hjmMcEngine - 2023.2 English

Vitis Libraries

Release Date
2023.2 English
#include "xf_fintech/hjm_engine.hpp"
template <
    typename DT,
    class PT,
    unsigned MAX_TENORS,
    unsigned UN = 1
void hjmMcEngine (
    const unsigned tenors,
    const float simYears,
    const unsigned int noPaths,
    DT presentFc [MAX_TENORS],
    DT vol [hjmModelParams::N][MAX_TENORS],
    DT drift [MAX_TENORS],
    PT pricer [UN][1],
    ap_uint <32> seed [UN][hjmModelParams::N],
    hls::stream <DT>& outputPrice

Prepares and runs a Monte-Carlo simulation and pricing for the Heath-Jarrow-Morton framework.


DT The internal DataType in the simulation.
PT The class name for the HJM pricer.
MAX_TENORS The maximum number of supported tenors in the simulation.
UN The Unroll Number for the path generators and pricers. It will determine the level of parallelism of the simulation.
tenors Number of tenors to process. Must be <= MAX_TENORS .
simYears Number of years to simulate per path. Each path’s IFR matrix is composed of simYears/dt rows.
noPaths Number of MonteCarlo paths to generate.
presentFc Present forward curve, determining the first row of every simulated path.
vol Volatility vectors for N factor model, tenors elements wide, describing the volatility per tenor for each of the factors.
drift Risk Neutral Drift vector, tenors elements wide.
pricer UN instances of the selected path pricer. Must be of PT class and implement the correct MC path pricer method interface.
seed Seeds for the RNGs in the simulation. There are N RNGs per path generator and UN path generators.
outputPrice Stream with the calculated HJM output price.