
 
      for (std::size_t i = 0; i < rounds; ++i)
      {
         const bsm_parameters<T>& params = bsm_list[i % bsm_list_size];
 
         s = params.s;
         k = params.k;
         t = params.t;
         r = params.r;
         v = params.v;
 
         callput_flag = "call";
         total += bsm_expression_opt1.value();
 
         callput_flag = "put";
         total += bsm_expression_opt1.value();
      }
 
      timer.stop();
 
      printf("[exprtk1] Total: %16.5f\tTime:%8.3fsec\tRate:%16.3fbsm/sec\n",
             total,
             timer.time(),
             (2.0 * rounds) / timer.time());
   }
 
   {
      exprtk::timer timer;
      timer.start();
 
      T total = T(0);
 
      for (std::size_t i = 0; i < rounds; ++i)
      {
         const bsm_parameters<T>& params = bsm_list[i % bsm_list_size];
 
         s = params.s;
         k = params.k;
         t = params.t;
         r = params.r;
         v = params.v;
 
         callput_flag = "call";
         total += bsm_expression_opt2.value();
 
         callput_flag = "put";
         total += bsm_expression_opt2.value();
      }
 
      timer.stop();
 
      printf("[exprtk2] Total: %16.5f\tTime:%8.3fsec\tRate:%16.3fbsm/sec\n",
             total,
             timer.time(),
             (2.0 * rounds) / timer.time());
   }
}
 
template <typename T>
inline T bsm_model(const std::string& callput_flag, const T s, const T k, const T t, const T r, const T v)
{
   using namespace std;
 
   const T d1 = (std::log(s / k) + (r + (v * v) / 2) * t) / (v * sqrt(t));
   const T d2 = d1 - v * sqrt(t);
 
   if (callput_flag == "call")
      return  s * exprtk::details::numeric::ncdf(d1) - k * exp(-r * t) * exprtk::details::numeric::ncdf(d2);
   else if (callput_flag == "put")
      return k * exp(-r * t) * exprtk::details::numeric::ncdf(-d2) - s * exprtk::details::numeric::ncdf(-d1);
   else
      return T(0);
}
 
template <typename T>
void bsm_native()
{
   T s = T(0);
   T k = T(0);
   T t = T(0);
   T r = T(0);
   T v = T(0);
 
   std::string callput_flag;
 
   exprtk::timer timer;
   timer.start();
 
   T total = T(0);
 
   for (std::size_t i = 0; i < rounds; ++i)
   {
      const bsm_parameters<T>& params = bsm_list[i % bsm_list_size];
 
      s = params.s;
      k = params.k;
      t = params.t;
      r = params.r;
      v = params.v;
 
      callput_flag = "call";
      total += bsm_model(callput_flag, s, k, t, r, v);
 
      callput_flag = "put";
      total += bsm_model(callput_flag, s, k, t, r, v);
   }
 
   timer.stop();
 
   printf("[native ] Total: %16.5f\tTime:%8.3fsec\tRate:%16.3fbsm/sec\n",
          total,
          timer.time(),
          (2.0 * rounds) / timer.time());
}
 
int main()
{
   black_scholes_merton_model<double>();
   bsm_native<double>();
   return 0;
}
 
/*
   Build command:
   c++ -pedantic-errors -Wall -Wextra -Werror -flto -march=native -O3 -DNDEBUG -o exprtk_bsm_benchmark exprtk_bsm_benchmark.cpp -L/usr/lib -lstdc++ -lm
*/