Implementation - 2023.2 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.2 English

The path pricer for Cliquet option fetches the lognormal S and calculate the payoff at each reset dates. Because the path generator generates the \(logS\) instead of \(S\), the divider in path pricer could be optimized by subtraction.

Note

Because the calendar date for each month is different, the time interval between each resets date is different. FPGA is not efficient to calculate the calendar dates, so the customer needs to input them through the resetDate array.

The detailed procedure of Monte Carlo Simulation is as follows:

  • For \(i\) = 1 to samplesRequired
    • For \(j\) = 1 to \(N\)
      • generate a normal random number;
      • simulate the log of asset price \(\ln S^i_j\);
      • calculate the payoff based on above formula and discount to time zero for option price.

Then sum up all the prices for the mean value.