MCAmericanEnginePricing - 2023.2 English

Vitis Libraries

Release Date
2023.2 English
#include "xf_fintech/mc_engine.hpp"
template <
    typename DT = double,
    int UN = 2
void MCAmericanEnginePricing (
    DT underlying,
    DT volatility,
    DT dividendYield,
    DT riskFreeRate,
    DT timeLength,
    DT strike,
    bool optionType,
    ap_uint <32>* seed,
    ap_uint <8*sizeof (DT)*4>* coefIn,
    DT* output,
    DT requiredTolerance = 0.02,
    unsigned int requiredSamples = 4096,
    unsigned int timeSteps = 100,
    unsigned int maxSamples = 134217727

American Option Pricing Engine using Monte Carlo Method. Pricing kernel.


DT supported data type including double and float data type, which decides the precision of result, default double-precision data type.
UN number of Monte Carlo Module in parallel (in path dimension), which affects the latency and resources utilization, default 2. [this unroll number should be equal to UN in MCAmericanEnginePresample]
underlying intial value of underlying asset at time 0.
volatility fixed volatility of underlying asset.
dividendYield the constant dividend rate for continuous dividends.
riskFreeRate risk-free interest rate.
timeLength the time length of contract from start to end.
strike the strike price also known as exericse price, which is settled in the contract.
optionType option type. 1: put option, 0: call option.
seed array of seed to initialize RNG.
coefIn the coef data that calculated by this kernel, the data is loaded from DDR or HBM
output the output price data (size=1), can be stroed in DDR or HBM
requiredTolerance the tolerance required. If requiredSamples is not set, when reaching the required tolerance, simulation will stop, default 0.02.
requiredSamples the samples number required. When reaching the required number, simulation will stop, default 1024.
timeSteps the number of discrete steps from 0 to T, T is the expiry time.
maxSamples the maximum sample number. When reaching it, the simulation will stop, default 2,147,483,648.