L1 Module User Guide

L1 Module is the low-level primitives which could be used to build kernel and accelerate the specific option pricing. Currently, it includes two evaluation models, Black-Scholes and Heston model, which present the change of stock price with time. It also provides Monte Carlo framework to calculate the price of option. During the evaluation of American Option, it uses Least-Square method and linear solver based on SVD decomposition.

Core Utility

• Random Number Generator
• Singular Value Decomposition (SVD)
• Tridiagonal Matrix Solver
• Pentadiagonal Matrix Solver
• Sobol Sequence Generator
• Brownian Bridge Transform
• Stochastic Process
• Ornstein-Uhlenbeck Process
• Meshers
• Numerical Integration Methods

L1 Module APIs

• RNG
• SobolRsg
• BrownianBridge
• TrinomialTree
• TreeLattice
• 1DMesher
• OrnsteinUhlenbeckProcess
• StochasticProcess1D
• HWModel
• G2Model
• ECIRModel
• CIRModel
• VModel
• HestonModel
• BKModel
• BSModel
• svd
• mcSimulation
• pentadiagCr
• trap_integrate
• simp_integrate
• romberg_integrate
• boxMullerTransform
• inverseCumulativeNormalPPND7
• inverseCumulativeNormalAcklam
• trsvCore