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Unlocking the compute power of Intel(R) Graphics Technology to boost the performance of a Black Scholes program

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Author: Christopher Palmer

Introduction


This article demonstrates how to improve the performance of a Black Scholes program using Intel® Cilk™ Plus programming model on the CPU and Intel® Graphics Technology. Black Scholes is a mathematical model which can be used to calculate the price of European options over time. This financial formula is used for a multitude of options which can be calculated concurrently due to their independence from each other.  As such, the Black Scholes Algorithm inherently demonstrates data parallelism and this characteristic makes it a perfect candidate to be offloaded to Intel® Graphics Technology. The compute offload feature to Intel® Graphics Technology is a new addition to the Intel® C++ Compiler 15.0 Beta Update 2 and above which allows the programmer to offload compute intensive and highly data parallel sections of their application to Intel® Graphics Technology. This compute offload feature will enable C/C++ developers to unveil the compute power of Intel® Graphics Technology with relative 
simplicity. This ease of porting is achieved using Intel® Cilk™ Plus programming model. The full article is available here.

This article applies to:
    Products: Intel® System Studio, Intel® INDE
    Host OS/Platform: Windows (IA-32 or Intel® 64); Linux (Intel® 64)
    Target OS/platform: Windows (IA-32 or Intel® 64); Ubuntu 12.04 (Intel® 64); SLES 11 SP3 (Intel® 64)


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