MCBarrierNoBiasEngine - 2023.1 English

#include "xf_fintech/mc_engine.hpp"

template <
    typename DT = double,
    int UN = 10
    >
void MCBarrierNoBiasEngine (
    DT underlying,
    DT volatility,
    DT dividendYield,
    DT riskFreeRate,
    DT timeLength,
    DT barrier,
    DT strike,
    ap_uint <2> barrierType,
    bool optionType,
    ap_uint <32>* seed,
    DT* output,
    DT rebate = 0,
    DT requiredTolerance = 0.02,
    unsigned int requiredSamples = 1024,
    unsigned int timeSteps = 100,
    unsigned int maxSamples = 134217727
    )

Barrier Option Pricing Engine using Monte Carlo Simulation. Using brownian bridge to generate the non-biased result.

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.
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.
barrier	single barrier value.
strike	the strike price also known as exericse price, which is settled in the contract.
barrierType	barrier type including: DownIn(0), DownOut(1), UpIn(2), UpOut(3).
optionType	option type. 1: put option, 0: call option.
seed	array to store the inital seeds of RNG.
output	output array.
rebate	rebate value which is paid when the option is not triggered, default 0.
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.