Safe Haskell	None
Language	Haskell2010

QuantLib.CashFlow

Contents

Types
Constructors
Mutators
Inspectors

Synopsis

data GenCashFlow cf
type CashFlow = GenCashFlow CCashFlow
type GenCoupon c = GenCashFlow (AnyOf CCoupon' c)
type Coupon = GenCoupon CCoupon
type GenFloatingRateCoupon frc = GenCoupon (AnyOf CFloatingRateCoupon' frc)
type FloatingRateCoupon = GenFloatingRateCoupon CFloatingRateCoupon
type GenDigitalCoupon dc = GenFloatingRateCoupon (AnyOf CDigitalCoupon' dc)
type DigitalCoupon = GenDigitalCoupon CDigitalCoupon
type GenIndexedCashFlow icf = GenCashFlow (AnyOf CIndexedCashFlow' icf)
type IndexedCashFlow = GenIndexedCashFlow CIndexedCashFlow
type FixedRateCoupon = GenCoupon CFixedRateCoupon
type IborCoupon = GenFloatingRateCoupon CIborCoupon
type AverageBMACoupon = GenFloatingRateCoupon CAverageBMACoupon
type StrippedCappedFlooredCoupon = GenFloatingRateCoupon CStrippedCappedFlooredCoupon
type CmsCoupon = GenFloatingRateCoupon CCmsCoupon
type DigitalCmsCoupon = GenDigitalCoupon CDigitalCmsCoupon
type DigitalCmsSpreadCoupon = GenDigitalCoupon CDigitalCmsSpreadCoupon
type MultipleResetsCoupon = GenFloatingRateCoupon CMultipleResetsCoupon
type OvernightIndexedCoupon = GenFloatingRateCoupon COvernightIndexedCoupon
type RangeAccrualFloatersCoupon = GenFloatingRateCoupon CRangeAccrualFloatersCoupon
type CPICoupon = GenCoupon CCPICoupon
type YoYInflationCoupon = GenCoupon CYoYInflationCoupon
type ZeroInflationCashFlow = GenIndexedCashFlow CZeroInflationCashFlow
type CPICashFlow = GenIndexedCashFlow CCPICashFlow
type EquityCashFlow = GenIndexedCashFlow CEquityCashFlow
data Dividend
data GenLeg l
type Leg = GenLeg CLeg
type CouponLeg = GenLeg CCouponLeg
data GenFloatingRateCouponPricer frcp
type FloatingRateCouponPricer = GenFloatingRateCouponPricer CFloatingRateCouponPricer
type CmsCouponPricer = GenFloatingRateCouponPricer CCmsCouponPricer
data CPICouponPricer
data YoYInflationCouponPricer
data EquityCashFlowPricer
data DurationType
- = Simple
- | Macaulay
- | Modified
data RateAveragingType
- = AveragingSimple
- | AveragingCompound
data TimingAdjustment
- = Black76
- | BivariateLognormal
data PositionType
- = Long
- | Short
data CPIInterpolationType
- = CPIFlat
- | CPILinear
data YieldCurveModel
- = Standard
- | ExactYield
- | ParallelShifts
- | NonParallelShifts
data Discounting y
- = DiscountingCurve !(GenYieldTermStructure y)
- | DiscountingZSpread !(GenYieldTermStructure y) !Double !Compounding !Frequency
- | DiscountingYield !InterestRate
data BpsDiscounting y
- = BpsDiscountingCurve !(GenYieldTermStructure y)
- | BpsDiscountingYield !InterestRate
data ReplicationType
- = ReplicationSub
- | ReplicationCentral
- | ReplicationSuper
data DigitalReplication
data LinearTsrPricerStrategy
- = LinearTsrRateBound
- | LinearTsrVegaRatio Double
- | LinearTsrPriceThreshold Double
- | LinearTsrBSStdDevs Double
data LinearTsrPricerSettings = LinearTsrPricerSettings {
- ltsrStrategy :: LinearTsrPricerStrategy
- ltsrBounds :: Maybe (Double, Double)
}
data IborLegOpts = IborLegOpts {
- ilgPaymentLag :: Int
- ilgPaymentCalendar :: Maybe Calendar
- ilgExCouponPeriod :: (Int, TimeUnit)
- ilgExCouponCalendar :: Maybe Calendar
- ilgExCouponConvention :: BusinessDayConvention
- ilgExCouponEndOfMonth :: Bool
- ilgFixingConvention :: BusinessDayConvention
- ilgUseIndexedCoupons :: Maybe Bool
}
defaultIborLegOpts :: IborLegOpts
data CmsLegOpts = CmsLegOpts {
- cmslExCouponPeriod :: (Int, TimeUnit)
- cmslExCouponCalendar :: Maybe Calendar
- cmslExCouponConvention :: BusinessDayConvention
- cmslExCouponEndOfMonth :: Bool
- cmslFixingConvention :: BusinessDayConvention
}
defaultCmsLegOpts :: CmsLegOpts
data DigitalIborLegOpts = DigitalIborLegOpts {
- dilCallStrikes :: [Double]
- dilCallPosition :: PositionType
- dilCallAtm :: Bool
- dilCallPayoffs :: [Double]
- dilPutStrikes :: [Double]
- dilPutPosition :: PositionType
- dilPutAtm :: Bool
- dilPutPayoffs :: [Double]
- dilReplication :: Maybe DigitalReplication
- dilNakedOption :: Bool
}
defaultDigitalIborLegOpts :: DigitalIborLegOpts
data DigitalCmsLegOpts = DigitalCmsLegOpts {
- dcmlCallStrikes :: [Double]
- dcmlCallPosition :: PositionType
- dcmlCallAtm :: Bool
- dcmlCallPayoffs :: [Double]
- dcmlPutStrikes :: [Double]
- dcmlPutPosition :: PositionType
- dcmlPutAtm :: Bool
- dcmlPutPayoffs :: [Double]
- dcmlReplication :: Maybe DigitalReplication
- dcmlNakedOption :: Bool
}
defaultDigitalCmsLegOpts :: DigitalCmsLegOpts
data DigitalCmsSpreadLegOpts = DigitalCmsSpreadLegOpts {
- dcmslCallStrikes :: [Double]
- dcmslCallPosition :: PositionType
- dcmslCallAtm :: Bool
- dcmslCallPayoffs :: [Double]
- dcmslPutStrikes :: [Double]
- dcmslPutPosition :: PositionType
- dcmslPutAtm :: Bool
- dcmslPutPayoffs :: [Double]
- dcmslReplication :: Maybe DigitalReplication
- dcmslNakedOption :: Bool
}
defaultDigitalCmsSpreadLegOpts :: DigitalCmsSpreadLegOpts
data MultipleResetsLegOpts = MultipleResetsLegOpts {
- mrlNotionals :: NonEmpty Double
- mrlPaymentCalendar :: Maybe Calendar
- mrlPaymentLag :: Int
- mrlFixingDays :: [Word]
- mrlGearings :: [Double]
- mrlCouponSpreads :: [Double]
- mrlRateSpreads :: [Double]
- mrlExCouponPeriod :: (Int, TimeUnit)
- mrlExCouponCalendar :: Maybe Calendar
- mrlExCouponConvention :: BusinessDayConvention
- mrlExCouponEndOfMonth :: Bool
- mrlAveragingMethod :: RateAveragingType
}
defaultMultipleResetsLegOpts :: MultipleResetsLegOpts
asLeg :: GenLeg l -> IO Leg
asCashFlow :: GenCashFlow cf -> IO CashFlow
asCoupon :: GenCoupon c -> IO Coupon
asFloatingRateCoupon :: GenFloatingRateCoupon frc -> IO FloatingRateCoupon
asFloatingRateCouponPricer :: GenFloatingRateCouponPricer frcp -> IO FloatingRateCouponPricer
toCouponLeg :: GenLeg l -> IO CouponLeg
leg :: [(Day, Double)] -> IO Leg
cashFlowLeg :: [GenCashFlow cf] -> IO Leg
simpleCashFlow :: Double -> Day -> IO CashFlow
indexedCashFlow :: Double -> GenIndex idx -> Day -> Day -> Day -> Bool -> IO IndexedCashFlow
redemption :: Double -> Day -> IO CashFlow
amortizingPayment :: Double -> Day -> IO CashFlow
fixedRateCoupon :: Day -> Double -> Double -> DayCounter -> Day -> Day -> Maybe Day -> Maybe Day -> Maybe Day -> IO FixedRateCoupon
floatingRateCoupon :: Day -> Double -> Day -> Day -> Word -> GenInterestRateIndex ridx -> Double -> Double -> Maybe Day -> Maybe Day -> DayCounter -> Bool -> Maybe Day -> BusinessDayConvention -> IO FloatingRateCoupon
iborCoupon :: Day -> Double -> Day -> Day -> Word -> GenIborIndex ibor -> Double -> Double -> Maybe Day -> Maybe Day -> DayCounter -> Bool -> Maybe Day -> BusinessDayConvention -> IO IborCoupon
averageBmaCoupon :: Day -> Double -> Day -> Day -> BMAIndex -> Double -> Double -> Maybe Day -> Maybe Day -> DayCounter -> IO AverageBMACoupon
cappedFlooredCoupon :: GenFloatingRateCoupon frc -> Maybe Double -> Maybe Double -> IO FloatingRateCoupon
