kiyosi

外观

<kiyosi/instruments/asian.hpp> ​

cpp
#include <kiyosi/instruments/asian.hpp>

GeometricAveragePriceOption ​

cpp
using kiyosi::GeometricAveragePriceOption = AveragePriceOption<GeometricAveraging>

Average-price option using geometric averaging.

ArithmeticAveragePriceOption ​

cpp
using kiyosi::ArithmeticAveragePriceOption = AveragePriceOption<ArithmeticAveraging>

Average-price option using arithmetic averaging.

default_realized_average ​

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double kiyosi::default_realized_average

Default realized average for a contract whose averaging has not begun.

make_average_option ​

cpp
template <AveragingConvention Averaging>
Result<AveragePriceOption<Averaging>> kiyosi::make_average_option(OptionType option_type, double strike, Date effective_date, Date averaging_start_date, Date expiry_date, double realized_average)

Date arguments are ordered effective_date, averaging_start_date, expiry_date; valid terms satisfy effective_date <= averaging_start_date <= expiry_date. Equal averaging start and expiry dates denote a single fixing at expiry. 模板参数

  • Averaging — GeometricAveraging or ArithmeticAveraging.

返回值: The option, or an input-validation error.

make_geometric_average_option ​

cpp
Result<GeometricAveragePriceOption> kiyosi::make_geometric_average_option(OptionType option_type, double strike, Date effective_date, Date averaging_start_date, Date expiry_date, double realized_average=default_realized_average)

Creates a geometric-average option; dates follow make_average_option ordering. 返回值: The option, or an input-validation error.

make_arithmetic_average_option ​

cpp
Result<ArithmeticAveragePriceOption> kiyosi::make_arithmetic_average_option(OptionType option_type, double strike, Date effective_date, Date averaging_start_date, Date expiry_date, double realized_average=default_realized_average)

Creates an arithmetic-average option; dates follow make_average_option ordering. 返回值: The option, or an input-validation error.

kiyosi::ArithmeticAveraging ​

cpp
struct kiyosi::ArithmeticAveraging

Tag selecting arithmetic averaging.

kiyosi::AveragePriceOption ​

cpp
template <AveragingConvention Averaging>
class kiyosi::AveragePriceOption

Average-rate option; Averaging distinguishes the geometric and arithmetic conventions.

成员 ​

replace ​

cpp
Result<AveragePriceOption> kiyosi::AveragePriceOption<Averaging>::replace(double realized_average) const

Returns a validated owning copy with only the supplied history replaced. Preserves all contract terms and never changes this object, including on failure. History is caller-supplied; time consistency is checked during pricing. Concurrent calls and reads are safe without concurrent assignment or mutation. Uses constructor validation and error categories; zero is a known value, not unknown history.

option_type ​

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OptionType kiyosi::AveragePriceOption<Averaging>::option_type() const noexcept

Returns the call-or-put direction.

strike ​

cpp
double kiyosi::AveragePriceOption<Averaging>::strike() const noexcept

Returns the positive strike price.

averaging_start_date ​

cpp
Date kiyosi::AveragePriceOption<Averaging>::averaging_start_date() const noexcept

Returns the first date included in the average.

effective_date ​

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Date kiyosi::AveragePriceOption<Averaging>::effective_date() const noexcept

Returns the first date of the contract life.

realized_average ​

cpp
double kiyosi::AveragePriceOption<Averaging>::realized_average() const noexcept

Returns the non-negative average realized before valuation.

expiry_date ​

cpp
Date kiyosi::AveragePriceOption<Averaging>::expiry_date() const noexcept

Returns the final date of the contract life and averaging window.

kiyosi::GeometricAveraging ​

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struct kiyosi::GeometricAveraging

Averaging conventions; the tag selects the pricing engine overload.

kiyosi::AveragingConvention ​

cpp
template <typename Value>
concept kiyosi::AveragingConvention

Averaging conventions whose semantics are defined by the core.