binomialTreeEngine - 2024.2 English - XD160

Vitis Libraries

Document ID
XD160
Release Date
2024-11-29
Version
2024.2 English
#include "xf_fintech/bt_engine.hpp"
template <typename DT>
DT binomialTreeEngine (
    BinomialTreeInputDataType <DT>* inputData,
    int optionType
    )

BinomialTree Engine using CRR (Cox, Ross & Rubinstein)

Parameters:

inputData A structure containing the input model parameters
optionType Calculate for NPV European or American Call or Put

Returns:

The calculated NPV