strippedCappedFlooredCoupon :: GenFloatingRateCoupon frc -> Maybe Double -> Maybe Double -> IO StrippedCappedFlooredCoupon
cappedFlooredIborCoupon :: Day -> Double -> Day -> Day -> Word -> GenIborIndex ibor -> Double -> Double -> Maybe Double -> Maybe Double -> Maybe Day -> Maybe Day -> DayCounter -> Bool -> Maybe Day -> BusinessDayConvention -> IO FloatingRateCoupon
digitalIborCoupon :: IborCoupon -> Maybe Double -> PositionType -> Bool -> Maybe Double -> Maybe Double -> PositionType -> Bool -> Maybe Double -> Maybe DigitalReplication -> Bool -> IO DigitalCoupon
digitalCoupon :: GenFloatingRateCoupon frc -> Maybe Double -> PositionType -> Bool -> Maybe Double -> Maybe Double -> PositionType -> Bool -> Maybe Double -> Maybe DigitalReplication -> Bool -> IO DigitalCoupon
multipleResetsCoupon :: Day -> Double -> Schedule -> Word -> GenIborIndex ibor -> Double -> Double -> Double -> Maybe Day -> Maybe Day -> DayCounter -> Maybe Day -> IO MultipleResetsCoupon
rangeAccrualFloatersCoupon :: Day -> Double -> GenIborIndex ibor -> Day -> Day -> Word -> DayCounter -> Double -> Double -> Maybe Day -> Maybe Day -> Schedule -> Double -> Double -> IO RangeAccrualFloatersCoupon
overnightIndexedCoupon :: Day -> Double -> Day -> Day -> OvernightIborIndex -> Double -> Double -> Maybe Day -> Maybe Day -> DayCounter -> Bool -> RateAveragingType -> Word -> Word -> Bool -> Bool -> Maybe Day -> Maybe Day -> Maybe Day -> Maybe Int -> IO OvernightIndexedCoupon
cappedFlooredOvernightIndexedCoupon :: OvernightIndexedCoupon -> Maybe Double -> Maybe Double -> Bool -> Bool -> IO FloatingRateCoupon
cpiCoupon :: Double -> Day -> Double -> Day -> Day -> GenZeroInflationIndex zidx -> (Int, TimeUnit) -> CPIInterpolationType -> DayCounter -> Double -> Maybe Day -> Maybe Day -> Maybe Day -> IO CPICoupon
cpiCouponFromBaseDate :: Day -> Day -> Double -> Day -> Day -> GenZeroInflationIndex zidx -> (Int, TimeUnit) -> CPIInterpolationType -> DayCounter -> Double -> Maybe Day -> Maybe Day -> Maybe Day -> IO CPICoupon
cpiCouponWithBaseDate :: Double -> Day -> Day -> Double -> Day -> Day -> GenZeroInflationIndex zidx -> (Int, TimeUnit) -> CPIInterpolationType -> DayCounter -> Double -> Maybe Day -> Maybe Day -> Maybe Day -> IO CPICoupon
yoyInflationCoupon :: Day -> Double -> Day -> Day -> Word -> YoYInflationIndex -> (Int, TimeUnit) -> CPIInterpolationType -> DayCounter -> Double -> Double -> Maybe Day -> Maybe Day -> IO YoYInflationCoupon
zeroInflationCashFlow :: Double -> ZeroInflationIndex -> CPIInterpolationType -> Day -> Day -> (Word, TimeUnit) -> Day -> Bool -> IO ZeroInflationCashFlow
cpiCashFlow :: Double -> ZeroInflationIndex -> Maybe Day -> Maybe Double -> Day -> (Word, TimeUnit) -> CPIInterpolationType -> Day -> Bool -> IO CPICashFlow
equityCashFlow :: Double -> EquityIndex -> Day -> Day -> Day -> Bool -> IO EquityCashFlow
cmsCoupon :: Day -> Double -> Day -> Day -> Word -> GenSwapIndex sidx -> Double -> Double -> Maybe Day -> Maybe Day -> DayCounter -> Bool -> Maybe Day -> BusinessDayConvention -> IO CmsCoupon
cappedFlooredCmsCoupon :: Day -> Double -> Day -> Day -> Word -> GenSwapIndex sidx -> Double -> Double -> Maybe Double -> Maybe Double -> Maybe Day -> Maybe Day -> DayCounter -> Bool -> Maybe Day -> BusinessDayConvention -> IO FloatingRateCoupon
cmsSpreadCoupon :: Day -> Double -> Day -> Day -> Word -> SwapSpreadIndex -> Double -> Double -> Maybe Day -> Maybe Day -> DayCounter -> Bool -> Maybe Day -> BusinessDayConvention -> IO FloatingRateCoupon
cappedFlooredCmsSpreadCoupon :: Day -> Double -> Day -> Day -> Word -> SwapSpreadIndex -> Double -> Double -> Maybe Double -> Maybe Double -> Maybe Day -> Maybe Day -> DayCounter -> Bool -> Maybe Day -> BusinessDayConvention -> IO FloatingRateCoupon
digitalReplication :: ReplicationType -> Double -> IO DigitalReplication
digitalCmsCoupon :: CmsCoupon -> Maybe Double -> PositionType -> Bool -> Maybe Double -> Maybe Double -> PositionType -> Bool -> Maybe Double -> Maybe DigitalReplication -> Bool -> IO DigitalCmsCoupon
digitalCmsSpreadCoupon :: Day -> Double -> Day -> Day -> Word -> SwapSpreadIndex -> Double -> Double -> Maybe Day -> Maybe Day -> DayCounter -> Bool -> Maybe Day -> BusinessDayConvention -> Maybe Double -> PositionType -> Bool -> Maybe Double -> Maybe Double -> PositionType -> Bool -> Maybe Double -> Maybe DigitalReplication -> Bool -> IO DigitalCmsSpreadCoupon
fixedDividend :: Double -> Day -> IO Dividend
fractionalDividendWithNominal :: Double -> Double -> Day -> IO Dividend
fractionalDividend :: Double -> Day -> IO Dividend
fixedRateLeg :: Schedule -> NonEmpty Double -> NonEmpty InterestRate -> BusinessDayConvention -> DayCounter -> Calendar -> IO Leg
averageBmaLeg :: Schedule -> BMAIndex -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Double] -> [Double] -> IO Leg
iborLeg :: Schedule -> GenIborIndex ibor -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Bool -> IO Leg
iborLegWithOptions :: Schedule -> GenIborIndex ibor -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Bool -> IborLegOpts -> IO Leg
digitalIborLeg :: Schedule -> GenIborIndex ibor -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> Bool -> DigitalIborLegOpts -> IO Leg
cmsLeg :: Schedule -> GenSwapIndex sidx -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Bool -> IO Leg
cmsLegWithOptions :: Schedule -> GenSwapIndex sidx -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Bool -> CmsLegOpts -> IO Leg
cmsSpreadLeg :: Schedule -> SwapSpreadIndex -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Bool -> IO Leg
digitalCmsLeg :: Schedule -> GenSwapIndex sidx -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> Bool -> DigitalCmsLegOpts -> IO Leg
digitalCmsSpreadLeg :: Schedule -> SwapSpreadIndex -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> Bool -> DigitalCmsSpreadLegOpts -> IO Leg
multipleResetsLeg :: Schedule -> GenIborIndex ibor -> Word -> DayCounter -> BusinessDayConvention -> MultipleResetsLegOpts -> IO Leg
overnightLeg :: Schedule -> OvernightIborIndex -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Double] -> [Double] -> IO Leg
rangeAccrualLeg :: Schedule -> GenIborIndex ibor -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> (Int, TimeUnit) -> BusinessDayConvention -> IO Leg
cpiLeg :: Schedule -> ZeroInflationIndex -> Double -> (Word, TimeUnit) -> NonEmpty Double -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> Calendar -> CPIInterpolationType -> Bool -> IO Leg
yoyInflationLeg :: Schedule -> Calendar -> YoYInflationIndex -> (Word, TimeUnit) -> CPIInterpolationType -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> IO Leg
blackIborCouponPricer :: GenOptionletVolatilityStructure ov -> TimingAdjustment -> Maybe (GenQuote q) -> Maybe Bool -> IO FloatingRateCouponPricer
blackIborQuantoCouponPricer :: GenBlackVolTermStructure bv -> GenQuote q -> GenOptionletVolatilityStructure ov -> IO FloatingRateCouponPricer
