kiyosi

外观

<kiyosi/pricing/engines/autocallable/finite_difference.hpp> ​

cpp
#include <kiyosi/pricing/engines/autocallable/finite_difference.hpp>

make_finite_difference_autocallable_engine ​

cpp
Result<FiniteDifferenceAutocallableEngine> kiyosi::make_finite_difference_autocallable_engine(FiniteDifferenceSettings settings)

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

kiyosi::FiniteDifferenceAutocallableEngine ​

cpp
class kiyosi::FiniteDifferenceAutocallableEngine

One- or two-layer backward induction, depending on whether the note has knock-in state, with knock-out and coupon events anchored onto the time grid. Accepts 3..2,000 asset steps and 1..2,000 time steps.

成员 ​

FiniteDifferenceAutocallableEngine ​

cpp
kiyosi::FiniteDifferenceAutocallableEngine::FiniteDifferenceAutocallableEngine()=default

Creates an engine with valid default settings.

price ​

cpp
template <AutocallableProduct Note>
Result<double> kiyosi::FiniteDifferenceAutocallableEngine::price(const Note &note, const PricingContext &context) const

Prices an autocallable note by finite differences. 返回值: Price, or a contract, context, or numerical error.

price_with_greeks ​

cpp
template <AutocallableProduct Note>
Result<PricingResult> kiyosi::FiniteDifferenceAutocallableEngine::price_with_greeks(const Note &option, const PricingContext &context, GreeksRequest greeks, NumericalShiftSettings settings={}) const

Prices with the explicitly requested Greeks; unavailable measures remain empty. Delta, gamma, and speed reuse the solved layer; vanna/zomma and charm/color difference native delta/gamma shifted in volatility and time. Other measures use numerical price differences.

settings ​

cpp
FiniteDifferenceSettings kiyosi::FiniteDifferenceAutocallableEngine::settings() const noexcept

Returns the engine settings.