namespace internal¶
// typedefs typedef RNGSequence_N <DT, RNG, 2> RNGSequence_2 // structs template < typename DT, int N, int M > struct xf_2D_array // unions union DTConvert32 union DTConvert64 union double_cast_new // classes template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class BSPathGenerator template < typename DT, int SampleNm, int ASSETS > class CORRAND template < typename DT, int PathNm, int ASSETS, int CFGNM > class CORRAND_2 template < typename DT, typename RNG, int SampleNum, int ASSETS > class CORRAND_2_Sequence <DT, RNG, SampleNum, ASSETS, false> template < typename DT, typename RNG, int SampleNum, int ASSETS, bool Antithetic > class CORRAND_2_Sequence template < typename DT, int SampNum > class CapFloorPathPricer template < typename DT, int LEN2 > class CubicSpline template < typename DT, typename RNG, bool WithAntithetic > class GaussUniformSequence template < typename DT, int SampNum, bool WithAntithetic > class HestonPathGenerator <kDTQuadraticExponentialMartingale, DT, SampNum, WithAntithetic> template < DiscreType discrT, typename DT, int SampNum, bool WithAntithetic > class HestonPathGenerator template < typename DT, int SampNum, bool WithAntithetic > class HestonPathGenerator <kDTQuadraticExponential, DT, SampNum, WithAntithetic> template < typename DT, int SampNum, bool WithAntithetic > class HestonPathGenerator <kDTFullTruncation, DT, SampNum, WithAntithetic> template < typename DT, int SampNum, bool WithAntithetic > class HestonPathGenerator <kDTReflection, DT, SampNum, WithAntithetic> template < typename DT, int SampNum, bool WithAntithetic > class HestonPathGenerator <kDTPartialTruncation, DT, SampNum, WithAntithetic> template < typename DT, int SampNum > class HullWhitePathGen template < typename DT, int SampNum, int ASSETS, DiscreType discrT > class MultiAssetHestonPathGenerator template < typename DT, int ASSETS, int SampleNum > class MultiAssetPathPricer <European, DT, ASSETS, SampleNum> template < OptionStyle style, typename DT, int ASSETS, int SampleNum > class MultiAssetPathPricer template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class PathPricer <Digital, DT, StepFirst, SampNum, WithAntithetic> template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class PathPricer <American, DT, StepFirst, SampNum, WithAntithetic> template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic, int MaxSteps > class PathPricer <LongstaffSchwartz, DT, StepFirst, SampNum, WithAntithetic, MaxSteps> template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class PathPricer <BarrierBiased, DT, StepFirst, SampNum, WithAntithetic> template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class PathPricer <BarrierNoBiased, DT, StepFirst, SampNum, WithAntithetic> template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class PathPricer <Asian_AS, DT, StepFirst, SampNum, WithAntithetic> template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class PathPricer <Asian_GP, DT, StepFirst, SampNum, WithAntithetic> template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class PathPricer <European, DT, StepFirst, SampNum, WithAntithetic> template < typename DT, bool StepFirst, int SampNum > class PathPricer <Cliquet, DT, StepFirst, SampNum, false> template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class PathPricer <EuropeanBypass, DT, StepFirst, SampNum, WithAntithetic> template < OptionStyle style, typename DT, bool StepFirst, int SampNum, bool WithAntithetic, int MaxSteps = 1024 > class PathPricer template < typename DT, bool StepFirst, int SampNum, bool WithAntithetic > class PathPricer <Asian_AP, DT, StepFirst, SampNum, WithAntithetic> template < typename DT, typename RNG > class RNGSequence template < typename DT, typename RNG, unsigned int N > class RNGSequence_1_N template < typename DT, typename RNG > class RNGSequence_Heston_QuadraticExponential template < typename DT, typename RNG, unsigned int N > class RNGSequence_N template < typename DT, int LEN > class TimeGrid template < typename DT, int LEN2 > class TreeInstrument <DT, 1, LEN2> template < typename DT, int LEN2 > class TreeInstrument <DT, 0, LEN2> template < typename DT, int IT, int LEN2 > class TreeInstrument template < typename DT, int LEN2 > class TreeInstrument <DT, 3, LEN2> template < typename DT, int LEN2 > class TreeInstrument <DT, 2, LEN2> template < typename DT, unsigned int MAX_TENORS > class hjmPathGenerator template < typename DT, unsigned int NF, unsigned int MAX_TENORS > class lmmPathGenerator
