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.