MCAmericanEnginePreSamples - 2023.2 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.2 English
#include "xf_fintech/mc_engine.hpp"
template <
    typename DT = double,
    int UN = 2
    >
void MCAmericanEnginePreSamples (
    DT underlying,
    DT volatility,
    DT riskFreeRate,
    DT dividendYield,
    DT timeLength,
    DT strike,
    bool optionType,
    ap_uint <32>* seed,
    ap_uint <8*sizeof (DT)*UN>* priceOut,
    ap_uint <8*sizeof (DT)>* matOut,
    unsigned int calibSamples = 4096,
    unsigned int timeSteps = 100
    )

American Option Pricing Engine using Monte Carlo Method. PreSample kernel: this kernel samples some amount of path and store them to external memory.

Parameters:

DT supported data type including double and float data type, which decides the precision of result, default double-precision data type.
UN number of Monte Carlo Module in parallel (in path dimension), which affects the latency and resources utilization, default 2.
underlying intial value of underlying asset at time 0.
volatility fixed volatility of underlying asset.
dividendYield the constant dividend rate for continuous dividends.
riskFreeRate risk-free interest rate.
timeLength the time length of contract from start to end.
strike the strike price also known as exericse price, which is settled in the contract.
optionType option type. 1: put option, 0: call option.
seed array to store the inital seed for each RNG.
priceOut price data output, the data can be stored to HBM or DDR
matOut matrix output, the data can be stored to HBM or DDR
calibSamples sample numbers that used in calibration, default 4096.
timeSteps the number of discrete steps from 0 to T, T is the expiry time, default 100.