analyticHaganPricer :: GenSwaptionVolatilityStructure sv -> YieldCurveModel -> GenQuote q -> IO CmsCouponPricer
numericHaganPricer :: GenSwaptionVolatilityStructure sv -> YieldCurveModel -> GenQuote q -> Double -> Double -> Double -> Double -> IO CmsCouponPricer
linearTsrPricer :: GenSwaptionVolatilityStructure sv -> GenQuote q -> Maybe (GenYieldTermStructure y) -> LinearTsrPricerSettings -> IO CmsCouponPricer
lognormalCmsSpreadPricer :: CmsCouponPricer -> GenQuote q -> Maybe (GenYieldTermStructure y) -> Word -> Maybe VolatilityType -> Maybe Double -> Maybe Double -> IO FloatingRateCouponPricer
rangeAccrualPricerByBgm :: Double -> SmileSection -> SmileSection -> Bool -> Bool -> IO FloatingRateCouponPricer
averagingMultipleResetsPricer :: IO FloatingRateCouponPricer
compoundingMultipleResetsPricer :: IO FloatingRateCouponPricer
compoundingOvernightIndexedCouponPricer :: Maybe OptionletVolatilityStructure -> Bool -> IO FloatingRateCouponPricer
arithmeticAveragedOvernightIndexedCouponPricer :: Double -> Double -> Bool -> Maybe OptionletVolatilityStructure -> Bool -> IO FloatingRateCouponPricer
blackCompoundingOvernightIndexedCouponPricer :: Maybe OptionletVolatilityStructure -> Bool -> IO FloatingRateCouponPricer
blackAveragingOvernightIndexedCouponPricer :: Maybe OptionletVolatilityStructure -> Bool -> IO FloatingRateCouponPricer
cpiCouponPricer :: Maybe YieldTermStructure -> IO CPICouponPricer
cpiCouponPricerWithVol :: CPIVolatilitySurface -> Maybe YieldTermStructure -> IO CPICouponPricer
blackYoyInflationCouponPricer :: YoYOptionletVolatilitySurface -> GenYieldTermStructure y -> IO YoYInflationCouponPricer
unitDisplacedBlackYoyInflationCouponPricer :: YoYOptionletVolatilitySurface -> GenYieldTermStructure y -> IO YoYInflationCouponPricer
bachelierYoyInflationCouponPricer :: YoYOptionletVolatilitySurface -> GenYieldTermStructure y -> IO YoYInflationCouponPricer
equityQuantoCashFlowPricer :: GenYieldTermStructure y -> GenBlackVolTermStructure bv1 -> GenBlackVolTermStructure bv2 -> GenQuote q -> IO EquityCashFlowPricer
setCpiCouponPricer :: CPICoupon -> CPICouponPricer -> IO ()
setFloatingRateCouponPricer :: GenFloatingRateCoupon frc -> GenFloatingRateCouponPricer frcp -> IO ()
setYoyInflationCouponPricer :: GenLeg l -> YoYInflationCouponPricer -> IO ()
setEquityCashFlowPricer :: EquityCashFlow -> EquityCashFlowPricer -> IO ()
setCouponPricer :: GenLeg l -> GenFloatingRateCouponPricer frcp -> IO ()
setCouponPricers :: GenLeg l -> [GenFloatingRateCouponPricer frcp] -> IO ()
setEquityLegPricer :: GenLeg l -> EquityCashFlowPricer -> IO ()
class HasFixingDates coupon where
- fixingDates :: coupon -> IO [Day]
fixingDependencies :: GenLeg l -> IO [(String, Day)]
class HasIndexFixings coupon where
- indexFixings :: coupon -> IO [Double]
baseFixing :: GenIndexedCashFlow icf -> IO Double
indexFixing :: GenIndexedCashFlow icf -> IO Double
adjustedFixing :: YoYInflationCoupon -> IO Double
amount :: GenCashFlow cf -> IO Double
date :: GenCashFlow cf -> Day
duration :: GenLeg l -> InterestRate -> DurationType -> Bool -> Maybe Day -> Maybe Day -> IO Double
accrualDays :: GenLeg l -> Bool -> Maybe Day -> IO Int
accrualEndDate :: GenLeg l -> Bool -> Maybe Day -> IO (Maybe Day)
accrualPeriod :: GenLeg l -> Bool -> Maybe Day -> IO Double
accrualStartDate :: GenLeg l -> Bool -> Maybe Day -> IO (Maybe Day)
accruedAmount :: GenLeg l -> Bool -> Maybe Day -> IO Double
accruedDays :: GenLeg l -> Bool -> Maybe Day -> IO Int
accruedPeriod :: GenLeg l -> Bool -> Maybe Day -> IO Double
atmRate :: GenLeg l -> GenYieldTermStructure y -> Bool -> Maybe Day -> Maybe Day -> Double -> IO Double
basisPointValue :: GenLeg l -> InterestRate -> Bool -> Maybe Day -> Maybe Day -> IO Double
bps :: GenLeg l -> BpsDiscounting y -> Bool -> Maybe Day -> Maybe Day -> IO Double
convexity :: GenLeg l -> InterestRate -> Bool -> Maybe Day -> Maybe Day -> IO Double
isExpired :: GenLeg l -> Bool -> Maybe Day -> IO Bool
maturityDate :: GenLeg l -> IO Day
startDate :: GenLeg l -> IO Day
cashFlows :: GenLeg l -> Maybe Bool -> Maybe Day -> IO [(Day, Double, Bool)]
nextCashFlows :: GenLeg l -> Bool -> Maybe Day -> IO Leg
nextCashFlowAmount :: GenLeg l -> Bool -> Maybe Day -> IO Double
nextCashFlowDate :: GenLeg l -> Bool -> Maybe Day -> IO (Maybe Day)
nextCouponRate :: GenLeg l -> Bool -> Maybe Day -> IO Double
previousCashFlows :: GenLeg l -> Bool -> Maybe Day -> IO Leg
previousCashFlowAmount :: GenLeg l -> Bool -> Maybe Day -> IO Double
previousCashFlowDate :: GenLeg l -> Bool -> Maybe Day -> IO (Maybe Day)
previousCouponRate :: GenLeg l -> Bool -> Maybe Day -> IO Double
nominal :: GenLeg l -> Bool -> Maybe Day -> IO Double
npv :: GenLeg l -> Discounting y -> Bool -> Maybe Day -> Maybe Day -> IO Double
npvBps :: GenLeg l -> GenYieldTermStructure y -> Bool -> Day -> Day -> IO (Double, Double)
referencePeriodEnd :: GenLeg l -> Bool -> Maybe Day -> IO (Maybe Day)
referencePeriodStart :: GenLeg l -> Bool -> Maybe Day -> IO (Maybe Day)
yield :: GenLeg l -> Double -> DayCounter -> Compounding -> Frequency -> Bool -> Maybe Day -> Maybe Day -> Double -> Word -> Double -> IO Double
yieldValueBasisPoint :: GenLeg l -> InterestRate -> Bool -> Maybe Day -> Maybe Day -> IO Double
zSpread :: GenLeg l -> Double -> GenYieldTermStructure y -> Compounding -> Frequency -> Bool -> Maybe Day -> Maybe Day -> Double -> Word -> Double -> IO Double
coupons :: CouponLeg -> IO [Coupon]
couponAccrualStartDates :: CouponLeg -> IO [Day]
couponAccruedAmount :: GenCoupon c -> Day -> IO Double
rate :: GenCoupon c -> IO Double
price :: GenFloatingRateCoupon frc -> Maybe (GenYieldTermStructure y) -> IO Double
interestRate :: FixedRateCoupon -> IO InterestRate
indexRatio :: CPICoupon -> Day -> IO Double
convexityAdjustment :: GenFloatingRateCoupon frc -> IO Double
swapletRate :: GenFloatingRateCouponPricer frcp -> IO Double
swapletPrice :: GenFloatingRateCouponPricer frcp -> IO Double
capletPrice :: GenFloatingRateCouponPricer frcp -> Double -> IO Double
capletRate :: GenFloatingRateCouponPricer frcp -> Double -> IO Double
floorletPrice :: GenFloatingRateCouponPricer frcp -> Double -> IO Double
floorletRate :: GenFloatingRateCouponPricer frcp -> Double -> IO Double
replicationType :: DigitalReplication -> ReplicationType
gap :: DigitalReplication -> Double
capRate :: StrippedCappedFlooredCoupon -> Double
floorRate :: StrippedCappedFlooredCoupon -> Double
effectiveCap :: StrippedCappedFlooredCoupon -> Double
effectiveFloor :: StrippedCappedFlooredCoupon -> Double
isCap :: StrippedCappedFlooredCoupon -> Bool
isFloor :: StrippedCappedFlooredCoupon -> Bool
isCollar :: StrippedCappedFlooredCoupon -> Bool
callOptionRate :: GenDigitalCoupon dc -> IO Double
putOptionRate :: GenDigitalCoupon dc -> IO Double
priceWithoutOptionality :: RangeAccrualFloatersCoupon -> GenYieldTermStructure y -> IO Double

