mcSimulation - 2023.2 English

Vitis Libraries

Release Date
2023.2 English
#include "xf_fintech/mc_simulation.hpp"
template <
    typename DT,
    typename RNG,
    typename PathGeneratorT,
    typename PathPricerT,
    typename RNGSeqT,
    int UN,
    int VariateNum,
    int SampNum
DT mcSimulation (
    ap_uint <16> timeSteps,
    ap_uint <27> maxSamples,
    ap_uint <27> requiredSamples,
    DT requiredTolerance,
    PathGeneratorT pathGenInst [UN][1],
    PathPricerT pathPriInst [UN][1],
    RNGSeqT rngSeqInst [UN][1]

Monte Carlo Framework implementation.


DT supported data type including double and float data type, which decides the precision of result, default double-precision data type.
RNG random number generator type.
PathGeneratorT path generator type which simulates the dynamics of the asset price.
PathPricerT path pricer type which calcualtes the option price based on asset price.
RNGSeqT random number sequence generator type.
UN number of Monte Carlo Module in parallel, which affects the latency and resources utilization.
VariateNum number of variate.
SampNum the total samples are divided into several steps, SampNum is the number for each step.
timeSteps number of the steps for each path.
maxSamples the maximum sample number. When reaching it, the simulation will stop.
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.
pathGenInst instance of path generator.
pathPriInst instance of path pricer.
rngSeqInst instance of random number sequence.