FdBsLvSolver - 2023.2 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.2 English
#include "xf_fintech/fd_bs_local_volatility_solver.hpp"
template <
    typename DT,
    typename DT_EQ_TYPE,
    unsigned int N,
    unsigned int M
    >
void FdBsLvSolver (
    ap_uint <512>* xGrid,
    ap_uint <512>* tGrid,
    ap_uint <512>* sigma,
    ap_uint <512>* rate,
    ap_uint <512>* initialCondition,
    float theta,
    DT boundary_lower,
    DT boundary_upper,
    unsigned int tSteps,
    ap_uint <512>* solution
    )

Entry point to Fd1D Solver.

Parameters:

DT Data Type used for this function
DT_EQ_TYPE Integer data type of same width as DT
N Discretized spatial grid size
M Discretized temporal grid maximum possible size
xGrid Pointer to spatial grid
tGrid Pointer to temporal grid
sigma Pointer to 2D volatility array sigma(x,t)
rate Pointer to interest rate vector
boundary Pointer to boundary vector
boundary Pointer to initial condition
tGrid Pointer to temporal grid
theta Controls explicit/implicit/Crank-Nicholson
tSteps Size of tGrid
solution Final solution vector