Version 1.0 - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

Vitis Quantitative Finance library 1.0 provides engines and primitives for the acceleration of quantitative financial applications on FPGA. It comprises two approaches to pricing:

  • A family of Trinomial-Tree based pricing engines for 4 interest rate derivatives (including swaption, swap, cap/floor and callable bond), using 6 short-term interest rate models (including Hull-White, Two-additive-factor gaussian, Vasicek, Cox-Ingersoll-Ross, Extended Cox-Ingersoll-Ross and BlackKarasinski). All of these pricing engines are based on a provided generic Trinomial-Tree Framework.
  • 2 Finite-difference method based pricing engines for swaption, using Hull-White model and Two-additive-factor gaussian model. 1 Monte-Carlo based pricing engine for cap/floor, using Hull-White model, based on the Monte-Carlo simulation API we provided in release 0.5.
  • 3 close form pricing engine for inflation cap/floor, CPI cap/floor, and discounting bond.