seq_stock_pricing.cpp

/*
 * Copyright (c) 2019 alpha group, CS department, University of Torino.
 * 
 * This file is part of pico 
 * (see https://github.com/alpha-unito/pico).
 * 
 * This program is free software: you can redistribute it and/or modify
 * it under the terms of the GNU Lesser General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 * 
 * This program is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU Lesser General Public License for more details.
 * 
 * You should have received a copy of the GNU Lesser General Public License
 * along with this program. If not, see <http://www.gnu.org/licenses/>.
 */

// This code implements a pipeline for batch processing of stocks.
// It first computes a price for each option from a text file,
// then it extracts the maximum price for each stock name.

#include <algorithm>
#include <cassert>
#include <chrono>
#include <fstream>
#include <iomanip>
#include <iostream>
#include <sstream>
#include <string>
#include <unordered_map>

#include "black_scholes.hpp"
#include "defs.h"

int main(int argc, char** argv) {
  /* parse command line */
  if (argc < 3) {
    std::cerr << "Usage: " << argv[0];
    std::cerr << " <input-file> <output-file>\n";
    return -1;
  }
  std::string in_fname = argv[1], out_fname = argv[2];

  /* read options from the input file */
  std::ifstream in_file(in_fname);
  assert(in_file.is_open());
  std::chrono::seconds wt(0);
  std::unordered_map<std::string, StockAndPrice> red;
  while (in_file.good()) {
    std::string opt_line;
    std::getline(in_file, opt_line, '\n');

    /*
     * map + reduce
     */
    auto t0 = std::chrono::high_resolution_clock::now();

    std::string name;
    OptionData opt;
    char otype;
    std::stringstream ins(opt_line);

    /* read stock name */
    ins >> name;

    /* read stock option data */
    ins >> opt.s >> opt.strike >> opt.r >> opt.divq;
    ins >> opt.v >> opt.t >> otype >> opt.divs >> opt.DGrefval;
    opt.OptionType = (otype == 'P');

    StockPrice res = black_scholes(opt);

    if (red.find(name) != red.end())
      red[name] = std::max(StockAndPrice(name, res), red[name]);
    else
      red[name] = StockAndPrice(name, res);

    auto t1 = std::chrono::high_resolution_clock::now();
    wt += std::chrono::duration_cast<std::chrono::seconds>(t0 - t1);
  }

  /* print results */
  std::ofstream out_file(out_fname);
  for (auto item : red) out_file << item.second.to_string() << std::endl;

  std::cerr << "map = " << wt.count() << " s" << std::endl;

  return 0;
}