Pricing Engines

DerivFabric supports multiple pricing engines. The caller selects the engine via the pricer field in pricing requests.

Engine matrix

Engine	ID	Vanilla	American	Exotic	Greeks
Analytical (BS)	1	Yes	No	Partial	Closed-form
Monte Carlo	2	Tree fallback	No	Yes	Bump-and-reprice
Finite Difference	3	Yes	Yes	No	Finite diff
Binomial Tree	4	Yes	Yes	No	Tree Greeks
Trinomial Tree	5	Yes	Yes	No	Tree Greeks
FFT (Carr-Madan)	6	Yes	No	No	Bump-and-reprice
LSM (Longstaff-Schwartz)	7	Yes	Yes	No	Pathwise
Barone-Adesi-Whaley	8	Yes	Yes	No	Bump-and-reprice

Analytical pricers

Pricer	Asset class	Instruments
BlackScholesAnalyticalPricer	Equity	Vanilla European call/put
BaroneAdesiWhaleyPricer	Equity	American call/put (quadratic approximation)
BjerksundStenslandPricer	Equity	American call/put (alternative approximation)
GeometricAsianPricer	Equity	Geometric-average Asian
TurnbullWakemanPricer	Equity	Arithmetic-average Asian
LevyAsianPricer	Equity	Arithmetic Asian (Levy)
KemnaVorstPricer	Equity	Geometric Asian (Kemna-Vorst)
ConzeViswanathanPricer	Equity	Lookback (floating/fixed strike)
GoldmanSosinGattoPricer	Equity	Lookback (alternative)
IkedaKunitomoPricer	Equity	Single/double barrier
KirkPricer	Equity	Spread options
VannaVolgaPricer	FX	Vanna-Volga method
CDSBlackPricer	Credit	CDS options

Monte Carlo

• GBM paths for European exotics and DSL contracts
• LSM (Longstaff-Schwartz) for American options with configurable basis functions (Laguerre, Hermite, Chebyshev, Monomials)
• Multi-asset correlated paths via Cholesky decomposition for basket/worst-of products
• Antithetic variance reduction supported

FFT

Carr-Madan FFT pricing with pluggable characteristic functions:

• Heston stochastic volatility
• Merton jump-diffusion
• Bates (stochastic vol + jumps)

Contract DSL pricing

The DSL evaluator compiles contracts to payoff functions and prices via Monte Carlo:

Contract  →  ContractEvaluator::compile()  →  Box<dyn Fn(&[f64]) -> f64>
          →  Generate GBM paths
          →  Evaluate payoff on each path
          →  Discount average payoff