Internal Design of CPI CapFloor Engine


A consumer price index (CPI) Cap/Floor is a call/put on the CPI.


This engine uses the linear interpolation method (\(linearInterpolation2D\)) as defined in L1 to calculate the price based on time (the difference between the maturity date and the reference date with unit in year) and strike rate. The linear interpolation mothed implements 2-dimensional linear interpolation.


The hardware resource utilizations are listed in the following table (from Vivado 18.3 report).

Table 13 Table 1 Hardware resources
Engine BRAM URAM DSP FF LUT clock period(ns)
CPICapFloorEngine 0 0 22 11385 7625 2.966