kiyosi

外观

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

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

CouponQuoteConvention ​

cpp
enum class CouponQuoteConvention

Determines whether a Snowball maturity coupon moves with its quoted knock-out coupon.

枚举值

  • shift_maturity_coupon — Shift the maturity coupon with the quoted knock-out coupon.
  • preserve_maturity_coupon — Keep the maturity coupon fixed while solving.

kiyosi::ImpliedCouponSettings ​

cpp
struct kiyosi::ImpliedCouponSettings

Bracketing bounds and convergence controls for the implied-coupon solver. Stops when either the price error or the parameter interval meets its own tolerance.

成员 ​

lower_bound ​

cpp
double kiyosi::ImpliedCouponSettings::lower_bound

Finite lower coupon bound.

upper_bound ​

cpp
double kiyosi::ImpliedCouponSettings::upper_bound

Finite upper coupon bound, greater than the lower bound.

price_tolerance ​

cpp
double kiyosi::ImpliedCouponSettings::price_tolerance

Positive absolute price-error tolerance.

parameter_tolerance ​

cpp
double kiyosi::ImpliedCouponSettings::parameter_tolerance

Positive absolute coupon-interval tolerance.

max_iterations ​

cpp
int kiyosi::ImpliedCouponSettings::max_iterations

Positive maximum bisection iteration count.

kiyosi::ImpliedVolatilitySettings ​

cpp
struct kiyosi::ImpliedVolatilitySettings

Bracketing bounds and convergence controls for the implied-volatility solver. Stops when either the price error or the parameter interval meets its own tolerance.

成员 ​

lower_bound ​

cpp
double kiyosi::ImpliedVolatilitySettings::lower_bound

Positive lower volatility bound.

upper_bound ​

cpp
double kiyosi::ImpliedVolatilitySettings::upper_bound

Upper volatility bound, greater than the lower bound.

price_tolerance ​

cpp
double kiyosi::ImpliedVolatilitySettings::price_tolerance

Positive absolute price-error tolerance.

parameter_tolerance ​

cpp
double kiyosi::ImpliedVolatilitySettings::parameter_tolerance

Positive absolute volatility-interval tolerance.

max_iterations ​

cpp
int kiyosi::ImpliedVolatilitySettings::max_iterations

Positive maximum Brent iteration count, excluding endpoint prices.