kiyosi

外观

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

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

kiyosi::AnalyticDigitalEngine ​

cpp
class kiyosi::AnalyticDigitalEngine

Closed-form cash-or-nothing and asset-or-nothing valuation with analytic delta and gamma.

成员 ​

price ​

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

Prices a European cash-or-nothing or asset-or-nothing option. 返回值: Price, or a contract or context error.

price ​

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

price_with_greeks ​

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

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

price_with_greeks ​

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