MCMultiAssetEuropeanHestonEngine

#include "xf_fintech/mc_engine.hpp"

template <
    typename DT = double,
    int ASSETS = 5,
    int UN = 1,
    DiscreType discretization = kDTQuadraticExponential
    >
void MCMultiAssetEuropeanHestonEngine (
    DT underlying [ASSETS],
    DT riskFreeRate,
    DT sigma [ASSETS],
    DT v0 [ASSETS],
    DT theta [ASSETS],
    DT kappa [ASSETS],
    DT corrMatrix [ASSETS *2+1][ASSETS],
    DT rho [ASSETS],
    DT dividendYield [ASSETS],
    bool optionType,
    DT strike,
    DT timeLength,
    ap_uint <32> seed [UN][2],
    DT* outputs,
    DT requiredTolerance = 0.02,
    ap_uint <32> requiredSamples = 0,
    ap_uint <32> timeSteps = 100,
    ap_uint <32> maxSamples = 134217727
    )

Multiple Asset European Option Pricing Engine using Monte Carlo Method based on Heston valuation model.

Parameters:

DT	supported data type including double and float, which decides the precision of output, default double-precision data type.
ASSETS	number of underlying assets supported.
UN	number of Monte Carlo Module in parallel, which affects the latency and resources utilization, default 10.
DiscreType	methods which is used to discrete the stochastic process. Currently, five discrete types, including kDTPartialTruncation, kDTFullTruncation, kDTReflection, kDTQuadraticExponential and kDTQuadraticExponentialMartingale, are supported, default kDTQuadraticExponential.
underlying	the initial price of underlying asset at time 0.
riskFreeRate	risk-free interest rate.
sigma	the volatility of volatility
v0	initial volatility of stock
theta	the long variance, as t tends to infinity, the expected value of vt tends to theta.
kappa	the rate at which vt tends to theta.
corrMatrix	the LU decomposition result of correlation matrix of all stochastic variables, only none-zero elements are stored.
rho	the correlation coefficient between price and variance.
dividendYield	the constant dividend rate for continuous dividends.
optionType	option type. 1: call option, 0: put option.
strike	the strike price also known as exericse price, which is settled in the contract.
timeLength	time length from now to expiry date.
seed	the seeds used to initialize RNG.
outputs	pricing result array of this engine.
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, 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.

MCMultiAssetEuropeanHestonEngine - 2023.1 English

Vitis Libraries