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Vitis Quantitative Finance Library
2021.1

Library Overview

  • Requirements
  • License
  • Trademark Notice
  • Release Note

User Guide

  • Pricing Models and Numerical Methods
  • L1 Module User Guide
  • L2 Kernel User Guide
  • L3 Overlay User Guide
    • Getting Started
    • Device Enumeration
    • Running a Model
    • Available Models
      • Binomial Tree
      • Closed Form Black Scholes
      • Heston Closed Form (HCF)
      • Merton 76 (Jump Diffusion)
      • Garman Kohlhagen
      • Quanto Options
      • Heston FD
      • Monte-Carlo American
      • Monte-Carlo European
      • Monte-Carlo European Dow Jones Engine (DJE)
      • PopMCMC Options
    • Framework Classes
    • Python

Benchmark

  • Benchmark
Vitis Quantitative Finance Library
  • »
  • L3 Overlay User Guide »
  • Available Models

Available ModelsΒΆ

The following list of financial models are currently supported in L3:

  • Binomial Tree
  • Closed Form Black Scholes
  • Heston Closed Form (HCF)
  • Merton 76 (Jump Diffusion)
  • Garman Kohlhagen
  • Quanto Options
  • Heston FD
  • Monte-Carlo American
  • Monte-Carlo European
  • Monte-Carlo European Dow Jones Engine (DJE)
  • PopMCMC Options
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