Types

Cash-flow hierarchy

data GenCashFlow cf Source #

CashFlow
  Coupon
    FixedRateCoupon
    FloatingRateCoupon
      AverageBMACoupon
      CmsCoupon
      DigitalCoupon
        DigitalCmsCoupon
        DigitalCmsSpreadCoupon
      IborCoupon
      MultipleResetsCoupon
      OvernightIndexedCoupon
      RangeAccrualFloatersCoupon
      StrippedCappedFlooredCoupon
    CPICoupon
    YoYInflationCoupon
  IndexedCashFlow
    CPICashFlow
    EquityCashFlow
    ZeroInflationCashFlow
  CommodityCashFlow

Instances

Instances details

HasFixingDates AverageBMACoupon Source #
Instance details Defined in QuantLib.CashFlow Methods fixingDates :: AverageBMACoupon -> IO [Day] Source #
HasFixingDates MultipleResetsCoupon Source #
Instance details Defined in QuantLib.CashFlow Methods fixingDates :: MultipleResetsCoupon -> IO [Day] Source #
HasFixingDates OvernightIndexedCoupon Source #
Instance details Defined in QuantLib.CashFlow Methods fixingDates :: OvernightIndexedCoupon -> IO [Day] Source #
HasIndexFixings AverageBMACoupon Source #
Instance details Defined in QuantLib.CashFlow Methods indexFixings :: AverageBMACoupon -> IO [Double] Source #
HasIndexFixings OvernightIndexedCoupon Source #
Instance details Defined in QuantLib.CashFlow Methods indexFixings :: OvernightIndexedCoupon -> IO [Double] Source #

type CashFlow = GenCashFlow CCashFlow Source #

The root of the hierarchy shown under GenCashFlow.

type GenCoupon c = GenCashFlow (AnyOf CCoupon' c) Source #

Shared base of every accruing cash flow: a nominal, an accrual period, and a rate. See the hierarchy under GenCashFlow.

type Coupon = GenCoupon CCoupon Source #

A CashFlow; see the hierarchy under GenCashFlow.

type GenFloatingRateCoupon frc = GenCoupon (AnyOf CFloatingRateCoupon' frc) Source #

A FloatingRateCoupon or one of its leaves; see the hierarchy under GenCashFlow.

type FloatingRateCoupon = GenFloatingRateCoupon CFloatingRateCoupon Source #

A Coupon; see the hierarchy under GenCashFlow.

type GenDigitalCoupon dc = GenFloatingRateCoupon (AnyOf CDigitalCoupon' dc) Source #

A DigitalCoupon or one of its leaves; see the hierarchy under GenCashFlow.

type DigitalCoupon = GenDigitalCoupon CDigitalCoupon Source #

A FloatingRateCoupon; see the hierarchy under GenCashFlow.

type GenIndexedCashFlow icf = GenCashFlow (AnyOf CIndexedCashFlow' icf) Source #

An IndexedCashFlow or one of its leaves; see the hierarchy under GenCashFlow.

type IndexedCashFlow = GenIndexedCashFlow CIndexedCashFlow Source #

A CashFlow; see the hierarchy under GenCashFlow.

type FixedRateCoupon = GenCoupon CFixedRateCoupon Source #

A Coupon; see the hierarchy under GenCashFlow.

type IborCoupon = GenFloatingRateCoupon CIborCoupon Source #

A FloatingRateCoupon; see the hierarchy under GenCashFlow.

type AverageBMACoupon = GenFloatingRateCoupon CAverageBMACoupon Source #

A FloatingRateCoupon; see the hierarchy under GenCashFlow.

type StrippedCappedFlooredCoupon = GenFloatingRateCoupon CStrippedCappedFlooredCoupon Source #

A FloatingRateCoupon; see the hierarchy under GenCashFlow.

type CmsCoupon = GenFloatingRateCoupon CCmsCoupon Source #

A FloatingRateCoupon; see the hierarchy under GenCashFlow.

type DigitalCmsCoupon = GenDigitalCoupon CDigitalCmsCoupon Source #

A DigitalCoupon; see the hierarchy under GenCashFlow.

type DigitalCmsSpreadCoupon = GenDigitalCoupon CDigitalCmsSpreadCoupon Source #

A DigitalCoupon; see the hierarchy under GenCashFlow.

type MultipleResetsCoupon = GenFloatingRateCoupon CMultipleResetsCoupon Source #

A FloatingRateCoupon; see the hierarchy under GenCashFlow.

type OvernightIndexedCoupon = GenFloatingRateCoupon COvernightIndexedCoupon Source #

A FloatingRateCoupon; see the hierarchy under GenCashFlow.

type RangeAccrualFloatersCoupon = GenFloatingRateCoupon CRangeAccrualFloatersCoupon Source #

A FloatingRateCoupon; see the hierarchy under GenCashFlow.

type CPICoupon = GenCoupon CCPICoupon Source #

A Coupon; see the hierarchy under GenCashFlow.

type YoYInflationCoupon = GenCoupon CYoYInflationCoupon Source #

A Coupon; see the hierarchy under GenCashFlow.

type ZeroInflationCashFlow = GenIndexedCashFlow CZeroInflationCashFlow Source #

An IndexedCashFlow; see the hierarchy under GenCashFlow.

type CPICashFlow = GenIndexedCashFlow CCPICashFlow Source #

An IndexedCashFlow; see the hierarchy under GenCashFlow.

type EquityCashFlow = GenIndexedCashFlow CEquityCashFlow Source #

An IndexedCashFlow; see the hierarchy under GenCashFlow.

data Dividend Source #

Legs

data GenLeg l Source #

Leg
  CouponLeg

type Leg = GenLeg CLeg Source #

The root of the hierarchy shown under GenLeg.

type CouponLeg = GenLeg CCouponLeg Source #

A Leg; see the hierarchy under GenLeg.

