kiyosi

外观

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

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

kiyosi::AnalyticBinaryBarrierEngine ​

cpp
class kiyosi::AnalyticBinaryBarrierEngine

Closed-form Rubinstein-Reiner binary barrier and touch valuation. Scheduled monitoring uses a BGK barrier shift. Untouched contracts with future observations require a final observation at expiry; shorter 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. Greek requests validate scheduled dates once per call against the context's calendar.

成员 ​

price ​

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

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

price_with_greeks ​

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

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

price ​

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

Prices a one-touch or no-touch option. 返回值: Price, or a contract, context, or unsupported-operation error.

price_with_greeks ​

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

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