MCAmericanEngineCalibrate - 2024.2 English

Vitis Libraries

Release Date
2024-11-29
Version
2024.2 English
#include "xf_fintech/mc_engine.hpp"
template <
    typename DT = double,
    int UN = 2,
    int UN_STEP = 2
    >
void MCAmericanEngineCalibrate (
    DT timeLength,
    DT riskFreeRate,
    DT strike,
    bool optionType,
    ap_uint <8*sizeof (DT)*UN>* priceIn,
    ap_uint <8*sizeof (DT)>* matIn,
    ap_uint <8*sizeof (DT)*4>* coefOut,
    unsigned int calibSamples = 4096,
    unsigned int timeSteps = 100
    )

American Option Pricing Engine using Monte Carlo Method. Calibrate kernel: this kernel reads the sample price data from external memory and use them to calculate the coefficient.

Parameters:

DT supported data type including double and float data type, which decides the precision of result, default double-precision data type.
UN number of Monte Carlo Module in parallel (in path dimension), which affects the latency and resources utilization, default 2. [this unroll number should be equal to UN in MCAmericanEnginePresample]
UN_STEP number of Monte Carlo Module in parallel (in time steps dimension), which affects the latency and resources utilization, default 2. [this Unroll is completely resource bounded, unrelated to other params]
timeLength the time length of contract from start to end.
riskFreeRate risk-free interest rate.
strike the strike price also known as exericse price, which is settled in the contract.
optionType option type. 1: put option, 0: call option.
priceIn the price data, read in from DDR or HBM
matIn the matrix data, read in from DDR or HBM
coefOut the coef data that calculated by this kernel, the data can be stored to DDR or HBM
calibSamples sample numbers that used in calibration, default 4096.
timeSteps the number of discrete steps from 0 to T, T is the expiry time, default 100.