Coupon pricers

data GenFloatingRateCouponPricer frcp Source #

FloatingRateCouponPricer
  CmsCouponPricer

type FloatingRateCouponPricer = GenFloatingRateCouponPricer CFloatingRateCouponPricer Source #

The root of the hierarchy shown under GenFloatingRateCouponPricer.

type CmsCouponPricer = GenFloatingRateCouponPricer CCmsCouponPricer Source #

A FloatingRateCouponPricer; see the hierarchy under GenFloatingRateCouponPricer.

data CPICouponPricer Source #

data YoYInflationCouponPricer Source #

Pricer for capped/floored yoyInflationLeg coupons. All 3 concrete upstream pricers (Black/UnitDisplacedBlack/Bachelier) share one ctor shape and are bound as constructors of this single type, mirroring FloatingRateCouponPricer/EquityCashFlowPricer (a standalone pricer type, not part of any GenX hierarchy).

data EquityCashFlowPricer Source #

Configuration

data DurationType Source #

Constructors

Simple
Macaulay
Modified

Instances

Instances details

Enum DurationType Source #
Instance details Defined in QuantLib.CashFlow Methods succ :: DurationType -> DurationType # pred :: DurationType -> DurationType # toEnum :: Int -> DurationType # fromEnum :: DurationType -> Int # enumFrom :: DurationType -> [DurationType] # enumFromThen :: DurationType -> DurationType -> [DurationType] # enumFromTo :: DurationType -> DurationType -> [DurationType] # enumFromThenTo :: DurationType -> DurationType -> DurationType -> [DurationType] #
Read DurationType Source #
Instance details Defined in QuantLib.CashFlow Methods readsPrec :: Int -> ReadS DurationType # readList :: ReadS [DurationType] # readPrec :: ReadPrec DurationType # readListPrec :: ReadPrec [DurationType] #
Show DurationType Source #
Instance details Defined in QuantLib.CashFlow Methods showsPrec :: Int -> DurationType -> ShowS # show :: DurationType -> String # showList :: [DurationType] -> ShowS #
Eq DurationType Source #
Instance details Defined in QuantLib.CashFlow Methods (==) :: DurationType -> DurationType -> Bool # (/=) :: DurationType -> DurationType -> Bool #

data RateAveragingType Source #

Constructors

AveragingSimple
AveragingCompound

Instances

Instances details

Enum RateAveragingType Source #
Instance details Defined in QuantLib.CashFlow Methods succ :: RateAveragingType -> RateAveragingType # pred :: RateAveragingType -> RateAveragingType # toEnum :: Int -> RateAveragingType # fromEnum :: RateAveragingType -> Int # enumFrom :: RateAveragingType -> [RateAveragingType] # enumFromThen :: RateAveragingType -> RateAveragingType -> [RateAveragingType] # enumFromTo :: RateAveragingType -> RateAveragingType -> [RateAveragingType] # enumFromThenTo :: RateAveragingType -> RateAveragingType -> RateAveragingType -> [RateAveragingType] #
Read RateAveragingType Source #
Instance details Defined in QuantLib.CashFlow Methods readsPrec :: Int -> ReadS RateAveragingType # readList :: ReadS [RateAveragingType] # readPrec :: ReadPrec RateAveragingType # readListPrec :: ReadPrec [RateAveragingType] #
Show RateAveragingType Source #
Instance details Defined in QuantLib.CashFlow Methods showsPrec :: Int -> RateAveragingType -> ShowS # show :: RateAveragingType -> String # showList :: [RateAveragingType] -> ShowS #
Eq RateAveragingType Source #
Instance details Defined in QuantLib.CashFlow Methods (==) :: RateAveragingType -> RateAveragingType -> Bool # (/=) :: RateAveragingType -> RateAveragingType -> Bool #

data TimingAdjustment Source #

Constructors

Black76
BivariateLognormal

Instances

Instances details

Enum TimingAdjustment Source #
Instance details Defined in QuantLib.CashFlow Methods succ :: TimingAdjustment -> TimingAdjustment # pred :: TimingAdjustment -> TimingAdjustment # toEnum :: Int -> TimingAdjustment # fromEnum :: TimingAdjustment -> Int # enumFrom :: TimingAdjustment -> [TimingAdjustment] # enumFromThen :: TimingAdjustment -> TimingAdjustment -> [TimingAdjustment] # enumFromTo :: TimingAdjustment -> TimingAdjustment -> [TimingAdjustment] # enumFromThenTo :: TimingAdjustment -> TimingAdjustment -> TimingAdjustment -> [TimingAdjustment] #
Read TimingAdjustment Source #
Instance details Defined in QuantLib.CashFlow Methods readsPrec :: Int -> ReadS TimingAdjustment # readList :: ReadS [TimingAdjustment] # readPrec :: ReadPrec TimingAdjustment # readListPrec :: ReadPrec [TimingAdjustment] #
Show TimingAdjustment Source #
Instance details Defined in QuantLib.CashFlow Methods showsPrec :: Int -> TimingAdjustment -> ShowS # show :: TimingAdjustment -> String # showList :: [TimingAdjustment] -> ShowS #
Eq TimingAdjustment Source #
Instance details Defined in QuantLib.CashFlow Methods (==) :: TimingAdjustment -> TimingAdjustment -> Bool # (/=) :: TimingAdjustment -> TimingAdjustment -> Bool #

data PositionType Source #

Constructors

Long
Short

Instances

Instances details

Enum PositionType Source #
Instance details Defined in QuantLib.Internal.Common Methods succ :: PositionType -> PositionType # pred :: PositionType -> PositionType # toEnum :: Int -> PositionType # fromEnum :: PositionType -> Int # enumFrom :: PositionType -> [PositionType] # enumFromThen :: PositionType -> PositionType -> [PositionType] # enumFromTo :: PositionType -> PositionType -> [PositionType] # enumFromThenTo :: PositionType -> PositionType -> PositionType -> [PositionType] #
Read PositionType Source #
Instance details Defined in QuantLib.Internal.Common Methods readsPrec :: Int -> ReadS PositionType # readList :: ReadS [PositionType] # readPrec :: ReadPrec PositionType # readListPrec :: ReadPrec [PositionType] #
Show PositionType Source #
Instance details Defined in QuantLib.Internal.Common Methods showsPrec :: Int -> PositionType -> ShowS # show :: PositionType -> String # showList :: [PositionType] -> ShowS #
Eq PositionType Source #
Instance details Defined in QuantLib.Internal.Common Methods (==) :: PositionType -> PositionType -> Bool # (/=) :: PositionType -> PositionType -> Bool #

