high-performance-computing

Heston model has accurate density approximations for European option prices, which are of interest.

The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts and calls approximations. Tests should be in heston_approximation_test.py in the same folder.

Bug summary
There is evidence that sub_group::get_group_id() does not return the same value as threadIdx.x / warpSize (assuming 1D kernel), as expected on CUDA. We should check the implementation of this function. Our implementation of this function performs bit manipulation magic, presumably the optimization went to far...

To Reproduce
Compare sub_group{}.get_group_id() or `sub

Describe your setup

Operating system (e.g. Linux distribution and version): _A