cfB76Engine - 2023.2 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.2 English
#include "xf_fintech/cf_b76.hpp"
template <typename DT>
void cfB76Engine (
    DT f,
    DT v,
    DT r,
    DT t,
    DT k,
    DT q,
    unsigned int call,
    DT* price,
    DT* delta,
    DT* gamma,
    DT* vega,
    DT* theta,
    DT* rho
    )

Single option price plus associated Greeks.

Produces a single price and associated Greeks for the given input parameters. This function is optimized to be synthesized by the HLS compiler and as such uses the hls namespace for the maths functions. In addition, the code is structured to calculate common elements (in parallel where possible) and reuse as appropriate.

Parameters:

DT Data Type used for this function
f underlying forward price
v volatility (decimal form)
r risk-free rate (decimal form)
t time to maturity
k strike price
q continuous dividend yield rate
call control whether call or put is calculated
price call/put premium
delta model sensitivity
gamma model sensitivity
vega model sensitivity
theta model sensitivity
rho model sensitivity