Running a Model

A series of classes are provided that represent the various financial models that are supported. These classes provide all the methods that are required to run that financial model on a given HW device.

Basic Flow

To run a model there are 4 basic steps:

• Instantiate an instance of the relevant class
• Claim the device for use by that model instance
• Run the model (as many times as required)
• Release the device so it may be used by other objects.

Example

#include <vector>
#include "xf_fintech_api.hpp"

using namespace xf::fintech;

int retval = XLNX_OK;
int i;

// Instantiate a Monte-Carlo European object...
MCEuropean mcEuropean;

// Some input data...
OptionType  optionType   = Put;
double stockPrice        = 36.0;
double strikePrice       = 40.0;
double riskFreeRate      = 0.06;
double dividendYield     = 0.0;
double volatility        = 0.20;
double timeToMaturity    = 1.0; /* in years */
double requiredTolerance = 0.02;

double optionPrice;     // output

// Claim the device for use by our object...
retval = mcEuropean.claimDevice(pChosenDevice);

if(retval == XLNX_OK)
{
        for(i=0; i<100; i++)
        {
                //Run the model...
                retval = mcEuropean.run(optionType, stockPrice, strikePrice, riskFreeRate, dividendYield,volatility, timeToMaturity, requiredTolerance, &optionPrice);

                if(retval != XLNX_OK)
                {
                        //TODO report error
                        break; // out of loop
                }
        }
}

//Release the device...
retval = mcEuropean.releaseDevice();

In the above example pChosenDevice is a pointer to a Device object. This acquired by enumerating available devices (see Device Enumeration)

Claiming the device

When an object claims the device, several operations occur:

• The relevant XCLBIN (bitstream) that implements that financial model is downloaded to the FPGA if necessary. This can take several seconds (depending on the size of the XCLBIN file). NOTE - If the new XCLBIN is the same as the XCLBIN currently programmed on the device, this step is internally skipped.
• The device is “locked” for use by the specified object.

Because the user may instantiate several different model objects in software, but the FPGA can only be programmed with a single XCLBIN file at a time (and that XCLBIN contains the implementation of possibly only a single model), it is necessary to “restrict” execution to only objects that match that XCLBIN.

To switch between several different models the user must:

• “Claim” the device for the first model
• Run that model (as many times as required)
• Release the device
• “Claim” the device for the second model
• Run that model (as many times as required)
• Release the device

Example of using multiple models

#include <vector>
#include "xf_fintech_api.hpp"

using namespace xf::fintech;

int retval = XLNX_OK;
int i;

// Instantiate both a Monte-Carlo European and a Monte-Carlo American object...
MCEuropean mcEuropean;
MCAmerican mcAmerican;

// Some input data...
OptionType  optionType   = Put;
double stockPrice        = 36.0;
double strikePrice       = 40.0;
double riskFreeRate      = 0.06;
double dividendYield     = 0.0;
double volatility        = 0.20;
double timeToMaturity    = 1.0; /* in years */
double requiredTolerance = 0.02;

double optionPrice;     // output

// Claim the device for use by our FIRST model object...
retval = mcEuropean.claimDevice(pChosenDevice);

if(retval == XLNX_OK)
{
        for(i=0; i<100; i++)
        {
                //Run the model...
                retval = mcEuropean.run(optionType, stockPrice, strikePrice, riskFreeRate, dividendYield,volatility, timeToMaturity, requiredTolerance, &optionPrice);

                if(retval != XLNX_OK)
                {
                        //TODO report error
                        break; // out of loop
                }
        }
}

//Release the device...
retval = mcEuropean.releaseDevice();

//////////////////////////////////////////////////////////////////////////////////

// Claim the device for use by our SECOND model object...
retval = mcAmerican.claimDevice(pChosenDevice);

if(retval == XLNX_OK)
{
        for(i=0; i<100; i++)
        {
                //Run the model...
                retval = mcAmerican.run(optionType, stockPrice, strikePrice, riskFreeRate, dividendYield,volatility, timeToMaturity, requiredTolerance, &optionPrice);

                if(retval != XLNX_OK)
                {
                        //TODO report error
                        break; // out of loop
                }
        }
}

//Release the device...
retval = mcAmerican.releaseDevice();

Notes

• A device may only be claimed by a single model object at a time.
• A model object may only claim a single device at a time.