MCEuropeanEngine - 2023.1 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.1 English
#include "xf_fintech/mc_engine.hpp"
template <
    typename DT = double,
    int UN = 10,
    bool Antithetic = false
    >
void MCEuropeanEngine (
    DT underlying,
    DT volatility,
    DT dividendYield,
    DT riskFreeRate,
    DT timeLength,
    DT strike,
    bool optionType,
    ap_uint <32>* seed,
    DT* output,
    DT requiredTolerance = 0.02,
    unsigned int requiredSamples = 1024,
    unsigned int timeSteps = 100,
    unsigned int maxSamples = 134217727
    )

European Option Pricing Engine using Monte Carlo Method. This implementation uses Black-Scholes valuation model.

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.
Antithetic antithetic is used for variance reduction, default this feature is disabled.
underlying intial value of underlying asset at time 0.
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.
seed array to store the inital seed for each 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.