mcSimulation - 2023.1 English

#include "xf_fintech/mc_simulation.hpp"

template <
    typename DT,
    typename RNG,
    typename PathGeneratorT,
    typename PathPricerT,
    typename RNGSeqT,
    int UN,
    int VariateNum,
    int SampNum
    >
DT mcSimulation (
    ap_uint <16> timeSteps,
    ap_uint <27> maxSamples,
    ap_uint <27> requiredSamples,
    DT requiredTolerance,
    PathGeneratorT pathGenInst [UN][1],
    PathPricerT pathPriInst [UN][1],
    RNGSeqT rngSeqInst [UN][1]
    )

Monte Carlo Framework implementation.

Parameters:

DT	supported data type including double and float data type, which decides the precision of result, default double-precision data type.
RNG	random number generator type.
PathGeneratorT	path generator type which simulates the dynamics of the asset price.
PathPricerT	path pricer type which calcualtes the option price based on asset price.
RNGSeqT	random number sequence generator type.
UN	number of Monte Carlo Module in parallel, which affects the latency and resources utilization.
VariateNum	number of variate.
SampNum	the total samples are divided into several steps, SampNum is the number for each step.
timeSteps	number of the steps for each path.
maxSamples	the maximum sample number. When reaching it, the simulation will stop.
requiredTolerance	the tolerance required. If requiredSamples is not set, when reaching the required tolerance, simulation will stop.
requiredSamples	the samples number required. When reaching the required number, simulation will stop.
pathGenInst	instance of path generator.
pathPriInst	instance of path pricer.
rngSeqInst	instance of random number sequence.