template class xf::fintech::BrownianBridge

#include "brownian_bridge.hpp"

Overview

Brownian bridge transformation using inverse simulation.

Parameters:

DT data type supported include float and double.
SZ maximum length of input sequence, maximum is 1024.
template <
    typename DT,
    int SZ
    >
class BrownianBridge

Methods

BrownianBridge

BrownianBridge ()

Default constructor.

transform

void transform (
    hls::stream <DT>& in_strm,
    hls::stream <DT>& out_strm
    )

Transform in_strm to out_strm using brownian bridge transformation.

Parameters:

in_strm stream containing input sequence
out_strm stream containing output sequence which applys to brownian bridge disribution

initialize

void initialize (ap_uint <W> size_in)

Initialize weights, indices, standard deviations used in transformation.

Parameters:

size_in the lenght of sequence to be transformed.