I just downloaded the AMD streams SDK.
I see 2 things from the binomial option pricing SDK:
1. Kernels call other kernels inside. This is interesting. And the user-guide too says its possible. Just great!
2. There is a separate GPU kernel for different time-steps(4,8,12 etc.). This is just ridiculous. Are not there better way to do this binomial thing on ATI?
3. More time-steps usually result in correct results and are desirable. 200 time-steps is normal. Even 1000 time-steps would be good ( though I dont have practical knowledge on how bankers use it). More time-steps make this discrete tree close to a continuous model like black scholes and will yield correct results. So, if I were to run option pricing for different time-steps, will I need to write kernels aftr kernels??? There must b a better way guys....
We have developed option pricing models using CUDA and it is just a breeze. The SDK sample is just plain discouraging. A better one would be good!