kiyosi

外观

<kiyosi/instruments/barrier/binary.hpp> ​

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#include <kiyosi/instruments/barrier/binary.hpp>

default_touch_observation_mode ​

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ObservationMode kiyosi::default_touch_observation_mode

Default monitoring frequency for Touch factories.

default_one_touch_settlement_timing ​

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SettlementTiming kiyosi::default_one_touch_settlement_timing

Default settlement timing for one-touch factories.

make_cash_binary_barrier_option ​

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Result<BinaryBarrierOption> kiyosi::make_cash_binary_barrier_option(BinaryBarrierTerms terms, double payout)

Creates a validated cash-paying binary barrier option. 参数

  • terms — Strike, life, and barrier terms.
  • payout — Positive finite cash payout.

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

make_asset_binary_barrier_option ​

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Result<BinaryBarrierOption> kiyosi::make_asset_binary_barrier_option(BinaryBarrierTerms terms)

Creates a validated asset-paying binary barrier option. 返回值: The option, or an input-validation error.

make_cash_one_touch_up ​

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Result<TouchOption> kiyosi::make_cash_one_touch_up(Date effective_date, Date expiry_date, double barrier_level, double payout, kiyosi::SettlementTiming settlement_timing=default_one_touch_settlement_timing, kiyosi::ObservationMode observation_mode=default_touch_observation_mode, std::vector<Date> observation_dates={}, std::optional<BarrierTouchState> touch_state=std::nullopt)

Creates an up one-touch option with a fixed cash payout. 返回值: The option, or an input-validation error.

make_cash_one_touch_down ​

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Result<TouchOption> kiyosi::make_cash_one_touch_down(Date effective_date, Date expiry_date, double barrier_level, double payout, kiyosi::SettlementTiming settlement_timing=default_one_touch_settlement_timing, kiyosi::ObservationMode observation_mode=default_touch_observation_mode, std::vector<Date> observation_dates={}, std::optional<BarrierTouchState> touch_state=std::nullopt)

Creates a down one-touch option with a fixed cash payout. 返回值: The option, or an input-validation error.

make_cash_no_touch_up ​

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Result<TouchOption> kiyosi::make_cash_no_touch_up(Date effective_date, Date expiry_date, double barrier_level, double payout, kiyosi::ObservationMode observation_mode=default_touch_observation_mode, std::vector<Date> observation_dates={}, std::optional<BarrierTouchState> touch_state=std::nullopt)

Creates an up no-touch option with a fixed cash payout at expiry. 返回值: The option, or an input-validation error.

make_cash_no_touch_down ​

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Result<TouchOption> kiyosi::make_cash_no_touch_down(Date effective_date, Date expiry_date, double barrier_level, double payout, kiyosi::ObservationMode observation_mode=default_touch_observation_mode, std::vector<Date> observation_dates={}, std::optional<BarrierTouchState> touch_state=std::nullopt)

Creates a down no-touch option with a fixed cash payout at expiry. 返回值: The option, or an input-validation error.

make_asset_one_touch_up ​

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Result<TouchOption> kiyosi::make_asset_one_touch_up(Date effective_date, Date expiry_date, double barrier_level, kiyosi::SettlementTiming settlement_timing=default_one_touch_settlement_timing, kiyosi::ObservationMode observation_mode=default_touch_observation_mode, std::vector<Date> observation_dates={}, std::optional<BarrierTouchState> touch_state=std::nullopt)

Creates an up one-touch option paying the underlying asset. 返回值: The option, or an input-validation error.

make_asset_one_touch_down ​

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Result<TouchOption> kiyosi::make_asset_one_touch_down(Date effective_date, Date expiry_date, double barrier_level, kiyosi::SettlementTiming settlement_timing=default_one_touch_settlement_timing, kiyosi::ObservationMode observation_mode=default_touch_observation_mode, std::vector<Date> observation_dates={}, std::optional<BarrierTouchState> touch_state=std::nullopt)

Creates a down one-touch option paying the underlying asset. 返回值: The option, or an input-validation error.

make_asset_no_touch_up ​

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Result<TouchOption> kiyosi::make_asset_no_touch_up(Date effective_date, Date expiry_date, double barrier_level, kiyosi::ObservationMode observation_mode=default_touch_observation_mode, std::vector<Date> observation_dates={}, std::optional<BarrierTouchState> touch_state=std::nullopt)

Creates an up no-touch option paying the underlying asset at expiry. 返回值: The option, or an input-validation error.

make_asset_no_touch_down ​

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Result<TouchOption> kiyosi::make_asset_no_touch_down(Date effective_date, Date expiry_date, double barrier_level, kiyosi::ObservationMode observation_mode=default_touch_observation_mode, std::vector<Date> observation_dates={}, std::optional<BarrierTouchState> touch_state=std::nullopt)

Creates a down no-touch option paying the underlying asset at expiry. 返回值: The option, or an input-validation error.

kiyosi::BinaryBarrierOption ​

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class kiyosi::BinaryBarrierOption

Strike-based binary option whose payoff also depends on a barrier_level event.