GenAtA¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int COEFNM, int SampNum, bool StepFirst > void GenAtA ( ap_uint <16> steps, DT underlying, DT strike, DT invStk, hls::stream <DT>& priceStrmIn, hls::stream <DT>& outStrm, hls::stream <DT> matrixOut [3 *(COEFNM-1)] )
generate the AtA from price data
MergeBuff¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int COEFNM > void MergeBuff ( ap_uint <27> steps, hls::stream <DT> matrixIn [3 *(COEFNM-1)], hls::stream <DT>& outStrm )
accumulate the AtA matrix data to a new AtA and output as stream
MonteCarloModel¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, typename RNG, typename PathGeneratorT, typename PathPricerT, typename RNGSeqT, int VariateNum, int SampNum, int COEFNM > void MonteCarloModel ( ap_uint <16> steps, DT underlying, DT strike, DT invStk, RNG rngInst [VariateNum], PathGeneratorT pathGenInst [1], PathPricerT pathPriInst [1], RNGSeqT rngSeqInst [1], hls::stream <DT>& priceStrm, hls::stream <DT>& matrixStrm )
The American engine Monte Carlo Model for calibration. Process 1024 paths (samples) per time step.
MultiMonteCarloModel¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, typename RNG, int UN, typename PathGeneratorT, typename PathPricerT, typename RNGSeqT, int VariateNum, int SampNum, int COEFNM > void MultiMonteCarloModel ( ap_uint <16> steps, DT underlying, DT strike, DT invStk, RNG rngInst [UN][VariateNum], PathGeneratorT pathGenInst [UN][1], PathPricerT pathPriInst [UN][1], RNGSeqT rngSeqInst [UN][1], hls::stream <DT> priceOutStrm [UN], hls::stream <DT> matrixStrm [UN] )
Monte Carlo with an unroll number UN,.
write_ddr_price¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int UN, int Size > void write_ddr_price ( int depth, int offset, hls::stream <DT> in_strm [UN], ap_uint <UN*Size>* Out )
write the priceMat data to DDR
write_ddr_matrix¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int Size > void write_ddr_matrix ( int depth, DT* Buffer, ap_uint <Size>* Out )
write matrix data to DDR,
MergeMatrixUN¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int UN > void MergeMatrixUN ( int depth, hls::stream <DT> matrixIn [UN], hls::stream <DT>& outStrm )
convert the UN streams from MultiMonteCarloModel to
MergeMatrixIter¶
#include "xf_fintech/early_exercise.hpp"
template <typename DT> void MergeMatrixIter ( int depth, hls::stream <DT>& matrixIn, DT* Buffer, int k )
save iterations of matdata to Buffer
MCProcess¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, typename RNG, int UN, typename PathGeneratorT, typename PathPricerT, typename RNGSeqT, int VariateNum, int SampNum, int COEFNM, int SZ > void MCProcess ( ap_uint <16> steps, DT underlying, DT strike, DT invStk, int mat_nm, RNG rngInst [UN][VariateNum], PathGeneratorT pathGenInst [UN][1], PathPricerT pathPriInst [UN][1], RNGSeqT rngSeqInst [UN][1], DT* Buffer, int k, int offset, ap_uint <UN*8*sizeof (DT)>* pOut )
Monte Carlo Process.
MCIteration¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, typename RNG, int UN, typename PathGeneratorT, typename PathPricerT, typename RNGSeqT, int VariateNum, int SampNum, int COEFNM, int ITER, int SZ > void MCIteration ( ap_uint <16> steps, DT underlying, DT strike, DT invStk, int mat_nm, int iter, RNG rngInst [UN][VariateNum], PathGeneratorT pathGenInst [UN][1], PathPricerT pathPriInst [UN][1], RNGSeqT rngSeqInst [UN][1], ap_uint <UN*8*sizeof (DT)>* pOut, ap_uint <8*sizeof (DT)>* mOut, hls::stream <int>& phase_end )
Run multiple times of Monte Carlo Process,.
