The framework of Monte Carlo Simulations is as follows. The top module Monte Carlo Simulation will call the Monte Carlo Module (MCM) multiple times until it reaches the required samples number or required tolerance.
Every MCM generates a batch of paths. The number of MCM (M) is a template parameter, the maximum of which is related to the FPGA resource. Each MCM includes an RNG module, a path generator module, a path pricer module, and an accumulator. All of these modules are in dataflow region and connected with hls::stream.
RNG module generates the normal random numbers. Currently, only generating pseudo-random number is supported. The detailed implementation of RNG inside may refer to the RNG section.
Path Generator uses the random number to calculate the price paths of underlying asset. Currently, Black-Scholes and Heston valuation model are supported.
Path pricer will exercise the option based on the price paths of underlying asset and calculate the payoff, discount the payoff to time zero for option value. Different option has associated implementation for path pricer.
Accumulator sums together the option value and square of option value on all the paths. These sums are prepared for calculation of average and variance. Because the accumulation of floating point data type cannot achieve II = 1, the input is dispatched to 16 sub-accumulator and sum the result of 16 sub-accumulator at last.