成员 ​

replace ​

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Result<BinaryBarrierOption> kiyosi::BinaryBarrierOption::replace(std::optional<BarrierTouchState> touch_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; untouched means known absence of touches. Uses core barrier construction validation and error categories.

option_type ​

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OptionType kiyosi::BinaryBarrierOption::option_type() const noexcept

Returns the call-or-put direction.

strike ​

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double kiyosi::BinaryBarrierOption::strike() const noexcept

Returns the positive strike price.

payoff ​

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const BinaryPayoff & kiyosi::BinaryBarrierOption::payoff() const noexcept

Returns the cash-or-asset payoff.

payoff_type ​

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PayoffType kiyosi::BinaryBarrierOption::payoff_type() const noexcept

Returns the payoff denomination.

barrier_terms ​

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const BarrierTerms & kiyosi::BinaryBarrierOption::barrier_terms() const noexcept

Returns the validated barrier terms.

barrier_level ​

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double kiyosi::BinaryBarrierOption::barrier_level() const noexcept

Returns the positive barrier level.

barrier_type ​

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BarrierType kiyosi::BinaryBarrierOption::barrier_type() const noexcept

Returns the barrier direction and activation behavior.

observation_mode ​

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kiyosi::ObservationMode kiyosi::BinaryBarrierOption::observation_mode() const noexcept

Returns the monitoring frequency.

observation_schedule ​

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const ObservationSchedule & kiyosi::BinaryBarrierOption::observation_schedule() const noexcept

Returns the validated observation schedule.

observation_dates ​

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const std::vector<Date> & kiyosi::BinaryBarrierOption::observation_dates() const noexcept

Returns the ordered observation dates.

mean_observation_year_fraction ​

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double kiyosi::BinaryBarrierOption::mean_observation_year_fraction() const noexcept

Returns the average spacing between scheduled observations in years.

effective_date ​

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Date kiyosi::BinaryBarrierOption::effective_date() const noexcept

Returns the first date of the contract life.

expiry_date ​

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Date kiyosi::BinaryBarrierOption::expiry_date() const noexcept

Returns the final date of the contract life.

touch_state ​

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std::optional<BarrierTouchState> kiyosi::BinaryBarrierOption::touch_state() const noexcept

Returns the state of observations before valuation, if supplied.

kiyosi::BinaryBarrierTerms ​

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struct kiyosi::BinaryBarrierTerms

Input terms shared by cash and asset binary barrier options.

成员 ​

option_type ​

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OptionType kiyosi::BinaryBarrierTerms::option_type

Call-or-put direction.

strike ​

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double kiyosi::BinaryBarrierTerms::strike

Positive binary strike.

effective_date ​

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Date kiyosi::BinaryBarrierTerms::effective_date

First date of the contract life.

expiry_date ​

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Date kiyosi::BinaryBarrierTerms::expiry_date

Final date of the contract life.

barrier_level ​

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double kiyosi::BinaryBarrierTerms::barrier_level

Positive barrier trigger level.

barrier_type ​

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BarrierType kiyosi::BinaryBarrierTerms::barrier_type

Barrier direction and activation behavior.

observation_mode ​

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kiyosi::ObservationMode kiyosi::BinaryBarrierTerms::observation_mode

Monitoring frequency.

observation_dates ​

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

Ordered dates for scheduled monitoring.

touch_state ​

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std::optional<BarrierTouchState> kiyosi::BinaryBarrierTerms::touch_state

History before valuation, if supplied.

kiyosi::TouchOption ​

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class kiyosi::TouchOption

Strike-free one-touch or no-touch contract paying cash or the asset.

成员 ​

replace ​

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Result<TouchOption> kiyosi::TouchOption::replace(std::optional<BarrierTouchState> touch_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; untouched means known absence of touches. Uses core barrier construction validation and error categories.

payoff ​

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const BinaryPayoff & kiyosi::TouchOption::payoff() const noexcept

Returns the cash-or-asset payoff.

payoff_type ​

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PayoffType kiyosi::TouchOption::payoff_type() const noexcept

Returns the payoff denomination.

settlement_timing ​

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kiyosi::SettlementTiming kiyosi::TouchOption::settlement_timing() const noexcept

Returns when the payoff settles.

barrier_terms ​

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const BarrierTerms & kiyosi::TouchOption::barrier_terms() const noexcept

Returns the validated barrier terms.

barrier_level ​

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double kiyosi::TouchOption::barrier_level() const noexcept

Returns the positive barrier level.

is_one_touch ​

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bool kiyosi::TouchOption::is_one_touch() const noexcept

Returns whether this contract pays when the barrier is touched.

is_up ​

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bool kiyosi::TouchOption::is_up() const noexcept

Returns whether this is an upward barrier.

observation_mode ​

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kiyosi::ObservationMode kiyosi::TouchOption::observation_mode() const noexcept

Returns the monitoring frequency.

observation_schedule ​

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const ObservationSchedule & kiyosi::TouchOption::observation_schedule() const noexcept

Returns the validated observation schedule.

observation_dates ​

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const std::vector<Date> & kiyosi::TouchOption::observation_dates() const noexcept

Returns the ordered observation dates.

mean_observation_year_fraction ​

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double kiyosi::TouchOption::mean_observation_year_fraction() const noexcept

Returns the average spacing between scheduled observations in years.

effective_date ​

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Date kiyosi::TouchOption::effective_date() const noexcept

Returns the first date of the contract life.

expiry_date ​

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Date kiyosi::TouchOption::expiry_date() const noexcept

Returns the final date of the contract life.

touch_state ​

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std::optional<BarrierTouchState> kiyosi::TouchOption::touch_state() const noexcept

Returns the state of observations before valuation, if supplied.