quantsupport 0.1.6

Rust quantitative finance library for derivatives pricing, yield-curve bootstrapping, AAD risk, Monte Carlo exposure, and XVA.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109

use std::any::Any;

use crate::{
    core::{
        evaluationresults::EvaluationResults,
        marketdatahandling::marketdata::{MarketDataProvider, MarketDataRequest},
        pricingcontext::PricingContext,
        request::Request,
    },
    utils::errors::{QSError, Result},
};

/// The [`Pricer`] trait should be implemented by any instrument pricing methodology. Implementers
/// must also implement [`Send`] and [`Sync`].
pub trait Pricer: Send + Sync {
    /// The associated instrument to be priced.
    type Item;
    /// The discount policy type supported by this pricer.
    type Policy: ?Sized + Send + Sync;

    /// Evaluates the instrument over a [`Request`] given a [`MarketDataProvider`].
    ///
    /// ## Arguments
    /// * `trade`: the associated instrument that this pricer is capable of handeling.
    /// * `requests`: a slice containing the different [`Request`] that being required to resolve.
    /// * `ctx`: an implementation of [`MarketDataProvider`] that can be used to resolve market data requests and access constructed market data elements during the evaluation process.
    ///
    /// ## Returns
    /// Returns [`EvaluationResults`] if the evaluation succeded.
    ///
    /// ## Errors
    /// Returns an error if the evaluation fails.
    fn evaluate(
        &self,
        trade: &Self::Item,
        requests: &[Request],
        ctx: &impl MarketDataProvider,
    ) -> Result<EvaluationResults>;

    /// Returns a [`MarketDataRequest`] containing the market data elements required to evaluate the instrument.
    ///
    /// ## Arguments
    /// * `trade`: the associated instrument that this pricer is capable of handeling.
    ///
    /// ## Returns
    /// Returns a [`MarketDataRequest`] if the pricer requires market data to evaluate the instrument, otherwise returns `None`.
    fn market_data_request(&self, trade: &Self::Item) -> Option<MarketDataRequest>;

    /// Attaches a [`DiscountPolicy`](crate::core::collateral::DiscountPolicy) that overrides default discounting and
    /// can define both discount-curve and pricing-currency resolution.
    fn set_discount_policy(&mut self, _policy: Box<Self::Policy>);

    /// Returns the currently active [`DiscountPolicy`](crate::core::collateral::DiscountPolicy), if any.
    fn discount_policy(&self) -> Option<&Self::Policy>;
}

/// The [`ErasedPricer`] trait provides a type-erased interface for evaluating trades.
///
/// It removes the need for compile-time knowledge of the specific pricer type,
/// allowing dynamic dispatch based on the trade type being evaluated.
pub trait ErasedPricer: Send + Sync {
    /// Evaluates the given trade using the pricer's logic, without requiring knowledge of the specific trade type at compile time.
    ///
    /// # Errors
    /// Returns an error if the trade type is unsupported or evaluation fails.
    ///
    /// ## Arguments
    /// * `trade`: a reference to the trade to be evaluated, provided as a trait object of type `dyn Any`.
    /// * `requests`: a slice of market data requests that may be needed to perform the evaluation.
    /// * `ctx`: a reference to the pricing context, which provides access to market data and other relevant information needed for the evaluation.
    ///
    /// ## Returns
    /// Returns an [`EvaluationResults`] object containing the results of the evaluation if successful, or an error if the evaluation fails.
    fn evaluate_erased(
        &self,
        trade: &dyn Any,
        requests: &[Request],
        ctx: &PricingContext,
    ) -> Result<EvaluationResults>;
}

/// Blanket implementation: every [`Pricer`] automatically supports type-erased
/// evaluation.
///
/// The incoming `&dyn Any` trade is downcast to the pricer's associated
/// [`Pricer::Item`] and dispatched to [`Pricer::evaluate`]. This means any new
/// pricer only needs to implement [`Pricer`] to be registrable with the
/// [`Evaluator`](crate::core::evaluator::Evaluator).
impl<P> ErasedPricer for P
where
    P: Pricer,
    P::Item: Any,
{
    fn evaluate_erased(
        &self,
        trade: &dyn Any,
        requests: &[Request],
        ctx: &PricingContext,
    ) -> Result<EvaluationResults> {
        let typed_trade = trade.downcast_ref::<P::Item>().ok_or_else(|| {
            QSError::InvalidValueErr(format!(
                "Pricer expected a trade of type `{}`, but received a value with type id {:?}",
                std::any::type_name::<P::Item>(),
                trade.type_id()
            ))
        })?;
        self.evaluate(typed_trade, requests, ctx)
    }
}