kiyosi

外观

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

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

kiyosi::NumericalShiftSettings ​

cpp
struct kiyosi::NumericalShiftSettings

Absolute bump sizes for finite-difference Greeks computed by revaluing any engine. Spot uses asset-price units, volatility and rates use decimal units, and time uses calendar days. Reported vega, vanna, zomma, and rho are still scaled per percentage point. Calculations use the representable symmetric spacing after rounding each bump. Collapsed or asymmetric stencils leave the affected Greeks unavailable.

成员 ​

spot_shift ​

cpp
double kiyosi::NumericalShiftSettings::spot_shift

Positive absolute spot bump.

volatility_shift ​

cpp
double kiyosi::NumericalShiftSettings::volatility_shift

Positive absolute volatility bump.

rate_shift ​

cpp
double kiyosi::NumericalShiftSettings::rate_shift

Positive absolute interest-rate bump.

time_shift_days ​

cpp
int kiyosi::NumericalShiftSettings::time_shift_days

Positive calendar-day bump.