Design Structure - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

The heart of the B76 closed-form solver is a solver which implements the closed-form equations. It takes one set of input parameters (F,V,r,t,K) and a flag to control which type of option (call or put) should be calculated. Then, it returns the appropriate price and the associated Greeks. This function is mostly standard C++ with some exception of using the HLS maths library.

Layered on top is the HLS specific kernel wrapper which is responsible for gathering the input data sets (from DDR or HBM for example), converting them to parallel streams and passing them into the kernel. Then, the kernel will write the results back. The kernel level is where the HLS #pragmas are used to control the amount of pipelining and unrolling.