template class xf::fintech::internal::FdBsLvSolverWrapper

#include "fd_bs_local_volatility_solver.hpp"

Overview

Internal wrapper class to encapsulate the Black-Scholes local volatility solver.

Parameters:

DT	Data Type used for this function
DT_EQ_TYPE	Integer data type of same width as DT
N	Discretized spatial grid size
M	Discretized temporal grid maximum possible size

template <
    typename DT,
    typename DT_EQ_TYPE,
    unsigned int N,
    unsigned int M
    >
class FdBsLvSolverWrapper

// typedefs

typedef struct xf::fintech::internal::FdBsLvSolverWrapper::ParallelDataType ParallelDataType
typedef hls::stream <ParallelDataType> ParallelStreamType
typedef struct xf::fintech::internal::FdBsLvSolverWrapper::Parallel3DataType Parallel3DataType
typedef hls::stream <Parallel3DataType> Parallel3StreamType

// structs

struct Parallel3DataType
struct ParallelDataType

// fields

static const unsigned int BITS_PER_DATA_TYPE
static const unsigned int DATA_ELEMENTS_PER_DDR_WORD

Methods

FdBsLvSolverWrapper

FdBsLvSolverWrapper ()

default constructor

read_vector

void read_vector (
    const ap_uint <512>* in,
    DT out [],
    const unsigned int size
    )

Read 512-bit DDR bus into array.

Parameters:

in	Pointer to data location in DDR
out	Array of data as type DT
size	Size of data region to read (required to be multiple of data elements in DDR)

write_vector

void write_vector (
    const DT in [],
    ap_uint <512>* out,
    const unsigned int size
    )

Write array to 512-bit DDR bus.

Parameters:

in	Array of data as type DT
out	Pointer to data location in DDR
size	Size of data region to read (required to be multiple of data elements in DDR)

copy_vector

void copy_vector (
    const DT in [],
    DT out [],
    const unsigned int size
    )

Copy array.

Parameters:

in	Array of data as type DT
out	Array of data as type DT
size	Size of data region to copy

read_sigma

void read_sigma (
    const ap_uint <512>* in,
    ParallelStreamType& sig0,
    ParallelStreamType& sig1,
    const unsigned int m
    )

Read sigma(x,t) from DDR for t=m-1 and t=m.

Parameters:

in	Pointer to start of sigma data location in DDR
sig0	sigma vector for t=m-1
sig1	sigma vector for t=m
m	time-step

calculateDeltas

void calculateDeltas (
    const DT* in,
    DT* out,
    const unsigned int size
    )

Calculate difference between consecutive data elements.

Parameters:

in	Array of data as type DT
out	Array of data as type DT
size	Size of vector

stream_to_vector

void stream_to_vector (
    ParallelStreamType& in,
    DT out [],
    unsigned int size
    )

Convert stream to a vector.

Parameters:

in	Input stream
out	Output array
size	Number of data elements to extract from stream

vector_to_stream

void vector_to_stream (
    DT in [],
    ParallelStreamType& out,
    unsigned int size
    )

Convert vector to a stream.

Parameters:

in	Input array
out	Output stream
size	Vector size

stream3_to_vector3

void stream3_to_vector3 (
    Parallel3StreamType& in,
    DT out [][3],
    unsigned int size
    )

Convert stream3 to a vector.

Parameters:

in	Input stream
out	Output array
size	Number of data elements to extract from stream

generate_matrices

void generate_matrices (
    const DT x [],
    const DT h [],
    const DT t [],
    const DT dt [],
    ParallelStreamType& sig0,
    ParallelStreamType& sig1,
    const DT r [],
    const DT boundary [],
    const DT theta,
    const unsigned int ti,
    Parallel3StreamType& lmatrix,
    Parallel3StreamType& rmatrix,
    ParallelStreamType& discountedBoundary
    )

Generate the left and right matrices in the Ax=B linear system.

Parameters:

x	Spatial grid
h	Spatial grid spacings
t	Temporal grid
dt	Temporal grid spacings
sig0	Volatility vector sig(x) for t-1
sig1	Volatility vector sig(x) for t
r	Interest rate r(t)
b	Boundary vector b(x)
theta	Controls explicit/implicit/Crank-Nicholson
ti	Time index for which matrices are generated
lmatix	Left-hand matrix as stream
rmatix	Right-hand matrix as stream
discountedBoundary	b(x) vector discounted with r(t) as a stream

diag3_mult

void diag3_mult (
    Parallel3StreamType& m,
    ParallelStreamType& v,
    ParallelStreamType& u,
    const unsigned int size
    )

Multiple array stream by vector stream.

Parameters:

m	Matrix as stream holding 3 data elements
v	Input vector as stream
u	Output vector as stream
size	Vector length

triDiagSolverPCR

void triDiagSolverPCR (
    Parallel3StreamType& m,
    ParallelStreamType& v,
    DT u [],
    const unsigned int size
    )

Solve tridiagonal Mu = v linear system using PCR algorithm.

Parameters:

m	Matrix as stream holding 3 data elements
v	Input vector as stream
u	Output solution vector as stream
size	Vector length

apply_boundary

void apply_boundary (
    ParallelStreamType& in,
    ParallelStreamType& boundary,
    ParallelStreamType& out,
    unsigned int size
    )

Modify vector with boundary conditions (replaces in[0] and in[size-1] with boundary vector)

Parameters:

in	Input vector as stream
boundary	Boundary vector as stream
u	Output vector as stream
size	Vector length

parallel_block

void parallel_block (
    ap_uint <512>* sigma,
    DT x [],
    DT h [],
    DT t [],
    DT dt [],
    DT r [],
    DT boundary [],
    DT theta,
    unsigned int ti,
    DT u_in [],
    DT u_out []
    )

Wrapper function to allow parallelization.

Parameters:

x	Spatial grid
h	Spatial grid spacings
t	Temporal grid
dt	Temporal grid spacings
r	Interest rate r(t)
b	Boundary vector b(x)
theta	Controls explicit/implicit/Crank-Nicholson
ti	Time index for which matrices are generated
u_in	Input vector at time-step t-1
u_out	Output vector at time-step t