GenAty¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int COEFNM, int MAXPATH > void GenAty ( hls::stream <DT>& pStrm, ap_uint <16> paths, DT dF, DT y [MAXPATH], DT pBuff [MAXPATH], DT coef [COEFNM], DT outAty [COEFNM], bool optionType, DT strike, DT invStk )
Read samples for external memory.
SVDDec¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int COEFNM > void SVDDec ( ap_uint <16> steps, hls::stream <DT>& inStrm, hls::stream <DT>& Ustrm, hls::stream <DT>& Vstrm, hls::stream <DT>& Sstrm )
SVD process.
MultiSVD¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int COEFNM, int UN > void MultiSVD ( ap_uint <16> steps, hls::stream <DT> inStrm [UN], hls::stream <DT> Ustrm [UN], hls::stream <DT> Vstrm [UN], hls::stream <DT> Sstrm [UN] )
execute SVD in parallel
readin_ddr¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int UN, int samplesNm > void readin_ddr ( const int loopNm, const int steps, ap_uint <8*sizeof (DT)*UN>* in_data, hls::stream <ap_uint <8*sizeof (DT)*UN>>& outStrm )
read in the price mat data from DDR to stream
read_AtA¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int UN, int ORDER > void read_AtA ( int steps, ap_uint <8*sizeof (DT)>* in_data, hls::stream <DT>& dout_strm )
read in matrix B data from DDR
SplitStrm¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int COEFNM, int UN > void SplitStrm ( ap_uint <16> steps, hls::stream <DT>& inStrm, hls::stream <DT> outStrm [UN] )
split the matdata by UN_STEP, prepare the data for svd
MergeStrm¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int COEFNM, int UN > void MergeStrm ( ap_uint <16> steps, hls::stream <DT> mUstrm [UN], hls::stream <DT> mVstrm [UN], hls::stream <DT> mSstrm [UN], hls::stream <DT>& Ustrm, hls::stream <DT>& Vstrm, hls::stream <DT>& Sstrm )
convert svd result from UN(UN_STEP) streams to 1 stream
CalCoef¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int COEFNM, int SamplesNm, int UN > void CalCoef ( ap_uint <16> steps, ap_uint <16> paths, bool optionType, DT dF, DT strike, DT invStk, hls::stream <DT>& Ustrm, hls::stream <DT>& Vstrm, hls::stream <DT>& Sstrm, hls::stream <DT> pStrm [UN], hls::stream <DT> coefStrm [COEFNM] )
calculate the coefficients and output as streams
write_ddr¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int UN, int Size > void write_ddr ( int depth, hls::stream <DT> in_strm [UN], ap_uint <UN*Size>* Out )
write the coeff data to DDR, the data width is COEFNM*double
read_coef¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT, int UN, int Size, int COEFNM, bool SF, int SN, int MaxSteps, bool Antithetic > void read_coef ( hls::stream <int>& phase_start, int depth, ap_uint <COEFNM*Size>* In, PathPricer <LongstaffSchwartz, DT, SF, SN, Antithetic, MaxSteps> pathPriInst [UN][1] )
Read the coefficients from DDR,.
MCAmericanEngineCalibrateCalc¶
#include "xf_fintech/early_exercise.hpp"
template < typename DT = double, int UN = 2, int UN_STEP = 2 > void MCAmericanEngineCalibrateCalc ( hls::stream <int>& phase_start, hls::stream <int>& phase_end, DT timeLength, DT riskFreeRate, DT strike, bool optionType, ap_uint <8*sizeof (DT)*UN>* priceIn, ap_uint <8*sizeof (DT)>* matIn, ap_uint <8*sizeof (DT)*4>* coefOut, unsigned int calibSamples = 4096, unsigned int timeSteps = 100 )
American Option Pricing Engine using Monte Carlo Method. Calibrate kernel: this kernel reads the sample price data from external memory and use them to calculate the coefficient.
