kiyosi

外观

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

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

kiyosi::AnalyticBarrierEngine ​

cpp
class kiyosi::AnalyticBarrierEngine

Closed-form Reiner-Rubinstein barrier valuation with a BGK shift for scheduled monitoring. Untouched contracts with future scheduled observations require a final observation at expiry; shorter monitoring windows return unsupported_operation. Spot must lie strictly on the unbreached side of the shifted barrier; otherwise the approximation returns unsupported_operation. Resolved settlements remain supported.

成员 ​

price ​

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

Prices a barrier option analytically. 返回值: Price, or a contract, context, or unsupported-operation error.

price_with_greeks ​

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

Prices with the explicitly requested Greeks; unavailable measures remain empty. Scheduled dates are validated once per call against the context's calendar.