data CPIInterpolationType Source #

Constructors

CPIFlat
CPILinear

Instances

Instances details

Bounded CPIInterpolationType Source #
Instance details Defined in QuantLib.Internal.Common Methods minBound :: CPIInterpolationType # maxBound :: CPIInterpolationType #
Enum CPIInterpolationType Source #	How an overnight leg observes its index fixings. Shared by every overnight-leg producer: the swap constructors, the OIS rate helpers, and the cross-currency swaps. `lookbackDays` is `Nothing` for upstream's `Null` default, meaning the index's own fixing days. Declared here rather than in a topical module because its producers span QuantLib.Instrument.Swap and QuantLib.TermStructure.Yield, whose build order cannot accommodate one importing the other.
Instance details Defined in QuantLib.Internal.Common Methods succ :: CPIInterpolationType -> CPIInterpolationType # pred :: CPIInterpolationType -> CPIInterpolationType # toEnum :: Int -> CPIInterpolationType # fromEnum :: CPIInterpolationType -> Int # enumFrom :: CPIInterpolationType -> [CPIInterpolationType] # enumFromThen :: CPIInterpolationType -> CPIInterpolationType -> [CPIInterpolationType] # enumFromTo :: CPIInterpolationType -> CPIInterpolationType -> [CPIInterpolationType] # enumFromThenTo :: CPIInterpolationType -> CPIInterpolationType -> CPIInterpolationType -> [CPIInterpolationType] #
Read CPIInterpolationType Source #
Instance details Defined in QuantLib.Internal.Common Methods readsPrec :: Int -> ReadS CPIInterpolationType # readList :: ReadS [CPIInterpolationType] # readPrec :: ReadPrec CPIInterpolationType # readListPrec :: ReadPrec [CPIInterpolationType] #
Show CPIInterpolationType Source #
Instance details Defined in QuantLib.Internal.Common Methods showsPrec :: Int -> CPIInterpolationType -> ShowS # show :: CPIInterpolationType -> String # showList :: [CPIInterpolationType] -> ShowS #
Eq CPIInterpolationType Source #
Instance details Defined in QuantLib.Internal.Common Methods (==) :: CPIInterpolationType -> CPIInterpolationType -> Bool # (/=) :: CPIInterpolationType -> CPIInterpolationType -> Bool #

data YieldCurveModel Source #

Constructors

Standard
ExactYield
ParallelShifts
NonParallelShifts

Instances

Instances details

Enum YieldCurveModel Source #
Instance details Defined in QuantLib.CashFlow Methods succ :: YieldCurveModel -> YieldCurveModel # pred :: YieldCurveModel -> YieldCurveModel # toEnum :: Int -> YieldCurveModel # fromEnum :: YieldCurveModel -> Int # enumFrom :: YieldCurveModel -> [YieldCurveModel] # enumFromThen :: YieldCurveModel -> YieldCurveModel -> [YieldCurveModel] # enumFromTo :: YieldCurveModel -> YieldCurveModel -> [YieldCurveModel] # enumFromThenTo :: YieldCurveModel -> YieldCurveModel -> YieldCurveModel -> [YieldCurveModel] #
Read YieldCurveModel Source #
Instance details Defined in QuantLib.CashFlow Methods readsPrec :: Int -> ReadS YieldCurveModel # readList :: ReadS [YieldCurveModel] # readPrec :: ReadPrec YieldCurveModel # readListPrec :: ReadPrec [YieldCurveModel] #
Show YieldCurveModel Source #
Instance details Defined in QuantLib.CashFlow Methods showsPrec :: Int -> YieldCurveModel -> ShowS # show :: YieldCurveModel -> String # showList :: [YieldCurveModel] -> ShowS #
Eq YieldCurveModel Source #
Instance details Defined in QuantLib.CashFlow Methods (==) :: YieldCurveModel -> YieldCurveModel -> Bool # (/=) :: YieldCurveModel -> YieldCurveModel -> Bool #

data Discounting y Source #

Where discount factors come from.

Constructors

DiscountingCurve !(GenYieldTermStructure y)
DiscountingZSpread !(GenYieldTermStructure y) !Double !Compounding !Frequency	curve, zSpread, compounding, frequency
DiscountingYield !InterestRate

data BpsDiscounting y Source #

Discounting restricted to the cases bps supports: upstream has no Z-spreaded bps.

Constructors

BpsDiscountingCurve !(GenYieldTermStructure y)
BpsDiscountingYield !InterestRate

data ReplicationType Source #

Constructors

ReplicationSub
ReplicationCentral
ReplicationSuper

Instances

Instances details

Enum ReplicationType Source #
Instance details Defined in QuantLib.CashFlow Methods succ :: ReplicationType -> ReplicationType # pred :: ReplicationType -> ReplicationType # toEnum :: Int -> ReplicationType # fromEnum :: ReplicationType -> Int # enumFrom :: ReplicationType -> [ReplicationType] # enumFromThen :: ReplicationType -> ReplicationType -> [ReplicationType] # enumFromTo :: ReplicationType -> ReplicationType -> [ReplicationType] # enumFromThenTo :: ReplicationType -> ReplicationType -> ReplicationType -> [ReplicationType] #
Read ReplicationType Source #
Instance details Defined in QuantLib.CashFlow Methods readsPrec :: Int -> ReadS ReplicationType # readList :: ReadS [ReplicationType] # readPrec :: ReadPrec ReplicationType # readListPrec :: ReadPrec [ReplicationType] #
Show ReplicationType Source #
Instance details Defined in QuantLib.CashFlow Methods showsPrec :: Int -> ReplicationType -> ShowS # show :: ReplicationType -> String # showList :: [ReplicationType] -> ShowS #
Eq ReplicationType Source #
Instance details Defined in QuantLib.CashFlow Methods (==) :: ReplicationType -> ReplicationType -> Bool # (/=) :: ReplicationType -> ReplicationType -> Bool #

data DigitalReplication Source #

data LinearTsrPricerStrategy Source #

The strategy LinearTsrPricer uses to pick the integration cut-off strike bounds; each carries the strategy-specific parameter upstream's corresponding Settings::withX takes (LinearTsrRateBound has none). Pass explicit bounds via LinearTsrPricerSettings' ltsrBounds rather than baking upstream's own default bounds in here, since upstream's no-explicit-bounds overloads aren't just sugar for those same numbers -- they also flip Settings::defaultBounds_, which under a normal-vol swaption surface adjusts the lower bound to min(-upperBound, lowerBound) (see qlcashflowslineartsrpricer.cpp). Passing Nothing reaches that adjustment; passing explicit bounds via Just does not.

Constructors

LinearTsrRateBound
LinearTsrVegaRatio Double	vegaRatio
LinearTsrPriceThreshold Double	priceThreshold
LinearTsrBSStdDevs Double	stdDevs

Instances

Instances details

Show LinearTsrPricerStrategy Source #
Instance details Defined in QuantLib.CashFlow Methods showsPrec :: Int -> LinearTsrPricerStrategy -> ShowS # show :: LinearTsrPricerStrategy -> String # showList :: [LinearTsrPricerStrategy] -> ShowS #
Eq LinearTsrPricerStrategy Source #
Instance details Defined in QuantLib.CashFlow Methods (==) :: LinearTsrPricerStrategy -> LinearTsrPricerStrategy -> Bool # (/=) :: LinearTsrPricerStrategy -> LinearTsrPricerStrategy -> Bool #

data LinearTsrPricerSettings Source #

ltsrBounds of Nothing uses upstream's own default lower/upper rate bounds (and, for a normal-vol surface, its default-bounds strike adjustment -- see LinearTsrPricerStrategy); Just (lower, upper) pins explicit bounds instead.

