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Quantitative Finance · Begrippenlijst

Wat is Pricing engine?

Definition 28.1 Derivatives and Volatility · Hoofdstuk 28 — Build: A Pricing Library

A pricing engine is the component that computes an instrument’s value under a model from a market snapshot by a given numerical method (closed form, tree, finite differences, Monte Carlo, Fourier); several engines may support the same instrument and model, and a registry chooses the default.

The library’s structure: an instrument and a model select an engine through the registry; every engine reads the same immutable snapshot; the top-level calls produce Greeks, sensitivities and scenarios by repricing on bumped copies of the snapshot.
Figure 28.1. The library’s structure: an instrument and a model select an engine through the registry; every engine reads the same immutable snapshot; the top-level calls produce Greeks, sensitivities and scenarios by repricing on bumped copies of the snapshot.
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