MCAsianGeometricAPEngine - 2023.1 English

#include "xf_fintech/mc_engine.hpp"

template <
    typename DT = double,
    int UN = 16
    >
void MCAsianGeometricAPEngine (
    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
    )

Asian Arithmetic Average Price Engine using Monte Carlo Method Based on Black-Scholes Model. The settlement price of the underlying asset at expiry time is the geomertic average of asset price during the option lifetime.

Parameters:

DT	Supported data type including double and float, which decides the precision of output.
UN	The number of Monte Carlo Module in parallel, which affects the latency and resources utilization.
underlying	The initial price of underlying asset.
volatility	The market’s price volatility.
dividendYield	The dividend yield is the company’s total annual dividend payments divided by its market capitalization, or the dividend per share, divided by the price per share.
riskFreeRate	The risk-free interest rate is the rate of return of a hypothetical investment with no risk of financial loss, over a given period of time.
timeLength	The given period of time.
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 of seed to initialize RNG.
output	Output array.
requiredTolerance	The tolerance required. If requiredSamples is not set, simulation will not stop, unless the requiredTolerance is reached, default 0.02.
requiredSamples	The samples number required. When reaching the required number, simulation will stop, default 1024.
timeSteps	Number of interval, default 100.
maxSamples	The maximum sample number. When reaching it, the simulation will stop, default 2147483648.