Pricing Overview
Every pricer implements the Pricer trait from src/core:
pub trait Pricer {
type Item; // the trade type
type Policy: ?Sized; // usually dyn DiscountPolicy
fn evaluate(&self, trade: &Self::Item, requests: &[Request], ctx: &impl MarketDataProvider) -> Result<EvaluationResults>;
fn market_data_request(&self, trade: &Self::Item) -> Option<MarketDataRequest>;
fn set_discount_policy(&mut self, policy: Box<Self::Policy>);
fn discount_policy(&self) -> Option<&Self::Policy>;
}evaluate asks the PricingContext (a MarketDataProvider) for exactly the elements listed by market_data_request — discount curves per index, volatility surfaces/cubes, FX pairs, fixings — then prices on the AD tape. All results for one call share one forward pass.
Pricer catalogue
| Pricer | Trade type | Requests | Market data | Model |
|---|---|---|---|---|
DiscountedCashflowPricer<I, T>::new() | any T: LegsProvider<DualFwd> + Trade<I> (swaps, basis swaps, XCCY swaps, bonds, FRNs, deposits, FX forwards via legs) | Value, FairRate, Cashflows, Sensitivities | discount curve per leg index, FX for cross-currency legs, fixings | \(\sum_i CF_i\,P(T_i)\) |
CdsPricer::new() | CdsTrade | Value, FairRate, Sensitivities | credit curve MarketIndex::Credit(name), discount curve | premium/protection legs on survival curve |
BlackEuropeanOptionPricer::new() | EquityEuropeanOptionTrade | Value, Sensitivities | spot, equity surface, discount curve, dividend | Black-Scholes |
BlackMCEuropeanOptionPricer::new() | EquityEuropeanOptionTrade | Value, Sensitivities | a SimulationConfiguration-generated path set | \(P(T)\,\mathbb E[\text{payoff}(S_T)]\) |
FxForwardPricer::new() | FxForwardTrade | Value, FairRate, Sensitivities | base/quote discount curves, spot | \(F = S\,P*{base}/P*{quote}\) |
FxOptionPricer::new() | FxOptionTrade | Value, Sensitivities | base/quote curves, spot, FX surface | Garman-Kohlhagen |
ClosedFormBlackCapletPricer::new() | CapletFloorletTrade | Value, Sensitivities | forward curve, surface at (fixing, strike) | Black-76 |
ClosedFormBlackCapPricer::new() | CapFloorTrade | Value, Sensitivities | same | sum of Black-76 caplets |
ClosedFormHullWhiteCapletPricer::new(alpha, sigma) | CapletFloorletTrade | Value, Sensitivities | discount curve | bond-put representation |
ClosedFormHullWhiteCapPricer::new(alpha, sigma) | CapFloorTrade | Value, Sensitivities | discount curve | sum of HW caplets |
ClosedFormHullWhiteSwaptionPricer::new(alpha, sigma) | EuropeanSwaptionTrade<T> | Value, Sensitivities | discount curve | Jamshidian |
RateFuturesPricer::new() | RateFuturesTrade | Value, Sensitivities | curve of market_index | \(Q = 100 - 100F\) |
Request::YieldToMaturity and Request::ModifiedDuration exist in the enum but no public pricer currently fills them.
Discount policies
A pricer discounts each leg with the curve returned by its DiscountPolicy:
pub trait DiscountPolicy {
fn accept(&self, target: &dyn Discountable) -> Result<MarketIndex>;
fn discount_indices(&self) -> Vec<MarketIndex>;
}| Policy | Behaviour |
|---|---|
SingleCurveCSADiscountPolicy::new(discount_index, currency) | legs in currency discount on discount_index; legs in another currency discount on MarketIndex::Collateral(leg_ccy, currency) — the FX-implied collateral curve |
FixedIncomeDiscountPolicy::new(prefer_instrument_index).with_risk_free_index(ccy, index) | bonds/deposits use their own discount_index when prefer_instrument_index and one is set, otherwise the risk-free index registered for their currency |
Without a policy DiscountedCashflowPricer discounts every leg on its own forward index. With a Collateral(..) index the pricer converts the cashflow to the collateral currency with the context FX store and discounts on the collateral curve.
let mut pricer = DiscountedCashflowPricer::<Swap<DualFwd>, SwapTrade<DualFwd>>::new();
pricer.set_discount_policy(Box::new(SingleCurveCSADiscountPolicy::new(MarketIndex::SOFR, Currency::USD)));Results
EvaluationResults collects price(), fair_rate(), sensitivities(), cashflows(). Sensitivities are computed by one reverse sweep from the price to the quote leaves of every curve/surface used, then labelled with the quote identifiers (OIS_USD_SOFR_5Y, CapletFloorlet_..._Black). Duplicate labels coming from chained curves are merged with SensitivityMap::aggregate().
Type-erased dispatch
When a portfolio mixes trade types, register pricers in an Evaluator:
let mut pricers: HashMap<TypeId, Box<dyn ErasedPricer>> = HashMap::new();
pricers.insert(TypeId::of::<SwapTrade<DualFwd>>(), Box::new(DiscountedCashflowPricer::<Swap<DualFwd>, SwapTrade<DualFwd>>::new()));
pricers.insert(TypeId::of::<FxOptionTrade>(), Box::new(FxOptionPricer::new()));
let evaluator = Evaluator::new(pricers);
let results = evaluator.evaluate(&trade as &dyn Any, &[Request::Value], &context)?;examples/evaluator (cargo run -p evaluator) shows this pattern.