kiyosi

外观

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

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

make_snowball_option ​

cpp
Result<SnowballOption> kiyosi::make_snowball_option(SnowballTerms terms)

Creates a validated Snowball product, owning its supplied terms. 返回值: The option, or an input-validation error with a stable category.

make_ternary_snowball_option ​

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Result<TernarySnowballOption> kiyosi::make_ternary_snowball_option(TernarySnowballTerms terms)

Creates a validated TernarySnowball product, owning its supplied terms. 返回值: The option, or an input-validation error with a stable category.

make_binary_snowball_option ​

cpp
Result<BinarySnowballOption> kiyosi::make_binary_snowball_option(BinarySnowballTerms terms)

Creates a validated BinarySnowball product, owning its supplied terms. 返回值: The option, or an input-validation error with a stable category.

kiyosi::BinarySnowballTerms ​

cpp
struct kiyosi::BinarySnowballTerms

Input terms used to construct a BinarySnowballOption.

成员 ​

maturity_coupon_rate ​

cpp
double kiyosi::BinarySnowballTerms::maturity_coupon_rate

Finite flat maturity coupon.

barrier_state ​

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

Prior barrier state; required after monitoring begins.

principal_ratio ​

cpp
double kiyosi::BinarySnowballTerms::principal_ratio

Normalized principal repayment component.

effective_date ​

cpp
Date kiyosi::BinarySnowballTerms::effective_date

First date of the note life.

expiry_date ​

cpp
Date kiyosi::BinarySnowballTerms::expiry_date

Final date of the note life.

observations ​

cpp
std::vector<AutocallableObservation> kiyosi::BinarySnowballTerms::observations

Complete contractual observations, with each date and its terms associated.

kiyosi::SnowballTerms ​

cpp
struct kiyosi::SnowballTerms

Input terms used to construct a SnowballOption.

成员 ​

maturity_coupon_rate ​

cpp
double kiyosi::SnowballTerms::maturity_coupon_rate

Finite coupon paid at maturity when applicable.

initial_spot ​

cpp
double kiyosi::SnowballTerms::initial_spot

Positive reference spot.

knock_in_level ​

cpp
double kiyosi::SnowballTerms::knock_in_level

Positive downside knock-in level.

upper_strike ​

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double kiyosi::SnowballTerms::upper_strike

Positive upper settlement strike.

lower_strike ​

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double kiyosi::SnowballTerms::lower_strike

Non-negative lower settlement strike.

knock_in_observation_mode ​

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KnockInObservationMode kiyosi::SnowballTerms::knock_in_observation_mode

Knock-in monitoring frequency.

barrier_state ​

cpp
std::optional<AutocallableBarrierState> kiyosi::SnowballTerms::barrier_state

Prior barrier state; required after monitoring begins.

principal_ratio ​

cpp
double kiyosi::SnowballTerms::principal_ratio

Normalized principal repayment component.

effective_date ​

cpp
Date kiyosi::SnowballTerms::effective_date

First date of the note life.

expiry_date ​

cpp
Date kiyosi::SnowballTerms::expiry_date

Final date of the note life.

observations ​

cpp
std::vector<AutocallableObservation> kiyosi::SnowballTerms::observations

Complete contractual observations, with each date and its terms associated.

kiyosi::TernarySnowballTerms ​

cpp
struct kiyosi::TernarySnowballTerms

Input terms used to construct a TernarySnowballOption.

成员 ​

maturity_coupon_rate ​

cpp
double kiyosi::TernarySnowballTerms::maturity_coupon_rate

Finite coupon paid at maturity before knock-in adjustment.

minimum_coupon_rate ​

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double kiyosi::TernarySnowballTerms::minimum_coupon_rate

Finite maturity-coupon floor after knock-in.

knock_in_level ​

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double kiyosi::TernarySnowballTerms::knock_in_level

Positive downside knock-in level.

knock_in_observation_mode ​

cpp
KnockInObservationMode kiyosi::TernarySnowballTerms::knock_in_observation_mode

Knock-in monitoring frequency.

barrier_state ​

cpp
std::optional<AutocallableBarrierState> kiyosi::TernarySnowballTerms::barrier_state

Prior barrier state; required after monitoring begins.

principal_ratio ​

cpp
double kiyosi::TernarySnowballTerms::principal_ratio

Normalized principal repayment component.

effective_date ​

cpp
Date kiyosi::TernarySnowballTerms::effective_date

First date of the note life.

expiry_date ​

cpp
Date kiyosi::TernarySnowballTerms::expiry_date

Final date of the note life.

observations ​

cpp
std::vector<AutocallableObservation> kiyosi::TernarySnowballTerms::observations

Complete contractual observations, with each date and its terms associated.