Implementation - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

This engine is similar to MCEuropeanHestonEngine. The main difference is that it have additional stage to calculate random variables that have certain correlation. Assume there’re \(N\) underlying asset, each asset needs \(2\) random variable, \(2N\) random variable in total. The correlation matrix is and \(2N\) by \(2N\) matrix, but the right upper triangle is all zeros after LU decomposition, leaving only \((2N + 1)N\) non-zero elements. By cutting of none zeros elements, it will save nearly half DSPs to calculate correlated random variables.

Diagram of MCMultiAssetEuropeanHestonEngine

Optimization comes in two parts.

    1. The first and also the most is optimization of L1 functions.
    1. Save one call of cumulative distribution function in single underlying assets since it can get the value directly from RNGs. It may not work for multiple underlying assets because it will lose direct link between Gaussian random number and its corresponding uniform random number.