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Options Pricing ISPC example

This is the options ISPC benchmark:

This program implements both the Black-Scholes and Binomial options pricing models.

Usage

cargo run --release --features=ispc -- ${SIZE} ${ALGORITHM}

Results

./benchmark.sh

Black-Scholes

On a dual core AVX1 i5 @1.8 GHz:

800 x 800 time [ms]
Rust
speedup vs scalar [-]
scalar 998 1.0x
simd 367 2.7x
par_simd 246 4.1x
ispc 360 2.8x
ispc+tasks 248 4.0x

par_simd and ispc+tasks algorithms are on par.

Binomial put

On a dual core AVX1 i5 @1.8 GHz:

800 x 800 time [ms]
Rust
speedup vs scalar [-]
scalar 2057 1.0x
simd 651 3.2x
par_simd 279 4.3x
ispc 805 7.4x
ispc+tasks 404 5.1x

par_simd algorithm is ~1.4x faster than ispc+tasks.