Closed Form Black Scholes¶
class xf::fintech::CFBlackScholes¶
#include "xf_fintech_cf_black_scholes.hpp"
Overview¶
This class implements the Closed Form Black Scholes model.
The parameter passed to the constructor controls the size of the underlying buffers that will be allocated. This prameter therefore controls the maximum number of assets that can be processed per call to run()
It is intended that the user will populate the input buffers with appropriate asset data prior to calling run() When run completes, the calculated output data will be available in the relevant output buffers.
class CFBlackScholes: public xf::fintech::OCLController // direct descendants class xf::fintech::CFBlackScholesMerton class xf::fintech::CFGarmanKohlhagen class xf::fintech::CFQuanto // typedefs typedef float KDataType // fields KDataType* stockPrice KDataType* strikePrice KDataType* volatility KDataType* riskFreeRate KDataType* timeToMaturity KDataType* optionPrice KDataType* delta KDataType* gamma KDataType* vega KDataType* theta KDataType* rho
Inherited Members¶
Typedefs¶
typedef float KDataType
Parameters:
| KDataType | This is the data type that the underlying HW kernel has been built with. |
Methods¶
run¶
int run ( OptionType optionType, unsigned int numAssets )
This method is used to begin processing the asset data that is in the input buffers. If this function returns successfully, calculated results are available in the output buffers.
Parameters:
| optionType | The option type of ALL the assets data |
| numAssets | The number of assets to process. |