kiyosi

外观

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

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

make_monte_carlo_autocallable_engine ​

cpp
Result<MonteCarloAutocallableEngine> kiyosi::make_monte_carlo_autocallable_engine(TradingDayMonteCarloSettings settings)

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

kiyosi::MonteCarloAutocallableEngine ​

cpp
class kiyosi::MonteCarloAutocallableEngine

Simulates observation dates and expiry, adding trading days for daily knock-in monitoring. Accepts 1..10,000,000 paths.

成员 ​

MonteCarloAutocallableEngine ​

cpp
kiyosi::MonteCarloAutocallableEngine::MonteCarloAutocallableEngine()=default

Creates an engine with valid default settings.

price ​

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

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

price_with_greeks ​

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

Prices with the explicitly requested Greeks; unavailable measures remain empty. CPU spot sensitivities share per-path draws with separate event states and per-block reduction storage.

settings ​

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

Returns the engine settings.