#!/use/bin/env python3
# Ensure environmental variables i.e. paths are set to used the modules
from xf_fintech_python import DeviceManager, FDHeston
import sys
# State test financial model
print(
"\nThe Heston FD financial model\n========================================\n"
)
# Declaring Variables
deviceList = DeviceManager.getDeviceList(
"u250") # This should could be either u200 or u250, possibly others t.b.c.
sGridOutput = []
vGridOutput = []
priceGridOutput = []
lastruntime = 0
# In this example financial data to test the module is fed in via the command line. Below is an example
# ./heston_fd_test.py 1.5 0.04 0.3 -0.9 0.025 1 100 200 1 200 128 64
# and the expected value output for NPV is 111.832977
# Basic checking that the number of arguments are correct
if len(sys.argv) != 13:
sys.exit("Incorrect number of arguments supplied - 12 expected")
#Take each suffixed value and give it a meaningful name and convert from arv string format to numerical
meanReversionRate_kappa = float(sys.argv[1])
longRunAveragePrice_eta = float(sys.argv[2])
#!/usr/bin/env python3
# Ensure environmental variables i.e. paths are set to the named the modules
from xf_fintech_python import DeviceManager, HullWhiteAnalytic
import random
import sys
# Basic checking that the number of arguments are correct
if len(sys.argv) != 2:
sys.exit("Incorrect number of arguments supplied - 1 expected - the name of the FPGA load - e.g. hwa.xclbin")
# State test financial model
print("\nThe HullWhiteAnalytic financial model\n=====================================\n")
# Declaring Variables
deviceList = DeviceManager.getDeviceList("u200")
lastruntime = 0
runtime = 0
# note these values should match the generated kernel
N_k0 = 16;
LEN = 16;
# Inputs - note that due to the random nature of the input data the output will also vary
a = 0.10;
sigma = 0.01;
ratesList = [0.0020, 0.0050, 0.0070, 0.0110, 0.0150, 0.0180, 0.0200, 0.0220, 0.0250, 0.0288, 0.0310, 0.0340, 0.0, 0.0 ,0.0, 0.0]
timesList = [0.25, 0.50, 0.75, 1.00, 1.50, 2.00, 3.00, 4.00, 5.00, 10.0, 20.0, 30.0, 0.0, 0.0, 0.0, 0.0]
tList = [random.uniform(0,15) for iteration in range(LEN)]
#print("tist is",tList)
TList = [(random.uniform(0,15)+1+tList[iteration]) for iteration in range(LEN)]
#print("TList is",TList)
"Seem to be running with the no longer supported python 2 - require version 3"
)
from os.path import exists
from xf_fintech_python import DeviceManager, FDHeston
# Basic checking that the card and load arguments are correct
if not (args.card == "u250" or args.card == "u200"):
sys.exit("This version executes on either card type u200 or u250")
if not exists(args.load):
print("Bitstream load specified is ", args.load)
sys.exit(
"Please check the supplied FPGA load filename - program does not see it"
)
# Declaring Variables
deviceList = DeviceManager.getDeviceList(
args.card) # Pass in the card type from the command line
if len(deviceList) == 0: # Check at least one card found
sys.exit(("Please check that you have a " + args.card +
" card present and ready for use"))
sGridOutput = []
vGridOutput = []
priceGridOutput = []
lastruntime = 0
# In this example financial data to test the module is fed in via the command line. Below is an example
# ./heston_fd_test.py 1.5 0.04 0.3 -0.9 0.025 1 100 200 1 200 128 64 fd_heston,xclbin u200
# and the expected value output for NPV is 111.832977
inputDataList[loop].kappa = kappa
inputDataList[loop].vvol = vvol
inputDataList[loop].vbar = vbar
print("[XF_FINTECH] ==========")
print("[XF_FINTECH] Parameters")
print("[XF_FINTECH] ==========")
print("[XF_FINTECH] Strike price = ", K)
print("[XF_FINTECH] Rho (Weiner process correlation) = ", rho)
print("[XF_FINTECH] Time to maturity = ", T)
print("[XF_FINTECH] Risk free interest rate = ", r)
print("[XF_FINTECH] Rate of reversion (kappa) = ", kappa)
print("[XF_FINTECH] volatility of volatility (sigma) = ", vvol)
print("[XF_FINTECH] Long term average variance (theta) = ", vbar)
deviceList = DeviceManager.getDeviceList("u250") # Look for U250 cards
lastruntime = 0 # Query this implementation
print("Found these {0} device(s):".format(len(deviceList)))
for x in deviceList:
print(x.getName())
print("Choosing the first suitable card\n")
chosenDevice = deviceList[0]
hestonCF = hcf(sys.argv[1])
hestonCF.claimDevice(chosenDevice)
hestonCF.run(inputDataList, outputList,
numberOptions) #This is the call to process contents of dataList
if not exists(args.data_in):
sys.exit(
"Please check the historical rates data filename - program does not see it"
)
N_FACTORS = 3
MC_UN = 4
hist_data = np.loadtxt(args.data_in, delimiter=',')
tenors = hist_data.shape[1]
curves = hist_data.shape[0]
xclbin_load = (args.xclbin_filename)
# Program variables
deviceList = DeviceManager.getDeviceList(args.card_type)
if len(deviceList) == 0: # Check at least one card found
sys.exit(("Please check that you have a " + args.card_type +
" card present and ready for use"))
lastruntime = 0
runtime = 0
# Identify which cards installed and choose the first available U200 card
print("Found these {0} device(s):".format(len(deviceList)))
for x in deviceList:
print(x.getName())
chosenDevice = deviceList[0]
print("Choosing the first, ", str(chosenDevice), "\n")
print("Some interact with one another; so it was decided to provide a single script")
print("which walks through an example of each function from within each api module.")
print("This should provide enough information, along with the example calculation scripts")
print("to enable you to make use of the python functions in your own scripts.")
print("\nNote: It assumes you have at least one Xilinx U series card installed")
print(" and you need to have the compiled pybind module in the same directory.")
print("\nWhen you are ready to continue please press the <enter> key") ; x = input()
print("Starting with the DeviceManager.hpp module\n------------------------------------------") ; time.sleep(2)
print("This has only one function - getDeviceList\n") ; time.sleep(2)
print("This function examines the machine to see which Xilinx FPGA cards are installed.")
print("The underlying C++ code does provide a degree of robustness as shown below ;")
print("This function uses the 'device.hpp' library, which has a list of Xilinx card types.")
print("Note: The underlying code produces some diagnostic information to stdout")
print("DeviceManager.getDeviceList() will list all Xilinx cards found")
deviceList = DeviceManager.getDeviceList("")
print("Found these {0} device(s):".format(len(deviceList))) # Print list
for x in deviceList:
print(x.getName())
print('DeviceManager.getDeviceList("u200") will search for only that card type')
deviceList = DeviceManager.getDeviceList("u200")
print("Found these {0} device(s):".format(len(deviceList)))
for x in deviceList:
print(x.getName())
print('DeviceManager.getDeviceList("madeupname") will search for only that card type')
deviceList = DeviceManager.getDeviceList("madeupname")