kiyosi

外观

<kiyosi/market/context.hpp> ​

cpp
#include <kiyosi/market/context.hpp>

make_pricing_context ​

cpp
Result<PricingContext> kiyosi::make_pricing_context(BlackScholesMertonParameters model_parameters, double spot_price, Timestamp valuation_time, TradingCalendar calendar)

Creates a pricing context at an intraday valuation time with an explicit calendar. 返回值: The context, or an invalid_spot_price or invalid_date error.

make_pricing_context ​

cpp
Result<PricingContext> kiyosi::make_pricing_context(BlackScholesMertonParameters model_parameters, double spot_price, Timestamp valuation_time)

Creates a pricing context at an intraday valuation time using weekdays_calendar(). 返回值: The context, or an invalid_spot_price or invalid_date error.

make_pricing_context ​

cpp
Result<PricingContext> kiyosi::make_pricing_context(BlackScholesMertonParameters model_parameters, double spot_price, Date valuation_date, TradingCalendar calendar)

Creates a midnight pricing context for a date with an explicit calendar. 返回值: The context, or an invalid_spot_price or invalid_date error.

make_pricing_context ​

cpp
Result<PricingContext> kiyosi::make_pricing_context(BlackScholesMertonParameters model_parameters, double spot_price, Date valuation_date)

Creates a midnight pricing context for a date using weekdays_calendar(). 返回值: The context, or an invalid_spot_price or invalid_date error.

kiyosi::PricingContext ​

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class kiyosi::PricingContext

Valuation-time snapshot: model parameters, the observable spot, and the trading calendar.

成员 ​

replace ​

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Result<PricingContext> kiyosi::PricingContext::replace(const PricingContextChanges &changes={}) const

Returns a validated owning copy with the supplied fields replaced. Uses make_pricing_context validation and error categories; never changes this object. Concurrent calls and reads follow the calendar contract, without concurrent assignment.

model_parameters ​

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const BlackScholesMertonParameters & kiyosi::PricingContext::model_parameters() const noexcept

Returns the Black-Scholes-Merton model parameters.

spot_price ​

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double kiyosi::PricingContext::spot_price() const noexcept

Returns the positive observable spot price.

valuation_date ​

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Date kiyosi::PricingContext::valuation_date() const noexcept

Returns the civil date containing the valuation time.

valuation_time ​

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Timestamp kiyosi::PricingContext::valuation_time() const noexcept

Returns the valuation timestamp.

calendar ​

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const TradingCalendar & kiyosi::PricingContext::calendar() const noexcept

Returns the trading calendar.

kiyosi::PricingContextChanges ​

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struct kiyosi::PricingContextChanges

Fields to replace; absent fields retain their current values, including the calendar.

成员 ​

model_parameters ​

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std::optional<BlackScholesMertonParameters> kiyosi::PricingContextChanges::model_parameters

spot_price ​

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std::optional<double> kiyosi::PricingContextChanges::spot_price

valuation_time ​

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std::optional<Timestamp> kiyosi::PricingContextChanges::valuation_time

calendar ​

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std::optional<TradingCalendar> kiyosi::PricingContextChanges::calendar