kiyosi

外观

<kiyosi/instruments/digital.hpp> ​

cpp
#include <kiyosi/instruments/digital.hpp>

CashOrNothingOption ​

cpp
using kiyosi::CashOrNothingOption = ExerciseBasedOption<CashOrNothingPayoff, EuropeanExercise>

European option paying fixed cash when it expires in the money.

AssetOrNothingOption ​

cpp
using kiyosi::AssetOrNothingOption = ExerciseBasedOption<AssetOrNothingPayoff, EuropeanExercise>

European option paying the underlying asset when it expires in the money.

make_cash_or_nothing_option ​

cpp
Result<CashOrNothingOption> kiyosi::make_cash_or_nothing_option(OptionType option_type, double strike, double payout, Date effective_date, Date expiry_date)

Creates a validated cash-or-nothing European option. 参数

  • option_type — Call-or-put direction.
  • strike — Positive strike price.
  • payout — Positive finite cash amount paid in the money.
  • effective_date — First date of the option life.
  • expiry_date — Final date of the option life.

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

make_asset_or_nothing_option ​

cpp
Result<AssetOrNothingOption> kiyosi::make_asset_or_nothing_option(OptionType option_type, double strike, Date effective_date, Date expiry_date)

Creates a validated asset-or-nothing European option. 返回值: The option, or an input-validation error.