/*
 * Copyright 1993-2007 NVIDIA Corporation.  All rights reserved.
 *
 * NOTICE TO USER:
 *
 * This source code is subject to NVIDIA ownership rights under U.S. and
 * international Copyright laws.  Users and possessors of this source code
 * are hereby granted a nonexclusive, royalty-free license to use this code
 * in individual and commercial software.
 *
 * NVIDIA MAKES NO REPRESENTATION ABOUT THE SUITABILITY OF THIS SOURCE
 * CODE FOR ANY PURPOSE.  IT IS PROVIDED "AS IS" WITHOUT EXPRESS OR
 * IMPLIED WARRANTY OF ANY KIND.  NVIDIA DISCLAIMS ALL WARRANTIES WITH
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 * MERCHANTABILITY, NONINFRINGEMENT, AND FITNESS FOR A PARTICULAR PURPOSE.
 * IN NO EVENT SHALL NVIDIA BE LIABLE FOR ANY SPECIAL, INDIRECT, INCIDENTAL,
 * OR CONSEQUENTIAL DAMAGES, OR ANY DAMAGES WHATSOEVER RESULTING FROM LOSS
 * OF USE, DATA OR PROFITS,  WHETHER IN AN ACTION OF CONTRACT, NEGLIGENCE
 * OR OTHER TORTIOUS ACTION,  ARISING OUT OF OR IN CONNECTION WITH THE USE
 * OR PERFORMANCE OF THIS SOURCE CODE.
 *
 * U.S. Government End Users.   This source code is a "commercial item" as
 * that term is defined at  48 C.F.R. 2.101 (OCT 1995), consisting  of
 * "commercial computer  software"  and "commercial computer software
 * documentation" as such terms are  used in 48 C.F.R. 12.212 (SEPT 1995)
 * and is provided to the U.S. Government only as a commercial end item.
 * Consistent with 48 C.F.R.12.212 and 48 C.F.R. 227.7202-1 through
 * 227.7202-4 (JUNE 1995), all U.S. Government End Users acquire the
 * source code with only those rights set forth herein.
 *
 * Any use of this source code in individual and commercial software must
 * include, in the user documentation and internal comments to the code,
 * the above Disclaimer and U.S. Government End Users Notice.
 */



#include <math.h>



///////////////////////////////////////////////////////////////////////////////
// Polynomial approximation of cumulative normal distribution function
///////////////////////////////////////////////////////////////////////////////
static double CND(double d){
    const double       A1 = 0.31938153;
    const double       A2 = -0.356563782;
    const double       A3 = 1.781477937;
    const double       A4 = -1.821255978;
    const double       A5 = 1.330274429;
    const double RSQRT2PI = 0.39894228040143267793994605993438;

    double
        K = 1.0 / (1.0 + 0.2316419 * fabs(d));

    double
        cnd = RSQRT2PI * exp(- 0.5 * d * d) * 
        (K * (A1 + K * (A2 + K * (A3 + K * (A4 + K * A5)))));

    if(d > 0)
        cnd = 1.0 - cnd;

    return cnd;
}


///////////////////////////////////////////////////////////////////////////////
// Black-Scholes formula for both call and put
///////////////////////////////////////////////////////////////////////////////
static void BlackScholesBodyCPU(
    float& callResult,
    float& putResult,
    float Sf, //Stock price
    float Xf, //Option strike
    float Tf, //Option years
    float Rf, //Riskless rate
    float Vf  //Volatility rate
){
    double S = Sf, X = Xf, T = Tf, R = Rf, V = Vf;

    double sqrtT = sqrt(T);
    double    d1 = (log(S / X) + (R + 0.5 * V * V) * T) / (V * sqrtT);
    double    d2 = d1 - V * sqrtT;
    double CNDD1 = CND(d1);
    double CNDD2 = CND(d2);

    //Calculate Call and Put simultaneously
    double expRT = exp(- R * T);
    callResult   = (float)(S * CNDD1 - X * expRT * CNDD2);
    putResult    = (float)(X * expRT * (1.0 - CNDD2) - S * (1.0 - CNDD1));
}


////////////////////////////////////////////////////////////////////////////////
// Process an array of optN options
////////////////////////////////////////////////////////////////////////////////
extern "C" void BlackScholesCPU(
    float *h_CallResult,
    float *h_PutResult,
    float *h_StockPrice,
    float *h_OptionStrike,
    float *h_OptionYears,
    float Riskfree,
    float Volatility,
    int optN
){
    for(int opt = 0; opt < optN; opt++)
        BlackScholesBodyCPU(
            h_CallResult[opt],
            h_PutResult[opt],
            h_StockPrice[opt],
            h_OptionStrike[opt],
            h_OptionYears[opt],
            Riskfree,
            Volatility
        );
}