MCCliquetEngine - 2023.2 English

#include "xf_fintech/mc_engine.hpp"

template <
    typename DT = double,
    int UN = 10
    >
void MCCliquetEngine (
    DT underlying,
    DT volatility,
    DT dividendYield,
    DT riskFreeRate,
    DT timeLength,
    DT strike,
    bool optionType,
    DT* resetDates,
    ap_uint <32>* seed,
    DT* output,
    DT requiredTolerance = 0.02,
    unsigned int timeSteps = 100,
    unsigned int requiredSamples = 1024,
    unsigned int maxSamples = 134217727
    )

Cliquet Option Pricing Engine using Monte Carlo Simulation. The B-S model used to describe the dynamics of undelying asset.

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, which affects the latency and resources utilization, default 10.
underlying	intial value of underlying asset.
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.
resetDates	array for reset dates, such as Semiannual, Quarterly.
seed	array to store the inital seeds of RNG.
output	output array.
requiredTolerance	the tolerance required. If requiredSamples is not set, when reaching the required tolerance, simulation will stop. default 0.02.
requiredSamples	the samples number required. When reaching the required number, simulation will stop, default 1024.
timeSteps	the number of discrete steps from 0 to T, T is the expiry time, default 100.
maxSamples	the maximum sample number. When reaching it, the simulation will stop, default 2,147,483,648.