Alternating direction implicit time integrations for finite difference acoustic wave propagation: Parallelization and convergence

This work studies the parallelization and empirical convergence of two finite difference acoustic wave propagation methods on 2-D rectangular grids, that use the same alternating direction implicit (ADI) time integration. This ADI integration is based on a second-order implicit Crank-Nicolson temporal discretization that is factored out by a Peaceman-Rachford decomposition of the time and space equation terms. In space, these methods highly diverge and apply different fourth-order accurate differentiation techniques. The first method uses compact finite differences (CFD) on nodal meshes that requires solving tridiagonal linear systems along each grid line, while the second one employs staggered-grid mimetic finite differences (MFD). For each method, we implement three parallel versions: (i) a multithreaded code in Octave, (ii) a C++ code that exploits OpenMP loop parallelization, and (iii) a CUDA kernel for a NVIDIA GTX 960 Maxwell card. In these implementations, the main source of parallelism is the simultaneous ADI updating of each wave field matrix, either column-wise or row-wise, according to the differentiation direction. In our numerical applications, the highest performances are displayed by the CFD and MFD CUDA codes that achieve speedups of 7.21x and 15.81x, respectively, relative to their C++ sequential counterparts with optimal compilation flags. Our test cases also allow to assess the numerical convergence and accuracy of both methods. In a problem with exact harmonic solution, both methods exhibit convergence rates close to 4 and the MDF accuracy is practically higher. Alternatively, both convergences decay to second order on smooth problems with severe gradients at boundaries, and the MDF rates degrade in highly-resolved grids leading to larger inaccuracies. This transition of empirical convergences agrees with the nominal truncation errors in space and time.Comment: 20 pages, 5 figure

Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model

We present a graphics processing unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a partial differential equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX) interest rate hybrids, namely power reverse dual currency (PRDC) swaps with Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew, which results in a time-dependent parabolic PDE in three spatial dimensions. Finite difference methods on uniform grids are used for the spatial discretization of the PDE, and the alternating direction implicit (ADI) technique is employed for the time discretization. We then exploit the parallel architectural features of GPUs together with the Compute Unified Device Architecture framework to design and implement an efficient parallel algorithm for pricing PRDC swaps. Over each period of the tenor structure, we divide the pricing of a Bermudan cancelable PRDC swap into two independent pricing subproblems, each of which can efficiently be solved on a GPU via a parallelization of the ADI timestepping technique. Numerical results indicate that GPUs can provide significant increase in performance over CPUs when pricing PRDC swaps. An analysis of the impact of the FX skew on such derivatives is provided