kiyosi

外观

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

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

make_finite_difference_vanilla_engine ​

cpp
Result<FiniteDifferenceVanillaEngine> kiyosi::make_finite_difference_vanilla_engine(FiniteDifferenceSettings settings)

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

kiyosi::FiniteDifferenceVanillaEngine ​

cpp
class kiyosi::FiniteDifferenceVanillaEngine

Uniform-grid finite-difference engine for vanilla European and American options. European upper-edge values include exact BSM time value; American edges also permit immediate exercise. Accepts 3..10,000 asset steps and 1..100,000 time steps.

成员 ​

FiniteDifferenceVanillaEngine ​

cpp
kiyosi::FiniteDifferenceVanillaEngine::FiniteDifferenceVanillaEngine()=default

Creates an engine with valid default settings.

price ​

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

price_with_greeks ​

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

settings ​

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

Returns the engine settings.