template class xf::fintech::internal::MultiAssetHestonPathGenerator

#include "path_generator.hpp"

Overview

MultiAssetHestonPathGenerator logs of prices of multiple underlying assets, based on kDTQuadraticExponential variation of Heston Model.

Parameters:

DT	supported data type including double and float.
SampNum	Number of path supported.
ASSETS	Max assets supported.
discrT	variation of Heston model

template <
    typename DT,
    int SampNum,
    int ASSETS,
    DiscreType discrT
    >
class MultiAssetHestonPathGenerator

// fields

static const unsigned int OutN
xf::fintech::HestonModel <ASSETS, DT, discrT> hestonInst
DT underlying[ASSETS]
DT v0[ASSETS]
DT s_buff[ASSETS][SampNum]
DT v_buff[ASSETS][SampNum]

Methods

NextPath

void NextPath (
    ap_uint <16> steps,
    ap_uint <16> paths,
    hls::stream <DT> randNumberStrmIn [2],
    hls::stream <DT> pathStrmOut [OutN]
    )

Parameters:

steps	total timesteps of Heston Model
paths	number of path of single call
randNumberStrmIn	input random number stream
pathStrmOut	stream of result generated.