Parameters:
| DT | supported data type including double and float data type, which decides the precision of result, default double-precision data type. |
| UN | number of Monte Carlo Module in parallel (in path dimension), which affects the latency and resources utilization, default 2. [this unroll number should be equal to UN in MCAmericanEnginePresample] |
| UN_STEP | number of Monte Carlo Module in parallel (in time steps dimension), which affects the latency and resources utilization, default 2. [this Unroll is completely resource bounded, unrelated to other params] |
| phase_start | phase start |
| phase_end | phase end |
| timeLength | the time length of contract from start to end. |
| riskFreeRate | risk-free interest rate. |
| strike | the strike price also known as exericse price, which is settled in the contract. |
| optionType | option type. 1: call option, 0: put option. |
| priceIn | the price data, read in from DDR or HBM |
| matIn | the matrix data, read in from DDR or HBM |
| coefOut | the coef data that calculated by this kernel, the data can be stored to DDR or HBM |
| calibSamples | sample numbers that used in calibration, default 4096. |
| timeSteps | the number of discrete steps from 0 to T, T is the expiry time, default 100. |
linearInterpolation¶
#include "xf_fintech/linear_interpolation.hpp"
template <typename DT> DT linearInterpolation ( DT x, int len, DT* arrX, DT* arrY )
linearInterpolation 1D linear interpolation
Parameters:
| DT | data type supported include float and double. |
| x | interpolation coordinate x |
| len | array of length |
| arrX | array of coordinate x |
| arrY | array of coordinate y |
Returns:
return interpolation coordinate y
linearInterpolation2D¶
#include "xf_fintech/linear_interpolation.hpp"
template <typename DT> DT linearInterpolation2D ( DT x, DT y, int xLen, int yLen, DT* arrX, DT* arrY, DT* arrZ )
linearInterpolation 2D linear interpolation
Parameters:
| DT | data type supported include float and double. |
| x | interpolation coordinate x |
| y | interpolation coordinate y |
| xLen | array of coordinate x of length |
| yLen | array of coordinate y of length |
| arrX | array of coordinate x |
| arrY | array of coordinate y |
| arrZ | array of coordinate z |
Returns:
return interpolation coordinate z
pentadiag_step¶
#include "xf_fintech/pentadiag_cr.hpp"
template < typename T, unsigned int P_SIZE > void pentadiag_step ( T a [P_SIZE], T b [P_SIZE], T c [P_SIZE], T d [P_SIZE], T e [P_SIZE], T r [P_SIZE], T a_out [P_SIZE], T b_out [P_SIZE], T c_out [P_SIZE], T d_out [P_SIZE], T e_out [P_SIZE], T r_out [P_SIZE], int k )
Executes one step of odd-even elimination. For each row it calculates new diagonal element and right hand side element based on the paper.
Structure of input matrix:
\[\begin{split}\begin{vmatrix} a & d & e & 0 & 0\\ b & c & d & e & 0\\ a & b & c & d & e\\ 0 & a & b & c & d\\ 0 & 0 & a & b & c \end{vmatrix}\end{split}\]
Parameters:
| T | data type used in whole function (double by default) |
| P_SIZE | Size of the operating matrix |
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trsv_step¶
#include "xf_fintech/trsv.hpp"
template < class T, unsigned int N, unsigned int NCU > void trsv_step ( T inlow [N], T indiag [N], T inup [N], T inrhs [N], T outlow [N], T outdiag [N], T outup [N], T outrhs [N] )
Executes one step of odd-even elimination.
For each row it calculates new diagonal element and right hand side element.
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Please note the algorithm is very sensitive to zeros in main diagonal.
Any zeros in main diagonal will lead to division by zero and algorithm fail.
Parameters:
| T | data type used in whole function (double by default) |
| N | Size of the operating matrix |
| NCU | Number of compute units working in parallel |
| inlow | Input vector of lower diagonal |
| indiag | Input vector of main diagonal |
| inup | Input vector of upper diagonal |
| inrhs | Input vector of Right hand side |
| outlow | Output vector of lower diagonal |
| outdiag | Output vector of main diagonal |
| outup | Output vector of upper diagonal |
| outrhs | Output vector of Right hand side |