| bs | ! # BSPricer
! Scalar and Vectorised version of:
!
! * Black scholes
! * Greeks
! * Binomial
! * Implied vol
! * Implied Interest rates
! * Strike from delta
!
! This library depends on the wide library which provides the crucial math functions exp/log/pow/cdf in vectorised versions. This makes the difference of over 50%
! compared to the serial versions of this function.
!
! Somewhat surprisingly on the (admittedly) small sample of PCs I've run it on with FMA/AVX instructions, the code generated is a touch faster than the equivalent with Intel's ISPC. That's probably due to instruction scheduling and cache differences.
!
! Compared to any other open source version of black scholes pricing I've found online, I believe this is the fastest CPU version. GPU versions can be faster depending on the circumstances
!
! On an i5 7300HQ I'm seeing 100,000,000 prices calculated per second. YMMV
!
! Compared to a serialised version of around 1800ms
|