kiyosi

外观

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

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

make_cox_ross_rubinstein_vanilla_engine ​

cpp
Result<CoxRossRubinsteinVanillaEngine> kiyosi::make_cox_ross_rubinstein_vanilla_engine(BinomialSettings settings)

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

kiyosi::CoxRossRubinsteinVanillaEngine ​

cpp
class kiyosi::CoxRossRubinsteinVanillaEngine

Cox-Ross-Rubinstein binomial-tree engine for vanilla European and American options. Value is tree-derived; delta and gamma are numerical tree estimates; higher Greeks use numerical differences. Before expiry, volatility must be at least abs(r - q) * sqrt(T / step_count).

成员 ​

CoxRossRubinsteinVanillaEngine ​

cpp
kiyosi::CoxRossRubinsteinVanillaEngine::CoxRossRubinsteinVanillaEngine()=default

Creates an engine with valid default settings.

price ​

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

Prices a European or American vanilla option. 返回值: Price, or a contract, context, or numerical error.

price ​

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

price_with_greeks ​

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

settings ​

cpp
BinomialSettings kiyosi::CoxRossRubinsteinVanillaEngine::settings() const noexcept

Returns the engine settings.