MCAmericanEngine - 2023.2 English

#include "xf_fintech/mc_engine.hpp"

template <
    typename DT = double,
    int UN_PATH = 1,
    int UN_STEP = 1,
    int UN_PRICING = 2
    >
void MCAmericanEngine (
    DT underlying,
    DT volatility,
    DT riskFreeRate,
    DT dividendYield,
    DT timeLength,
    DT strike,
    bool optionType,
    ap_uint <32>* seed,
    ap_uint <8*sizeof (DT)*UN_PATH>* priceData,
    ap_uint <8*sizeof (DT)>* matData,
    DT* output,
    DT requiredTolerance = 0.02,
    unsigned int calibSamples = 4096,
    unsigned int requiredSamples = 4096,
    unsigned int timeSteps = 100,
    unsigned int maxSamples = 134217727
    )

American Option Pricing Engine using Monte Carlo Method. calibration process and pricing process all in one kernel.

Parameters:

DT	supported data type including double and float data type, which decides the precision of result, default double-precision data type.
UN_PATH	number of Monte Carlo Module of calibration process in parallel (in path dimension), which affects the latency and resources utilization, default 1.
UN_STEP	number of Monte Carlo Module of calibration process in parallel (in time steps dimension), which affects the latency and resources utilization, default 1.
UN_PRICING	number of Monte Carlo Module of pricing process in parallel (in path dimension), which affects the latency and resources utilization, default 2. Three unroll numbers UN_PATH, UN_STEP and UN_PRICING are independent. Each unroll number affects the execution speed of part of AmericanEngine. On-board test reveals that the pricing phase takes longest time of execution. Therefore, setting larger UN_PRICING benifits most with limited resources.
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.
priceData	the price data, used as the intermediate result storage location. It should be mapped to an external memory: DDR or HBM.
matData	the matrix data, used as the intermediate result storage location. It should be mapped to an external memory: 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.
calibSamples	sample numbers that used in calibration, default 4096.
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.