MCAsianGeometricAPEngine - 2023.2 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.2 English
#include "xf_fintech/mc_engine.hpp"
template <
    typename DT = double,
    int UN = 16
    >
void MCAsianGeometricAPEngine (
    DT underlying,
    DT volatility,
    DT dividendYield,
    DT riskFreeRate,
    DT timeLength,
    DT strike,
    bool optionType,
    ap_uint <32>* seed,
    DT* output,
    DT requiredTolerance = 0.02,
    unsigned int requiredSamples = 1024,
    unsigned int timeSteps = 100,
    unsigned int maxSamples = 134217727
    )

Asian Arithmetic Average Price Engine using Monte Carlo Method Based on Black-Scholes Model. The settlement price of the underlying asset at expiry time is the geomertic average of asset price during the option lifetime.

Parameters:

DT Supported data type including double and float, which decides the precision of output.
UN The number of Monte Carlo Module in parallel, which affects the latency and resources utilization.
underlying The initial price of underlying asset.
volatility The market’s price volatility.
dividendYield The dividend yield is the company’s total annual dividend payments divided by its market capitalization, or the dividend per share, divided by the price per share.
riskFreeRate The risk-free interest rate is the rate of return of a hypothetical investment with no risk of financial loss, over a given period of time.
timeLength The given period of time.
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.
output Output array.
requiredTolerance The tolerance required. If requiredSamples is not set, simulation will not stop, unless the requiredTolerance is reached, default 0.02.
requiredSamples The samples number required. When reaching the required number, simulation will stop, default 1024.
timeSteps Number of interval, default 100.
maxSamples The maximum sample number. When reaching it, the simulation will stop, default 2147483648.