kiyosi

外观

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

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

make_finite_difference_barrier_engine ​

cpp
Result<FiniteDifferenceBarrierEngine> kiyosi::make_finite_difference_barrier_engine(FiniteDifferenceSettings settings)

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

kiyosi::FiniteDifferenceBarrierEngine ​

cpp
class kiyosi::FiniteDifferenceBarrierEngine

Uniform-grid finite-difference engine for barrier options. Accepts 3..10,000 asset steps and 1..100,000 time steps.

成员 ​

FiniteDifferenceBarrierEngine ​

cpp
kiyosi::FiniteDifferenceBarrierEngine::FiniteDifferenceBarrierEngine()=default

Creates an engine with valid default settings.

price ​

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

Prices a barrier option by finite differences. 返回值: Price, or a contract, context, or numerical error.

price_with_greeks ​

cpp
Result<PricingResult> kiyosi::FiniteDifferenceBarrierEngine::price_with_greeks(const BarrierOption &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. Scheduled observation dates are validated once per request; shifted valuations retain their other checks.

settings ​

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

Returns the engine settings.