BlackScholes benchmark

Benchmark computing Black Scholes formula using different technologies.

Prerequisites

icc, if compiling native benchmarks. Intel Distribution for Python* 2019 Gold benchmarks used icc 17.0.1.
mkl, if compiling native benchmarks with MKL.

Setup

Linux & Mac

Run . activate-conda.sh to install miniconda on Linux and Mac
Run make to build and run native benchmarks
- Run make mkl to build and run MKL version
- Run make nomkl to build and run non-MKL version
- Run make black_scholes_mkl to only build MKL version
- Run make black_scholes to only build non-MKL version

Windows

Download & install Miniconda3 and MSYS2
Run bash from MSYS2 and activate miniconda environment
Run ./install-conda-envs.sh to install Python environments

Usage

Native benchmarks

Non-MKL version: Run the compiled binary ./black_scholes.
MKL version: Run the compiled binary ./black_scholes_mkl.

Python benchmarks

usage: {bs_erf_*.py|run.sh} [-h]
                       [--steps STEPS] [--step STEP] [--chunk CHUNK]
                       [--size SIZE] [--repeat REPEAT] [--dask DASK]
                       [--text TEXT]


optional arguments:
  -h, --help       show this help message and exit
  --steps STEPS    Number of steps
  --step STEP      Factor for each step
  --chunk CHUNK    Chunk size for Dask
  --size SIZE      Initial data size
  --repeat REPEAT  Iterations inside measured region
  --dask DASK      Dask scheduler: sq, mt, mp
  --text TEXT      Print with each result

IntelPython/BlackScholes_bench

BlackScholes benchmark

Prerequisites

Setup

Linux & Mac

Windows

Usage

Native benchmarks

Python benchmarks

See also