kiyosi

外观

<kiyosi/instruments/autocallable/note.hpp> ​

cpp
#include <kiyosi/instruments/autocallable/note.hpp>

KnockInObservationMode ​

cpp
enum class KnockInObservationMode

Monitoring frequency for an autocallable knock-in barrier.

枚举值

  • every_trading_day — Observe on every trading day in the contract life.
  • at_expiry — Observe only at expiry.

AutocallableBarrierState ​

cpp
enum class AutocallableBarrierState

Barrier events known before valuation.

枚举值

  • none — No barrier event has occurred.
  • knocked_out — The note has already knocked out.
  • knocked_in — The downside barrier has already been breached.

make_autocallable_observations ​

cpp
Result<std::vector<AutocallableObservation>> kiyosi::make_autocallable_observations(const std::vector<Date> &dates, const std::vector<double> &levels, std::optional<std::vector<double>> coupons=std::nullopt, std::optional<std::vector<double>> coupon_barriers=std::nullopt)

Associates parallel inputs before note construction. Omitted coupon sequences use record defaults. Validates sequence lengths; contractual values and dates are validated by the note factory.

validate_autocallable_note ​

cpp
template <AutocallableProduct Note>
Result<void> kiyosi::validate_autocallable_note(const Note &note)

Revalidates all terms of a complete product, including a moved-from observation schedule.

validate_autocallable_history ​

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template <typename Note>
Result<void> kiyosi::validate_autocallable_history(const Note &note, const PricingContext &context)

Validates the caller's history snapshot against events before valuation.

kiyosi::AutocallableNote ​

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template <AutocallableTerms Terms>
class kiyosi::AutocallableNote

Complete immutable autocallable product, owning its validated construction terms. Valuation excludes cashflows settled before the valuation time. Principal, coupons and downside components use normalized payoff units and are added independently. Observation views borrow this note. Destruction, moving from, or assignment invalidates them. Convenience getters return owning copies independent of this note. Concurrent const access follows the library default; assignment must not overlap access.

成员 ​

replace ​

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Result<AutocallableNote> kiyosi::AutocallableNote<Terms>::replace(std::optional<AutocallableBarrierState> barrier_state) 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. nullopt means unknown history; none means known absence of barrier events. Uses the same validation and error categories as the product factory.

AutocallableNote ​

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kiyosi::AutocallableNote<Terms>::AutocallableNote(const AutocallableNote &)=default

AutocallableNote ​

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kiyosi::AutocallableNote<Terms>::AutocallableNote(AutocallableNote &&) noexcept=default

~AutocallableNote ​

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kiyosi::AutocallableNote<Terms>::~AutocallableNote()=default

operator= ​

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AutocallableNote & kiyosi::AutocallableNote<Terms>::operator=(AutocallableNote &&) noexcept=default

operator= ​

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AutocallableNote & kiyosi::AutocallableNote<Terms>::operator=(const AutocallableNote &other)

Copies terms without changing this note if allocation fails.

knock_out_levels ​

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std::vector<double> kiyosi::AutocallableNote<Terms>::knock_out_levels() const

Returns an owning copy of the positive knock-out levels.

observation_dates ​

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std::vector<Date> kiyosi::AutocallableNote<Terms>::observation_dates() const

Returns an owning copy of the strictly ordered observation dates.

observations_view ​

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std::span<const AutocallableObservation> kiyosi::AutocallableNote<Terms>::observations_view() const noexcept

Borrows complete immutable observations with the lifetime documented above.

principal_ratio ​

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double kiyosi::AutocallableNote<Terms>::principal_ratio() const noexcept

Returns the non-negative normalized principal component.

effective_date ​

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Date kiyosi::AutocallableNote<Terms>::effective_date() const noexcept

Returns the first date of the note life.

expiry_date ​

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Date kiyosi::AutocallableNote<Terms>::expiry_date() const noexcept

Returns the final date of the note life.

barrier_state ​

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std::optional<AutocallableBarrierState> kiyosi::AutocallableNote<Terms>::barrier_state() const noexcept

Returns the prior barrier state, or nullopt for unknown history.

initial_spot ​

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double kiyosi::AutocallableNote<Terms>::initial_spot() const noexcept

Returns the positive reference spot.

upper_strike ​

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double kiyosi::AutocallableNote<Terms>::upper_strike() const noexcept

Returns the positive upper settlement strike.

lower_strike ​

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double kiyosi::AutocallableNote<Terms>::lower_strike() const noexcept

Returns the non-negative lower settlement strike.

knock_in_level ​

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double kiyosi::AutocallableNote<Terms>::knock_in_level() const noexcept

Returns the positive downside knock-in level.

knock_in_observation_mode ​

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KnockInObservationMode kiyosi::AutocallableNote<Terms>::knock_in_observation_mode() const noexcept

Returns the knock-in monitoring frequency.

coupon_rate ​

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double kiyosi::AutocallableNote<Terms>::coupon_rate() const noexcept

Returns the annualized conditional observation coupon.

maturity_coupon_rate ​

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double kiyosi::AutocallableNote<Terms>::maturity_coupon_rate() const noexcept

Returns the finite maturity coupon rate.

minimum_coupon_rate ​

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double kiyosi::AutocallableNote<Terms>::minimum_coupon_rate() const noexcept

Returns the finite maturity-coupon floor after knock-in.

knock_out_coupon_rates ​

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std::vector<double> kiyosi::AutocallableNote<Terms>::knock_out_coupon_rates() const

Returns an owning copy of the finite knock-out coupon rates.

coupon_barrier_levels ​

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std::vector<double> kiyosi::AutocallableNote<Terms>::coupon_barrier_levels() const

Returns an owning copy of the non-negative coupon barriers.

kiyosi::AutocallableObservation ​

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struct kiyosi::AutocallableObservation

One contractual observation; its date, knock-out level, and coupon terms travel together.

成员 ​

date ​

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Date kiyosi::AutocallableObservation::date

knock_out_level ​

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double kiyosi::AutocallableObservation::knock_out_level

coupon_rate ​

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double kiyosi::AutocallableObservation::coupon_rate

Snowball knock-out annual coupon; zero for Phoenix.

coupon_barrier_level ​

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double kiyosi::AutocallableObservation::coupon_barrier_level

Phoenix coupon threshold; zero for snowballs.