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Showing content from https://arrayfire.org/docs/financial_2heston_model_8cpp-example.htm below:

ArrayFire: financial/heston_model.cpp

#include <stdio.h>

#include <iostream>

using namespace std;

unsigned int N, unsigned int R, float mu, float kappa,

float vBar, float sigmaV, float rho, float x0,

float v0) {

float deltaT = T / (float)(N - 1);

float sqrtDeltaT = sqrt(deltaT);

float sqrtOneMinusRhoSquare = sqrt(1 - rho * rho);

float mArray[] = {rho, sqrtOneMinusRhoSquare};

unsigned int tPrevious = 0, tCurrent = 0;

for (unsigned int t = 1; t < N; t++) {

tPrevious = (t + 1) % 2;

tCurrent = t % 2;

x[tCurrent] = x[tPrevious] + (mu - 0.5 * v[tPrevious]) * deltaT +

(sqrtVLag * dBt(span, 0));

vTmp = v[tPrevious] + kappa * (vBar - v[tPrevious]) * deltaT +

sigmaV * (sqrtVLag * matmul(dBt, m));

v[tCurrent] = max(vTmp, zeroConstant);

}

xres = x[tCurrent];

vres = v[tCurrent];

}

int main() {

float T = 1;

unsigned int nT = 10 * T;

unsigned int R_first_run = 1000;

unsigned int R = 20000000;

float x0 = 0;

float v0 = pow(0.087, 2);

float r = log(1.0319);

float rho = -0.82;

float sigmaV = 0.14;

float kappa = 3.46;

float vBar = 0.008;

float k = log(0.95);

try {

simulateHestonModel(x, v, T, nT, R_first_run, r, kappa, vBar, sigmaV,

rho, x0, v0);

timer::start();

simulateHestonModel(x, v, T, nT, R, r, kappa, vBar, sigmaV, rho, x0,

v0);

cout << "Time in simulation: " << timer::stop() << endl;

return 0;

fprintf(stderr,

, e.

());

return 1;

}

}

A multi dimensional data container.

dim4 dims() const

Get dimensions of the array.

An ArrayFire exception class.

virtual const char * what() const

Returns an error message for the exception in a string format.

AFAPI array exp(const array &in)

C++ Interface to evaluate the exponential.

AFAPI array sqrt(const array &in)

C++ Interface to evaluate the square root.

array constant(T val, const dim4 &dims, const dtype ty=(af_dtype) dtype_traits< T >::ctype)

C++ Interface to generate an array with elements set to a specified value.

AFAPI void sync(const int device=-1)

Blocks until the device is finished processing.

AFAPI array max(const array &in, const int dim=-1)

C++ Interface to return the maximum along a given dimension.

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