kiyosi

外观

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

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#include <kiyosi/instruments/autocallable/presets.hpp>

EuropeanSnowballTerms ​

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using kiyosi::EuropeanSnowballTerms = StandardSnowballTerms

Terms for a snowball whose knock-in barrier is observed only at expiry.

make_standard_snowball ​

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Result<SnowballOption> kiyosi::make_standard_snowball(StandardSnowballTerms terms)

Creates a standard snowball from named market terms. 返回值: The option, or an input-validation error with a stable category.

make_step_down_snowball ​

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Result<SnowballOption> kiyosi::make_step_down_snowball(StepDownSnowballTerms terms)

Creates a step-down snowball from named market terms. 返回值: The option, or an input-validation error with a stable category.

make_both_down_snowball ​

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Result<SnowballOption> kiyosi::make_both_down_snowball(BothDownSnowballTerms terms)

Creates a both-down snowball from named market terms. 返回值: The option, or an input-validation error with a stable category.

make_dual_coupon_snowball ​

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Result<SnowballOption> kiyosi::make_dual_coupon_snowball(DualCouponSnowballTerms terms)

Creates a dual-coupon snowball from named market terms. 返回值: The option, or an input-validation error with a stable category.

make_parachute_snowball ​

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Result<SnowballOption> kiyosi::make_parachute_snowball(ParachuteSnowballTerms terms)

Creates a parachute snowball from named market terms. 返回值: The option, or an input-validation error with a stable category.

make_otm_snowball ​

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Result<SnowballOption> kiyosi::make_otm_snowball(OtmSnowballTerms terms)

Creates an out-of-the-money snowball from named market terms. 返回值: The option, or an input-validation error with a stable category.

make_loss_capped_snowball ​

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Result<SnowballOption> kiyosi::make_loss_capped_snowball(LossCappedSnowballTerms terms)

Creates a loss-capped snowball from named market terms. 返回值: The option, or an input-validation error with a stable category.

make_european_snowball ​

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Result<SnowballOption> kiyosi::make_european_snowball(EuropeanSnowballTerms terms)

Creates a European-knock-in snowball from named market terms. 返回值: The option, or an input-validation error with a stable category.

kiyosi::BothDownSnowballTerms ​

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struct kiyosi::BothDownSnowballTerms

Terms for a snowball whose coupon and knock-out level both decrease by observation.

成员 ​

initial_coupon_rate ​

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double kiyosi::BothDownSnowballTerms::initial_coupon_rate

Coupon rate at the first observation.

coupon_rate_decrement ​

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double kiyosi::BothDownSnowballTerms::coupon_rate_decrement

Absolute decimal-rate decrement applied at each observation (0.01 is one percentage point).

initial_spot ​

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double kiyosi::BothDownSnowballTerms::initial_spot

Positive reference spot and upper strike.

knock_in_level ​

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double kiyosi::BothDownSnowballTerms::knock_in_level

Positive downside knock-in level.

initial_knock_out_level ​

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double kiyosi::BothDownSnowballTerms::initial_knock_out_level

First positive knock-out level.

knock_out_level_decrement ​

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double kiyosi::BothDownSnowballTerms::knock_out_level_decrement

Absolute underlying-price decrement applied at each observation.

observation_dates ​

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std::vector<Date> kiyosi::BothDownSnowballTerms::observation_dates

Strictly ordered event dates.

effective_date ​

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Date kiyosi::BothDownSnowballTerms::effective_date

First date of the note life.

expiry_date ​

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Date kiyosi::BothDownSnowballTerms::expiry_date

Final date of the note life.

barrier_state ​

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std::optional<AutocallableBarrierState> kiyosi::BothDownSnowballTerms::barrier_state

Prior barrier state.

principal_ratio ​

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double kiyosi::BothDownSnowballTerms::principal_ratio

Normalized principal repayment component.

kiyosi::DualCouponSnowballTerms ​

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struct kiyosi::DualCouponSnowballTerms

Terms for a snowball with distinct knock-out and maturity coupons.

