kiyosi

外观

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

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

make_finite_difference_digital_engine ​

cpp
Result<FiniteDifferenceDigitalEngine> kiyosi::make_finite_difference_digital_engine(FiniteDifferenceSettings settings)

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

kiyosi::FiniteDifferenceDigitalEngine ​

cpp
class kiyosi::FiniteDifferenceDigitalEngine

Uniform-grid finite-difference engine for European digital options. Upper-edge values use BSM exercise probabilities at each time step. Accepts 3..10,000 asset steps and 1..100,000 time steps. Prices materially outside the non-negative payoff bounds return invalid_result.

成员 ​

FiniteDifferenceDigitalEngine ​

cpp
kiyosi::FiniteDifferenceDigitalEngine::FiniteDifferenceDigitalEngine()=default

Creates an engine with valid default settings.

price ​

cpp
Result<double> kiyosi::FiniteDifferenceDigitalEngine::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, context, or numerical error.

price ​

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

price_with_greeks ​

cpp
Result<PricingResult> kiyosi::FiniteDifferenceDigitalEngine::price_with_greeks(const CashOrNothingOption &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.

price_with_greeks ​

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

settings ​

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

Returns the engine settings.