Option pricing calculation hardware accelerator, acceleration card and computer equipment

Abstract

The invention discloses an option pricing calculation hardware accelerator, an acceleration card and computer equipment. The option pricing calculation hardware accelerator comprises a Gaussian random number generator, a multiplier m2, an adder a2, an EXP module, a multiplexer MUXA, a multiplexer MUXB, a multiplier m5, a subtracter s0, a comparator, a delay module delay, an accumulator, a shifter and a multiplication array. Through the combination of the parts, a Monte Carlo iteration path can be simulated in M clock periods, so that prediction of one option execution price SM is completed. In order to reduce hardware resource consumption and circuit complexity, 64-bit floating-point operation is converted into fixed-point operation; the acceleration card is a board card comprising the hardware accelerator, and the computer equipment is provided with the option pricing calculation hardware accelerator. The Monte Carlo option pricing calculation hardware acceleration implementation process is free of pause, the whole calculation process is full streamlined, and compared with CPU and GPU implementation under the same process, the Monte Carlo option pricing calculation hardware acceleration implementation method has better performance and energy efficiency ratio.

Description

technical field [0001] The invention relates to hardware acceleration technology of Monte Carlo option pricing, in particular to an option pricing calculation hardware accelerator, accelerator card and computer equipment. Background technique [0002] Monte Carlo option pricing is an existing software algorithm such as figure 1 As shown, the calculation process of Monte Carlo option pricing mainly includes two loops: the inner loop (lines 8 to 11) simulates a random forecast path of option prices; the outer loop (lines 6 to 15) calculates the return and uses The returns are accumulated in all paths, and then the sum of the returns is averaged and discounted (lines 16-17) to obtain the predicted option price. For the above-mentioned software algorithm model of Monte Carlo option pricing, using FPGA to implement hardware accelerator is expected to improve the computational efficiency of Monte Carlo option pricing. However, the current use of FPGAs to implement hardware accel...

AI Technical Summary

Problems solved by technology

However, the current use of FPGAs to implement hardware accelerators is expected to improve Monte Carlo option pricing. The hardware accelerators generated by directly converting software algorithms still have a lot of room for optimization, and there are problems with insufficient energy efficiency and performance.

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