kiyosi

外观

<kiyosi/pricing/engines/accumulator/monte_carlo.hpp> ​

cpp
#include <kiyosi/pricing/engines/accumulator/monte_carlo.hpp>

make_monte_carlo_accumulator_engine ​

cpp
Result<MonteCarloAccumulatorEngine> kiyosi::make_monte_carlo_accumulator_engine(TradingDayMonteCarloSettings settings)

Creates an engine after validating its configuration. 返回值: The engine, or an invalid_parameter error.

kiyosi::MonteCarloAccumulatorEngine ​

cpp
class kiyosi::MonteCarloAccumulatorEngine

Simulates the trading-day accrual, terminating each path at the knock-out level. Accepts 1..10,000,000 paths.

成员 ​

MonteCarloAccumulatorEngine ​

cpp
kiyosi::MonteCarloAccumulatorEngine::MonteCarloAccumulatorEngine()=default

Creates an engine with valid default settings.

price ​

cpp
Result<double> kiyosi::MonteCarloAccumulatorEngine::price(const Accumulator &option, const PricingContext &context) const

Prices an accumulator by Monte Carlo simulation. 返回值: Price, or a contract, context, numerical, or backend error.

price_with_greeks ​

cpp
Result<PricingResult> kiyosi::MonteCarloAccumulatorEngine::price_with_greeks(const Accumulator &option, const PricingContext &context, GreeksRequest greeks, NumericalShiftSettings settings={}) const

Prices with the explicitly requested Greeks; unavailable measures remain empty. CPU spot bumps share per-call random draws and growth factors with per-block reduction storage.

settings ​

cpp
TradingDayMonteCarloSettings kiyosi::MonteCarloAccumulatorEngine::settings() const noexcept

Returns the engine settings.