kiyosi

外观

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

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

kiyosi::AnalyticVanillaEngine ​

cpp
class kiyosi::AnalyticVanillaEngine

Closed-form Black-Scholes-Merton engine for European vanilla options.

成员 ​

price ​

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

Computes only price; returns intrinsic value at expiry_date. 返回值: Price, or a contract or context error.

price_with_greeks ​

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

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