kiyosi

外观

<kiyosi/pricing/settings/finite_difference.hpp> ​

cpp
#include <kiyosi/pricing/settings/finite_difference.hpp>

FiniteDifferenceScheme ​

cpp
enum class FiniteDifferenceScheme

Time-marching schemes supported by finite-difference engines.

枚举值

  • explicit_euler — First-order explicit Euler scheme.
  • implicit_euler — First-order implicit Euler scheme.
  • crank_nicolson — Second-order Crank-Nicolson scheme.

validate_finite_difference_settings ​

cpp
Result<void> kiyosi::validate_finite_difference_settings(const FiniteDifferenceSettings &settings)

Validates shared finite-difference grid settings; engine-specific limits are checked by engine factories. 参数

  • settings — Settings to validate.

返回值: Success, or an invalid_parameter error.

kiyosi::FiniteDifferenceSettings ​

cpp
struct kiyosi::FiniteDifferenceSettings

Aggregate configuration validated when creating a finite-difference engine. The shared validator checks asset steps >= 3 and time steps >= 1. Vanilla, digital, and barrier engines accept at most 10,000 asset and 100,000 time steps; accumulator and autocallable engines accept at most 2,000 of each. An explicit scheme may impose a further stability constraint for the chosen market and grid. American vanilla and autocallable engines widen automatic domains with volatility and maturity. American grids and wide autocallable grids use sinh coordinates to retain asset resolution. Explicit upper boundaries still require a domain-convergence check.

成员 ​

asset_step_count ​

cpp
int kiyosi::FiniteDifferenceSettings::asset_step_count

Number of spatial grid steps; must be at least three.

time_step_count ​

cpp
int kiyosi::FiniteDifferenceSettings::time_step_count

Number of time steps; must be positive.

scheme ​

cpp
FiniteDifferenceScheme kiyosi::FiniteDifferenceSettings::scheme

Time-marching scheme.

asset_upper_boundary ​

cpp
std::optional<double> kiyosi::FiniteDifferenceSettings::asset_upper_boundary

Positive upper spot boundary, or automatic when absent.