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 six 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.