Version 0.5 - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

Vitis Quantitative Finance Library 0.5 provides engines and primitives for the acceleration of quantitative financial applications on FPGA. It comprises two approaches to pricing:

  • A family of 10 Monte-Carlo based engines for 6 equity options (including European and American options) using Black-Scholes and Heston models; all of these pricing engines are based on a provided generic Monte Carlo simulation API, and work in parallel due to their streaming interface;
  • A finite-difference PDE solver for the Heston model with supporting application code and APIs.

In addition, the library supports low-level functions, such as random number generator (RNG), singular value decomposition (SVD), and tridiagonal and pentadiagonal matrix solvers.