成员 ​

knock_out_coupon_rate ​

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double kiyosi::DualCouponSnowballTerms::knock_out_coupon_rate

Coupon rate paid after knock-out.

maturity_coupon_rate ​

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double kiyosi::DualCouponSnowballTerms::maturity_coupon_rate

Coupon rate paid at maturity when applicable.

initial_spot ​

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double kiyosi::DualCouponSnowballTerms::initial_spot

Positive reference spot and upper strike.

knock_in_level ​

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double kiyosi::DualCouponSnowballTerms::knock_in_level

Positive downside knock-in level.

knock_out_level ​

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double kiyosi::DualCouponSnowballTerms::knock_out_level

Positive knock-out level used at every observation.

observation_dates ​

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std::vector<Date> kiyosi::DualCouponSnowballTerms::observation_dates

Strictly ordered event dates.

effective_date ​

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Date kiyosi::DualCouponSnowballTerms::effective_date

First date of the note life.

expiry_date ​

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Date kiyosi::DualCouponSnowballTerms::expiry_date

Final date of the note life.

barrier_state ​

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std::optional<AutocallableBarrierState> kiyosi::DualCouponSnowballTerms::barrier_state

Prior barrier state.

principal_ratio ​

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double kiyosi::DualCouponSnowballTerms::principal_ratio

Normalized principal repayment component.

kiyosi::LossCappedSnowballTerms ​

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struct kiyosi::LossCappedSnowballTerms

Terms for a snowball whose downside participation is capped by a lower strike.

成员 ​

coupon_rate ​

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double kiyosi::LossCappedSnowballTerms::coupon_rate

Coupon rate used at knock-out and maturity.

initial_spot ​

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double kiyosi::LossCappedSnowballTerms::initial_spot

Positive reference spot and upper strike.

knock_in_level ​

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double kiyosi::LossCappedSnowballTerms::knock_in_level

Positive downside knock-in level.

knock_out_level ​

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double kiyosi::LossCappedSnowballTerms::knock_out_level

Positive knock-out level used at every observation.

lower_strike ​

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double kiyosi::LossCappedSnowballTerms::lower_strike

Non-negative downside settlement floor.

observation_dates ​

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std::vector<Date> kiyosi::LossCappedSnowballTerms::observation_dates

Strictly ordered event dates.

effective_date ​

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Date kiyosi::LossCappedSnowballTerms::effective_date

First date of the note life.

expiry_date ​

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Date kiyosi::LossCappedSnowballTerms::expiry_date

Final date of the note life.

barrier_state ​

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std::optional<AutocallableBarrierState> kiyosi::LossCappedSnowballTerms::barrier_state

Prior barrier state.

principal_ratio ​

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double kiyosi::LossCappedSnowballTerms::principal_ratio

Normalized principal repayment component.

kiyosi::OtmSnowballTerms ​

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struct kiyosi::OtmSnowballTerms

Terms for a snowball with an out-of-the-money upper settlement strike.

成员 ​

coupon_rate ​

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double kiyosi::OtmSnowballTerms::coupon_rate

Coupon rate used at knock-out and maturity.

initial_spot ​

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double kiyosi::OtmSnowballTerms::initial_spot

Positive reference spot.

knock_in_level ​

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double kiyosi::OtmSnowballTerms::knock_in_level

Positive downside knock-in level.

knock_out_level ​

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double kiyosi::OtmSnowballTerms::knock_out_level

Positive knock-out level used at every observation.

upper_strike ​

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double kiyosi::OtmSnowballTerms::upper_strike

Positive upper settlement strike.

observation_dates ​

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std::vector<Date> kiyosi::OtmSnowballTerms::observation_dates

Strictly ordered event dates.

effective_date ​

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Date kiyosi::OtmSnowballTerms::effective_date

First date of the note life.

expiry_date ​

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Date kiyosi::OtmSnowballTerms::expiry_date

Final date of the note life.

barrier_state ​

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std::optional<AutocallableBarrierState> kiyosi::OtmSnowballTerms::barrier_state

Prior barrier state.

principal_ratio ​

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double kiyosi::OtmSnowballTerms::principal_ratio

Normalized principal repayment component.

kiyosi::ParachuteSnowballTerms ​

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struct kiyosi::ParachuteSnowballTerms

Terms for a snowball with a distinct final knock-out level.