Constructors

LinearTsrPricerSettings
Fields ltsrStrategy :: LinearTsrPricerStrategy ltsrBounds :: Maybe (Double, Double)

Instances

Instances details

Show LinearTsrPricerSettings Source #
Instance details Defined in QuantLib.CashFlow Methods showsPrec :: Int -> LinearTsrPricerSettings -> ShowS # show :: LinearTsrPricerSettings -> String # showList :: [LinearTsrPricerSettings] -> ShowS #
Eq LinearTsrPricerSettings Source #
Instance details Defined in QuantLib.CashFlow Methods (==) :: LinearTsrPricerSettings -> LinearTsrPricerSettings -> Bool # (/=) :: LinearTsrPricerSettings -> LinearTsrPricerSettings -> Bool #

data IborLegOpts Source #

Constructors

IborLegOpts
Fields ilgPaymentLag :: Int ilgPaymentCalendar :: Maybe Calendar ilgExCouponPeriod :: (Int, TimeUnit) ilgExCouponCalendar :: Maybe Calendar ilgExCouponConvention :: BusinessDayConvention ilgExCouponEndOfMonth :: Bool ilgFixingConvention :: BusinessDayConvention ilgUseIndexedCoupons :: Maybe Bool

defaultIborLegOpts :: IborLegOpts Source #

data CmsLegOpts Source #

Constructors

CmsLegOpts
Fields cmslExCouponPeriod :: (Int, TimeUnit) cmslExCouponCalendar :: Maybe Calendar cmslExCouponConvention :: BusinessDayConvention cmslExCouponEndOfMonth :: Bool cmslFixingConvention :: BusinessDayConvention

defaultCmsLegOpts :: CmsLegOpts Source #

data DigitalIborLegOpts Source #

Constructors

DigitalIborLegOpts
Fields dilCallStrikes :: [Double] dilCallPosition :: PositionType dilCallAtm :: Bool dilCallPayoffs :: [Double] dilPutStrikes :: [Double] dilPutPosition :: PositionType dilPutAtm :: Bool dilPutPayoffs :: [Double] dilReplication :: Maybe DigitalReplication dilNakedOption :: Bool

defaultDigitalIborLegOpts :: DigitalIborLegOpts Source #

data DigitalCmsLegOpts Source #

Constructors

DigitalCmsLegOpts
Fields dcmlCallStrikes :: [Double] dcmlCallPosition :: PositionType dcmlCallAtm :: Bool dcmlCallPayoffs :: [Double] dcmlPutStrikes :: [Double] dcmlPutPosition :: PositionType dcmlPutAtm :: Bool dcmlPutPayoffs :: [Double] dcmlReplication :: Maybe DigitalReplication dcmlNakedOption :: Bool

defaultDigitalCmsLegOpts :: DigitalCmsLegOpts Source #

data DigitalCmsSpreadLegOpts Source #

Constructors

DigitalCmsSpreadLegOpts
Fields dcmslCallStrikes :: [Double] dcmslCallPosition :: PositionType dcmslCallAtm :: Bool dcmslCallPayoffs :: [Double] dcmslPutStrikes :: [Double] dcmslPutPosition :: PositionType dcmslPutAtm :: Bool dcmslPutPayoffs :: [Double] dcmslReplication :: Maybe DigitalReplication dcmslNakedOption :: Bool

defaultDigitalCmsSpreadLegOpts :: DigitalCmsSpreadLegOpts Source #

data MultipleResetsLegOpts Source #

Constructors

MultipleResetsLegOpts

Fields

mrlNotionals :: NonEmpty Double
mrlPaymentCalendar :: Maybe Calendar
mrlPaymentLag :: Int
mrlFixingDays :: [Word]
mrlGearings :: [Double]
mrlCouponSpreads :: [Double]
mrlRateSpreads :: [Double]
mrlExCouponPeriod :: (Int, TimeUnit)
mrlExCouponCalendar :: Maybe Calendar
mrlExCouponConvention :: BusinessDayConvention
mrlExCouponEndOfMonth :: Bool
mrlAveragingMethod :: RateAveragingType

defaultMultipleResetsLegOpts :: MultipleResetsLegOpts Source #

Constructors

Hierarchy conversion

asLeg :: GenLeg l -> IO Leg Source #

asCashFlow :: GenCashFlow cf -> IO CashFlow Source #

asCoupon :: GenCoupon c -> IO Coupon Source #

asFloatingRateCoupon :: GenFloatingRateCoupon frc -> IO FloatingRateCoupon Source #

asFloatingRateCouponPricer :: GenFloatingRateCouponPricer frcp -> IO FloatingRateCouponPricer Source #

toCouponLeg :: GenLeg l -> IO CouponLeg Source #

try to downcast leg to a coupon leg

Cash flows and coupons

leg Source #

Arguments

:: [(Day, Double)]	amounts and dates
-> IO Leg

cashFlowLeg Source #

Arguments

:: [GenCashFlow cf]	cashFlows
-> IO Leg

Build a Leg from a homogeneous cash-flow subtype, or from explicitly erased CashFlow values when the elements are heterogeneous. The leg takes shared ownership of each flow, so it remains valid when the individual values are no longer retained.

simpleCashFlow Source #

Arguments

:: Double	amount
-> Day	payment date
-> IO CashFlow

A predetermined payment, suitable for mixing with other cash-flow kinds in cashFlowLeg. For a leg made entirely of such payments, leg is a more concise API.

indexedCashFlow Source #

Arguments

:: Double	notional
-> GenIndex idx	index
-> Day	base date
-> Day	fixing date
-> Day	payment date
-> Bool	growthOnly
-> IO IndexedCashFlow

A payment of notional * i(fixingDate) / i(baseDate), or the same ratio minus one when growthOnly is true. QuantLib does no date adjustment here; callers supply the already adjusted fixing and payment dates. This is the generic building block behind the specialized CPI and equity cash flows, and accepts any bound GenIndex.

redemption Source #

Arguments

:: Double	amount
-> Day	date
-> IO CashFlow

A single redemption payment.

amortizingPayment Source #

Arguments

:: Double	amount
-> Day	date
-> IO CashFlow

An amortizing principal payment.

fixedRateCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Double	rate
-> DayCounter	dayCounter
-> Day	accrualStartDate
-> Day	accrualEndDate
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> Maybe Day	exCouponDate
-> IO FixedRateCoupon

A fixed coupon with explicitly supplied payment, accrual, reference-period, and ex-coupon dates. Nothing for a reference or ex-coupon date passes QuantLib's empty Date(). A homogeneous list of fixed coupons can be passed directly to cashFlowLeg; use asCashFlow only when mixing it with other cash-flow types.

floatingRateCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> Word	fixingDays
-> GenInterestRateIndex ridx	index
-> Double	gearing
-> Double	spread
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Bool	inArrears
-> Maybe Day	exCouponDate
-> BusinessDayConvention	fixingConvention
-> IO FloatingRateCoupon

A generic floating-rate coupon. Attach a FloatingRateCouponPricer to the resulting leg with setCouponPricer before evaluating a coupon whose rate requires one. Nothing dates pass QuantLib's empty Date(); all other constructor parameters are explicit.

iborCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> Word	fixingDays
-> GenIborIndex ibor	index
-> Double	gearing
-> Double	spread
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Bool	inArrears
-> Maybe Day	exCouponDate
-> BusinessDayConvention	fixingConvention
-> IO IborCoupon

An Ibor-specific floating coupon. Prefer this to floatingRateCoupon when the index is Ibor: QuantLib then uses IborCoupon's fixing value/maturity-date logic rather than the base floating-coupon implementation. Date and pricer handling are as in floatingRateCoupon.

averageBmaCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> BMAIndex	index
-> Double	gearing
-> Double	spread
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> IO AverageBMACoupon

A BMA-index coupon with explicitly supplied accrual and reference dates.

cappedFlooredCoupon Source #

Arguments

:: GenFloatingRateCoupon frc	underlying
-> Maybe Double	cap
-> Maybe Double	floor
-> IO FloatingRateCoupon

Wrap a floating-rate coupon with optional cap and floor rates.

strippedCappedFlooredCoupon Source #

Arguments

:: GenFloatingRateCoupon frc	underlying
-> Maybe Double	cap
-> Maybe Double	floor
-> IO StrippedCappedFlooredCoupon

Strip the embedded cap/floor option out of a capped/floored coupon: builds a CappedFlooredCoupon from underlying, cap and floor (as cappedFlooredCoupon does), then wraps it so the option's rate, cap and floor are separately readable.

cappedFlooredIborCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> Word	fixingDays
-> GenIborIndex ibor	index
-> Double	gearing
-> Double	spread
-> Maybe Double	cap
-> Maybe Double	floor
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Bool	inArrears
-> Maybe Day	exCouponDate
-> BusinessDayConvention	fixingConvention
-> IO FloatingRateCoupon

