kiyosi

外观

<kiyosi/pricing/result.hpp> ​

cpp
#include <kiyosi/pricing/result.hpp>

Greek ​

cpp
enum class Greek

Public Greek contract:

  • delta, gamma, and speed are price changes per one spot unit, squared spot unit, and cubed spot unit, respectively;
  • vega, vanna, and zomma are price, delta, and gamma changes per one volatility percentage point (an absolute volatility change of 0.01);
  • rho is the price change per one interest-rate percentage point (an absolute rate change of 0.01);
  • theta, charm, and color are price, delta, and gamma changes per calendar day as valuation time moves forward. Unrequested, undefined, or unsupported Greeks are unavailable (std::nullopt), never zero sentinels.

枚举值

  • delta — First derivative with respect to spot.
  • gamma — Second derivative with respect to spot.
  • speed — Third derivative with respect to spot.
  • theta — Value change per calendar day of forward valuation time.
  • charm — Delta change per calendar day of forward valuation time.
  • color — Gamma change per calendar day of forward valuation time.
  • vega — Value change per volatility percentage point.
  • vanna — Delta change per volatility percentage point.
  • zomma — Gamma change per volatility percentage point.
  • rho — Value change per interest-rate percentage point.

greek_count ​

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std::size_t kiyosi::greek_count

Number of defined Greek values.

greek_index ​

cpp
std::optional<std::size_t> kiyosi::greek_index(Greek greek) noexcept

Converts a Greek to its PricingResult storage index. 返回值: The index, or std::nullopt for an unknown enumerator.

make_pricing_result ​

cpp
Result<PricingResult> kiyosi::make_pricing_result(double price, std::initializer_list<std::pair<Greek, std::optional<double>>> entries={})

Builds a result from a price and runtime Greek entries. Unknown Greeks are rejected with invalid_parameter. Later duplicate entries replace earlier entries for the same Greek. The final price and every available Greek must be finite. 返回值: The populated result, or an invalid_parameter or invalid_result error.

kiyosi::GreeksRequest ​

cpp
class kiyosi::GreeksRequest

Greeks requested from a joint valuation. Price is always included separately. Construct from one or more Greek values, or from true for every Greek. Duplicates are ignored; empty requests and unknown values are rejected by price_with_greeks() with an invalid_parameter error.

成员 ​

GreeksRequest ​

cpp
kiyosi::GreeksRequest::GreeksRequest()=default

Used internally for price-only valuations; invalid for price_with_greeks().

GreeksRequest ​

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kiyosi::GreeksRequest::GreeksRequest(std::initializer_list<Greek> greeks)

GreeksRequest ​

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kiyosi::GreeksRequest::GreeksRequest(std::span<const Greek> greeks)

GreeksRequest ​

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template <std::same_as< bool > T>
kiyosi::GreeksRequest::GreeksRequest(T all_greeks)

has ​

cpp
bool kiyosi::GreeksRequest::has(Greek greek) const noexcept

empty ​

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bool kiyosi::GreeksRequest::empty() const noexcept

validate ​

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Result<void> kiyosi::GreeksRequest::validate() const

kiyosi::PricingResult ​

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class kiyosi::PricingResult

Finite price and a fixed-size collection of optional finite Greeks.

成员 ​

GreekValues ​

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using kiyosi::PricingResult::GreekValues = std::array<std::optional<double>, greek_count>

Storage type indexed by greek_index().

price ​

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double kiyosi::PricingResult::price() const noexcept

A finite price is present in every successfully constructed result.

has ​

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bool kiyosi::PricingResult::has(Greek greek) const noexcept

Reports whether the Greek is available; a stored zero is available.

get ​

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Result<std::optional<double>> kiyosi::PricingResult::get(Greek greek) const

Retrieves a Greek when its enumerator is valid. 返回值: The optional value, or an invalid_parameter error for an unknown Greek.

require ​

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Result<double> kiyosi::PricingResult::require(Greek greek) const

Retrieves a required Greek. 返回值: The value, or an invalid_parameter or invalid_result error.

values_view ​

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const GreekValues & kiyosi::PricingResult::values_view() const noexcept

Returns a read-only view of all Greek slots. 注意: The reference remains valid until this result is destroyed, moved from, or assigned.

selected ​

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PricingResult kiyosi::PricingResult::selected(GreeksRequest greeks) const noexcept

Returns price and only the requested Greeks.

all_finite ​

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bool kiyosi::PricingResult::all_finite() const noexcept

Tests whether price and every available Greek are finite.