search for: blackscholes

Hello all! I would like to create a 3d plot, with the option price explained by the underlying price and time. Unfortunately, I can't quite get it to work. I would very much appreciate your help! Thanks, Anna # Black-Scholes Option Graph library(lattice) blackscholes <- function(s, k, r=.1, t=5, sigma=.9,call=TRUE) { #calculate call/put option d1 <- (log(s/k)+(r+sigma^2/2)*t)/(sigma*sqrt(t)) d2 <- d1 - sigma * sqrt(t) ifelse(call==TRUE,s*pnorm(d1) - k*exp(-r*t)*pnorm(d2),k*exp(-r*t) * pnorm(-d2) - s*pnorm(-d1)) } plotbs <...

From here: http://parsec.cs.princeton.edu It is open-source and redistributable, and I have added LICENSE.TXT files to all the pieces I want to merge. These are blackscholes, canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions. I will disable the tests by default on the initial merge and test thoroughly on Linux and MacOS before enabling them. May I please commit my changes directly to test-suite? Thanks, --Patrick -- If I'm not here, I...

On Tue, Jul 20, 2010 at 1:30 AM, Owen Anderson <resistor at mac.com> wrote: > Patrick, > > On Jul 20, 2010, at 1:18 AM, Patrick Simmons wrote: >> It is open-source and redistributable, and I have added LICENSE.TXT >> files to all the pieces I want to merge.  These are blackscholes, >> canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions.  I >> will disable the tests by default on the initial merge and test >> thoroughly on Linux and MacOS before enabling them.  May I please commit >> my changes directly to test-suite? Awesome! Can we...

Patrick, On Jul 20, 2010, at 1:18 AM, Patrick Simmons wrote: > It is open-source and redistributable, and I have added LICENSE.TXT > files to all the pieces I want to merge. These are blackscholes, > canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions. I > will disable the tests by default on the initial merge and test > thoroughly on Linux and MacOS before enabling them. May I please commit > my changes directly to test-suite? I'm not convinced that t...

...t; >>> >>> Patrick, >>> >>> On Jul 20, 2010, at 1:18 AM, Patrick Simmons wrote: >>> >>>> >>>> It is open-source and redistributable, and I have added LICENSE.TXT >>>> files to all the pieces I want to merge.  These are blackscholes, >>>> canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions.  I >>>> will disable the tests by default on the initial merge and test >>>> thoroughly on Linux and MacOS before enabling them.  May I please commit >>>> my changes directly...

...Anderson <resistor at mac.com> wrote: > >> Patrick, >> >> On Jul 20, 2010, at 1:18 AM, Patrick Simmons wrote: >> >>> It is open-source and redistributable, and I have added LICENSE.TXT >>> files to all the pieces I want to merge. These are blackscholes, >>> canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions. I >>> will disable the tests by default on the initial merge and test >>> thoroughly on Linux and MacOS before enabling them. May I please commit >>> my changes directly to test-suite? &...

...atrick, >>>> >>>> On Jul 20, 2010, at 1:18 AM, Patrick Simmons wrote: >>>> >>>> >>>>> It is open-source and redistributable, and I have added LICENSE.TXT >>>>> files to all the pieces I want to merge. These are blackscholes, >>>>> canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions. I >>>>> will disable the tests by default on the initial merge and test >>>>> thoroughly on Linux and MacOS before enabling them. May I please commit >>>>> my c...

...1109/CGO.2011.5764682 In contrast to Clover and pocl, we aimed at maximum performance before full support of the API (which simply requires more manpower than one PhD student). The driver was evaluated using benchmarks from the AMD APP SDK, e.g. Mandelbrot, NBody, FastWalshTransform, Histogram, BlackScholes, DCT, ... Our measurements show that our driver outperforms both Intel's and AMD's CPU driver for almost all of the benchmarks. We plan to release both the vectorization library as well as the OpenCL driver under a BSD-style license, but there is still significant work to be done in ter...

...> In contrast to Clover and pocl, we aimed at maximum performance before > full support of the API (which simply requires more manpower than one > PhD student). > The driver was evaluated using benchmarks from the AMD APP SDK, e.g. > Mandelbrot, NBody, FastWalshTransform, Histogram, BlackScholes, DCT, > ... > Our measurements show that our driver outperforms both Intel's and > AMD's > CPU driver for almost all of the benchmarks. > > We plan to release both the vectorization library as well as the OpenCL > driver under a BSD-style license, but there is still si...

...t to Clover and pocl, we aimed at maximum performance before >> full support of the API (which simply requires more manpower than one >> PhD student). >> The driver was evaluated using benchmarks from the AMD APP SDK, e.g. >> Mandelbrot, NBody, FastWalshTransform, Histogram, BlackScholes, DCT, >> ... >> Our measurements show that our driver outperforms both Intel's and >> AMD's >> CPU driver for almost all of the benchmarks. >> >> We plan to release both the vectorization library as well as the OpenCL >> driver under a BSD-style lic...

Hi Tim, Thanks for the patch. I had a few questions though - just to make sure that I get the problem correctly. Currently, here is your flow, as I understand it : x86 llvm-gcc binary llc -march=sparc gcc cross/sparc source ---------------------> .bc ------------------> .s -----------------> sparc executable. Is this correct? Or did you manage to build the

Hi everyone, Following my earlier posting (http://lists.cs.uiuc.edu/pipermail/llvmdev/2010-November/036292.html), I sent another message to the list, but it seems like it didn't get through :-( I managed to fix the problem in my earlier post and compile a cross-llvm-gcc. Then I discovered I was having problems with a setting a variable based on a ?: condition. Anyway, I've

Do we have a list of these open-source LLVM-based OpenCL projects somewhere? Off the top of my head, we have: libclc: http://www.pcc.me.uk/~peter/libclc/ pocl: https://launchpad.net/pocl clover: http://cgit.freedesktop.org/~steckdenis/clover/ (I think that all of these have BSD- or MIT-style licenses). Are there any others? -Hal On Wed, 2011-10-19 at 14:47 +0100, Peter Collingbourne wrote:

Hi, This is to announce the availability of libclc, an open source, BSD licensed implementation of the library requirements of the OpenCL C programming language, as specified by the OpenCL 1.1 Specification. libclc is intended to be used with Clang's OpenCL frontend. libclc website: http://www.pcc.me.uk/~peter/libclc/ libclc is designed to be portable and extensible. To this end, it