kiyosi

外观

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

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

kiyosi::QuadratureVanillaEngine ​

cpp
class kiyosi::QuadratureVanillaEngine

Simpson quadrature over the terminal lognormal density.

成员 ​

price ​

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

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

price_with_greeks ​

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

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