kiyosi

外观

<kiyosi/pricing/engines/asian/analytic.hpp> ​

cpp
#include <kiyosi/pricing/engines/asian/analytic.hpp>

kiyosi::AnalyticGeometricAveragePriceEngine ​

cpp
class kiyosi::AnalyticGeometricAveragePriceEngine

Closed-form continuous geometric average-price option under lognormal spot.

成员 ​

price ​

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

Prices a geometric-average option. Once averaging has begun, its realized average must be positive. Before averaging begins, the realized average must be zero. 返回值: Price, or a contract or context error.

price_with_greeks ​

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

Prices with the explicitly requested Greeks; unavailable measures remain empty.

kiyosi::TurnbullWakemanArithmeticAveragePriceEngine ​

cpp
class kiyosi::TurnbullWakemanArithmeticAveragePriceEngine

Turnbull-Wakeman moment-matched approximation for arithmetic averaging.

成员 ​

price ​

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

Prices an arithmetic-average option using moment matching. For a nonzero averaging window, the realized average must be zero before averaging begins and positive afterward. A zero-length window is a single fixing at expiry and follows European vanilla pricing before expiry. 返回值: Price, or a contract or context error.

price_with_greeks ​

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

Prices with the explicitly requested Greeks; unavailable measures remain empty.