TEST_F(BinomialTest, BlackScholesTest)
{
double T = 1;
double K = 40;
double S = 41;
double r = 0.03;
double q = 0.00;
double vol = 0.3;
std::tuple<OptionValue,OptionValue> res = BlackScholes(T,K,S,r,q,vol);
double BsCall = std::get<0>(res).price;
double BsPut = std::get<1>(res).price;
double tol = 1e-2;
EXPECT_NEAR(BsCall, 5.93, tol);
EXPECT_NEAR(BsPut, 3.75, tol);
}
void dut(hls::stream<int> in_fifo, hls::stream<int> out_fifo)
{
//#pragma HLS pipeline II=4
//#pragma HLS dependence variable=rand_number inter false
#pragma HLS interface ap_ctrl_none port=return
//static int cnt;
int i;
//fifo tmp variables
int data1;
int data2;
long long full;
my_type cvt;
my_type ret;
//BS parameters
char CallPutFlag = 'c';
double S;
double X;
double T;
double r;
double b;
double result;
//======================Initialize BlackSchole parameters though FIFO=====================
//S
data1 = in_fifo.read();
data2 = in_fifo.read();
full = ((long long) data1 << 32) + data2;
cvt.myint64 = full;
S = cvt.mydouble;
//X
data1 = in_fifo.read();
data2 = in_fifo.read();
full = ((long long) data1 << 32) + data2;
cvt.myint64 = full;
X = cvt.mydouble;
//T
data1 = in_fifo.read();
data2 = in_fifo.read();
full = ((long long) data1 << 32) + data2;
cvt.myint64 = full;
T = cvt.mydouble;
//r
data1 = in_fifo.read();
data2 = in_fifo.read();
full = ((long long) data1 << 32) + data2;
cvt.myint64 = full;
r = cvt.mydouble;
//b
data1 = in_fifo.read();
data2 = in_fifo.read();
full = ((long long) data1 << 32) + data2;
cvt.myint64 = full;
b = cvt.mydouble;
//======================Starting MC Iterations for BS=====================
loop: for (i = 0; i < NUM_PASSES; i++) {
// shadow_state();
result = BlackScholes(CallPutFlag, S, X, T, r, b);
ret.mydouble = result;
//data1 = (int)(ret.myint64>>32);
//data2 = (int)(0xffffffff&(ret.myint64));
//out_fifo.write(data1);
//out_fifo.write(data2);
}
}
