PricerExt and ModelPricer

Two related but distinct surfaces.

PricerExt<T>

Date-aware pricing surface. Every concrete pricer implements:

pub trait PricerExt<T: FloatExt> {
    fn price(&self, opt: OptionType) -> T;
    fn price_with_dcc(&self, opt: OptionType, valuation: NaiveDate, expiry: NaiveDate) -> T;
}

The _with_dcc variant uses TimeExt::tau_with_dcc(valuation, expiry, calendar, daycount) to compute $\tau$ — necessary for production code that has to honour day-count conventions (ACT/360, ACT/365, 30/360, ACT/ACT) and holiday calendars.

ModelPricer<T>

Concrete-typed pricer interface — no &dyn, no Box<dyn>. The trait exposes:

pub trait ModelPricer<T: FloatExt> {
    type Model;     // e.g. HestonModel, BSMModel
    fn price(&self, k: T, tau: T, opt: OptionType) -> T;
    fn greeks(&self, k: T, tau: T, opt: OptionType) -> Greeks<T> { /* default FD */ }
}

The Model associated type lets calibrators produce a concrete pricer without boxing. This is the surface on which fast calibration loops build.

Why two traits

PricerExt is the user-facing API for one-off pricing of a specific contract. ModelPricer is the building block for vol surfaces and calibrators, where you price thousands of strikes against a single calibrated model and the type-erasure overhead of &dyn matters.

Most pricers implement both. The Model::Pricer associated type on ToModel lets a calibrator produce the right concrete pricer:

pub trait ToModel {
    type Pricer;
    fn to_pricer(&self, params: &Self::Params) -> Self::Pricer;
}

Greeks via GreeksExt

Greeks is a 9-field struct: delta, gamma, vega, theta, rho, vanna, charm, volga, veta.

The default greeks() on ModelPricer is finite-difference — it re-prices with bumped parameters. This is fine for closed-form pricers (BSM, Bachelier, …) but expensive for MC pricers, where the path bundle is the long pole.

MC pricers override greeks() with a single-pass implementation that re-uses the path bundle and bumps the discount / payoff inside the path-aggregation loop. See the greeks-pattern SKILL for the exact protocol.

See also

• Calibrator and CalibrationResult
• Quant catalog — pricers, calibrators, vol surface, risk