成员 ​

coupon_rate ​

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double kiyosi::ParachuteSnowballTerms::coupon_rate

Coupon rate used at knock-out and maturity.

initial_spot ​

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double kiyosi::ParachuteSnowballTerms::initial_spot

Positive reference spot and upper strike.

knock_in_level ​

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double kiyosi::ParachuteSnowballTerms::knock_in_level

Positive downside knock-in level.

knock_out_level ​

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double kiyosi::ParachuteSnowballTerms::knock_out_level

Positive knock-out level before the final observation.

final_knock_out_level ​

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double kiyosi::ParachuteSnowballTerms::final_knock_out_level

Positive knock-out level at the final observation.

observation_dates ​

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std::vector<Date> kiyosi::ParachuteSnowballTerms::observation_dates

Strictly ordered event dates.

effective_date ​

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Date kiyosi::ParachuteSnowballTerms::effective_date

First date of the note life.

expiry_date ​

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Date kiyosi::ParachuteSnowballTerms::expiry_date

Final date of the note life.

barrier_state ​

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std::optional<AutocallableBarrierState> kiyosi::ParachuteSnowballTerms::barrier_state

Prior barrier state.

principal_ratio ​

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double kiyosi::ParachuteSnowballTerms::principal_ratio

Normalized principal repayment component.

kiyosi::StandardSnowballTerms ​

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struct kiyosi::StandardSnowballTerms

Terms for a constant-coupon, constant-knock-out snowball preset.

Named market conventions layered over make_snowball_option; each one only shapes the coupon and knock-out ladders before delegating to the authoritative factory.

成员 ​

coupon_rate ​

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double kiyosi::StandardSnowballTerms::coupon_rate

Coupon rate used at knock-out and maturity.

initial_spot ​

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double kiyosi::StandardSnowballTerms::initial_spot

Positive reference spot and upper strike.

knock_in_level ​

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double kiyosi::StandardSnowballTerms::knock_in_level

Positive downside knock-in level.

knock_out_level ​

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double kiyosi::StandardSnowballTerms::knock_out_level

Positive knock-out level used at every observation.

observation_dates ​

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std::vector<Date> kiyosi::StandardSnowballTerms::observation_dates

Strictly ordered event dates.

effective_date ​

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Date kiyosi::StandardSnowballTerms::effective_date

First date of the note life.

expiry_date ​

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Date kiyosi::StandardSnowballTerms::expiry_date

Final date of the note life.

barrier_state ​

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std::optional<AutocallableBarrierState> kiyosi::StandardSnowballTerms::barrier_state

Prior barrier state.

principal_ratio ​

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double kiyosi::StandardSnowballTerms::principal_ratio

Normalized principal repayment component.

kiyosi::StepDownSnowballTerms ​

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struct kiyosi::StepDownSnowballTerms

Terms for a snowball whose knock-out level decreases by observation.

成员 ​

coupon_rate ​

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double kiyosi::StepDownSnowballTerms::coupon_rate

Coupon rate used at knock-out and maturity.

initial_spot ​

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double kiyosi::StepDownSnowballTerms::initial_spot

Positive reference spot and upper strike.

knock_in_level ​

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double kiyosi::StepDownSnowballTerms::knock_in_level

Positive downside knock-in level.

initial_knock_out_level ​

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double kiyosi::StepDownSnowballTerms::initial_knock_out_level

First positive knock-out level.

knock_out_level_decrement ​

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double kiyosi::StepDownSnowballTerms::knock_out_level_decrement

Absolute underlying-price decrement applied at each observation.

observation_dates ​

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std::vector<Date> kiyosi::StepDownSnowballTerms::observation_dates

Strictly ordered event dates.

effective_date ​

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Date kiyosi::StepDownSnowballTerms::effective_date

First date of the note life.

expiry_date ​

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Date kiyosi::StepDownSnowballTerms::expiry_date

Final date of the note life.

barrier_state ​

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std::optional<AutocallableBarrierState> kiyosi::StepDownSnowballTerms::barrier_state

Prior barrier state.

principal_ratio ​

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double kiyosi::StepDownSnowballTerms::principal_ratio

Normalized principal repayment component.