Internal Architecture - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

The internal framework implementation allows to easely parallelise the generation and pricing of LIBOR rates matrices by modifying the UN parameter. Each unrolled implementation will contain a RNG sequence generator for \(F\) uncorrelated factors, a LMM path generator and a copy of the chosen path pricer. Since the calibration data (\(\eta,\bar{\rho},\sigma\)) is computed once and then read only, each MonteCarlo module will also contain a copy of the accessed elements of those matrices.

The path generator will compute a set of LIBOR rates, which are of the form of a lower triangular matrix, with the following process:

LMM Path generation process

Each LIBOR rates path matrix will be fed via an HLS stream into the path pricer in a strided pattern: First the \(L_0\) column, from \(T_0\) to \(T_n\). Then the \(L_1\) column and so on.

It is responsibility of the path pricer to compute the option price and to consume the all the data fed from the path generator.

The full implementation of the LIBOR Market Model framework has the following architecture:

LMM Architecture