kiyosi

外观

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

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

make_barrier_option ​

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Result<BarrierOption> kiyosi::make_barrier_option(BarrierOptionTerms terms)

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

kiyosi::BarrierOption ​

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class kiyosi::BarrierOption

Knock-in or knock-out vanilla payoff with an optional rebate.

成员 ​

replace ​

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Result<BarrierOption> kiyosi::BarrierOption::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::BarrierOption::option_type() const noexcept

Returns the call-or-put direction.

strike ​

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

Returns the positive strike price.

rebate ​

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double kiyosi::BarrierOption::rebate() const noexcept

Returns the non-negative rebate.

rebate_timing ​

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kiyosi::RebateTiming kiyosi::BarrierOption::rebate_timing() const noexcept

Returns when the rebate is paid.

barrier_terms ​

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

Returns the validated barrier terms.

barrier_level ​

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

Returns the positive barrier level.

barrier_type ​

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

Returns the barrier direction and activation behavior.

observation_mode ​

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

Returns the monitoring frequency.

observation_schedule ​

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

Returns the validated observation schedule.

observation_dates ​

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

Returns the ordered observation dates.

mean_observation_year_fraction ​

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

Returns the average spacing between scheduled observations in years.

effective_date ​

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

Returns the first date of the contract life.

expiry_date ​

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

Returns the final date of the contract life.

touch_state ​

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

Returns the state of observations before valuation, if supplied.

kiyosi::BarrierOptionTerms ​

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struct kiyosi::BarrierOptionTerms

Input terms used to construct a BarrierOption.

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option_type ​

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OptionType kiyosi::BarrierOptionTerms::option_type

Call-or-put direction.

strike ​

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double kiyosi::BarrierOptionTerms::strike

Positive option strike.

effective_date ​

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Date kiyosi::BarrierOptionTerms::effective_date

First date of the contract life.

expiry_date ​

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Date kiyosi::BarrierOptionTerms::expiry_date

Final date of the contract life.

barrier_level ​

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double kiyosi::BarrierOptionTerms::barrier_level

Positive barrier trigger level.

barrier_type ​

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BarrierType kiyosi::BarrierOptionTerms::barrier_type

Barrier direction and activation behavior.

rebate ​

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double kiyosi::BarrierOptionTerms::rebate

Non-negative cash rebate.

rebate_timing ​

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kiyosi::RebateTiming kiyosi::BarrierOptionTerms::rebate_timing

Rebate payment timing.

observation_mode ​

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kiyosi::ObservationMode kiyosi::BarrierOptionTerms::observation_mode

Monitoring frequency.

observation_dates ​

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

Ordered dates for scheduled monitoring.

touch_state ​

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

History before valuation, if supplied.