MCHullWhiteCapFloorEngine - 2023.1 English

#include "xf_fintech/mc_engine.hpp"

template <
    typename DT = double,
    int UN = 1
    >
void MCHullWhiteCapFloorEngine (
    DT nomial,
    DT initRate,
    DT strike,
    bool isCap,
    DT singlePeriod,
    DT alpha,
    DT sigma,
    ap_uint <32>* seed,
    DT* output,
    DT requiredTolerance = 0.02,
    unsigned int requiredSamples = 0,
    unsigned int timeSteps = 2,
    unsigned int maxSamples = 134217727
    )

Cap/Floor Pricing Engine using Monte Carlo Simulation. The Hull-White model is used to describe dynamics of short-term interest. This engine assume a flat term structure.

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.
nomial	Nomial of capfloor contract.
initRate	Current spot rate and forward rate (flat term structure).
strike	Strike rate of capfloor contract
isCap	True for cap, false for floor
singlePeriod	period between each settlement date.
alpha	Hull White model parameter
sigma	Hull White model parameter
seed	Array to store the inital seed for each RNG.
output	Array to store result
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 cap/floor settlement date.
maxSamples	the maximum sample number. When reaching it, the simulation will stop, default 2,147,483,648.