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In this paper, we present a high performance scalable FPGA design and implementation of an interest rate derivative pricing engine that targets on the cap pricing. The design consists of a Gaussian random number generator, based on the Mersenne Twister uniform random generator, and a Monte Carlo path generation engine which calculates the prices of an interest rate derivative based on the LIBOR market...
Random number generation is a very important operation in computational science e.g. in Monte Carlo simulations methods. It is also a computationally intensive operation especially for high quality random number generation. In this paper, we present the design and implementation of a parallel implementation of one of the most widely used random number generators, namely the Mersenne Twister. The latter...
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