Ibor coupon with optional cap and floor rates.

digitalIborCoupon Source #

Arguments

:: IborCoupon	underlying
-> Maybe Double	callStrike
-> PositionType	callPosition
-> Bool	callATM
-> Maybe Double	callDigitalPayoff
-> Maybe Double	putStrike
-> PositionType	putPosition
-> Bool	putATM
-> Maybe Double	putDigitalPayoff
-> Maybe DigitalReplication	replication
-> Bool	nakedOption
-> IO DigitalCoupon

Ibor coupon with embedded digital call and put options.

digitalCoupon Source #

Arguments

:: GenFloatingRateCoupon frc	underlying
-> Maybe Double
-> PositionType
-> Bool
-> Maybe Double
-> Maybe Double
-> PositionType
-> Bool
-> Maybe Double
-> Maybe DigitalReplication
-> Bool
-> IO DigitalCoupon

A floating coupon with replicated digital call and put payoffs. Optional strikes/payoffs use Nothing for QuantLib's null-rate sentinel.

multipleResetsCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Schedule	fixingSchedule
-> Word	fixingDays
-> GenIborIndex ibor	index
-> Double	gearing
-> Double	couponSpread
-> Double	rateSpread
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Maybe Day	exCouponDate
-> IO MultipleResetsCoupon

Ibor coupon whose rate averages multiple reset dates in each accrual period.

rangeAccrualFloatersCoupon :: Day -> Double -> GenIborIndex ibor -> Day -> Day -> Word -> DayCounter -> Double -> Double -> Maybe Day -> Maybe Day -> Schedule -> Double -> Double -> IO RangeAccrualFloatersCoupon Source #

A range-accrual coupon. Attach the existing range-accrual pricer before asking for its rate; priceWithoutOptionality needs only a discount curve.

overnightIndexedCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> OvernightIborIndex	index
-> Double	gearing
-> Double	spread
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Bool	telescopicValueDates
-> RateAveragingType	averagingMethod
-> Word	lookbackDays
-> Word	lockoutDays
-> Bool	applyObservationShift
-> Bool	includeSpread
-> Maybe Day	rateComputationStartDate
-> Maybe Day	rateComputationEndDate
-> Maybe Day	exCouponDate
-> Maybe Int	rounding
-> IO OvernightIndexedCoupon

Overnight-index coupon with explicit observation and accrual conventions.

cappedFlooredOvernightIndexedCoupon Source #

Arguments

:: OvernightIndexedCoupon	underlying
-> Maybe Double	cap
-> Maybe Double	floor
-> Bool	nakedOption
-> Bool	includeSpread
-> IO FloatingRateCoupon

Capped/floored overnight-index coupon.

cpiCoupon Source #

Arguments

:: Double	baseCPI
-> Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> GenZeroInflationIndex zidx	index
-> (Int, TimeUnit)	observationLag
-> CPIInterpolationType	observationInterpolation
-> DayCounter	dayCounter
-> Double	fixedRate
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> Maybe Day	exCouponDate
-> IO CPICoupon

CPI-linked coupon whose base fixing is supplied directly.

cpiCouponFromBaseDate Source #

Arguments

:: Day	baseDate
-> Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> GenZeroInflationIndex zidx	index
-> (Int, TimeUnit)	observationLag
-> CPIInterpolationType	observationInterpolation
-> DayCounter	dayCounter
-> Double	fixedRate
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> Maybe Day	exCouponDate
-> IO CPICoupon

CPI-linked coupon whose base fixing is determined by a base date.

cpiCouponWithBaseDate Source #

Arguments

:: Double	baseCPI
-> Day	baseDate
-> Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> GenZeroInflationIndex zidx	index
-> (Int, TimeUnit)	observationLag
-> CPIInterpolationType	observationInterpolation
-> DayCounter	dayCounter
-> Double	fixedRate
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> Maybe Day	exCouponDate
-> IO CPICoupon

CPI-linked coupon with both an explicit base CPI and base date.

yoyInflationCoupon :: Day -> Double -> Day -> Day -> Word -> YoYInflationIndex -> (Int, TimeUnit) -> CPIInterpolationType -> DayCounter -> Double -> Double -> Maybe Day -> Maybe Day -> IO YoYInflationCoupon Source #

A year-on-year inflation coupon. As for yoyInflationLeg, attach a YoY inflation coupon pricer before evaluating the coupon rate.

zeroInflationCashFlow Source #

Arguments

:: Double	notional
-> ZeroInflationIndex
-> CPIInterpolationType	observationInterpolation
-> Day	startDate
-> Day	endDate
-> (Word, TimeUnit)	observationLag
-> Day	paymentDate
-> Bool	growthOnly
-> IO ZeroInflationCashFlow

Cash flow dependent on a ZeroInflationIndex ratio (not a coupon -- no accruals). The ratio is taken between fixings observed at startDate and endDate minus observationLag.

cpiCashFlow Source #

Arguments

:: Double	notional
-> ZeroInflationIndex
-> Maybe Day	baseDate
-> Maybe Double	baseFixing
-> Day	observationDate
-> (Word, TimeUnit)	observationLag
-> CPIInterpolationType	interpolation
-> Day	paymentDate
-> Bool	growthOnly
-> IO CPICashFlow

CPI-linked cash flow (not a coupon -- no accruals), with an optional explicit baseFixing (pass Nothing to derive it from baseDate instead).

equityCashFlow Source #

Arguments

:: Double	notional
-> EquityIndex
-> Day	baseDate
-> Day	fixingDate
-> Day	paymentDate
-> Bool	growthOnly
-> IO EquityCashFlow

Cash flow dependent on the total return of an EquityIndex (not a coupon -- no accruals): index(fixingDate)/index(baseDate), or that ratio minus one if growthOnly. If no EquityCashFlowPricer is attached via setEquityCashFlowPricer, amount computes this ratio directly from the index; a pricer (e.g. equityQuantoCashFlowPricer) is only needed to price a quanto-adjusted variant.

CMS coupons and digital replication

cmsCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> Word	fixingDays
-> GenSwapIndex sidx	index
-> Double	gearing
-> Double	spread
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Bool	inArrears
-> Maybe Day	exCouponDate
-> BusinessDayConvention	fixingConvention
-> IO CmsCoupon

Constant-maturity-swap (CMS) coupon.

The start and end dates are used as supplied: QuantLib performs no business-day adjustment when constructing this coupon, so callers must supply already adjusted dates. Attach a CMS pricer before asking for its rate or amount.

cappedFlooredCmsCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> Word	fixingDays
-> GenSwapIndex sidx	index
-> Double	gearing
-> Double	spread
-> Maybe Double	cap
-> Maybe Double	floor
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Bool	inArrears
-> Maybe Day	exCouponDate
-> BusinessDayConvention	fixingConvention
-> IO FloatingRateCoupon

CMS coupon with optional cap and floor. This is QuantLib's CappedFlooredCmsCoupon: it wraps a CmsCoupon in a capped/floored coupon and returns it at the useful FloatingRateCoupon level. Nothing means no cap or floor.

cmsSpreadCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> Word	fixingDays
-> SwapSpreadIndex	index
-> Double	gearing
-> Double	spread
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Bool	inArrears
-> Maybe Day	exCouponDate
-> BusinessDayConvention	fixingConvention
-> IO FloatingRateCoupon

Constant-maturity-swap-spread coupon. Its index is the geared difference of two swap rates. QuantLib does no date adjustment at construction, so callers must provide business dates.

cappedFlooredCmsSpreadCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> Word	fixingDays
-> SwapSpreadIndex	index
-> Double	gearing
-> Double	spread
-> Maybe Double	cap
-> Maybe Double	floor
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Bool	inArrears
-> Maybe Day	exCouponDate
-> BusinessDayConvention	fixingConvention
-> IO FloatingRateCoupon

Capped/floored CMS-spread coupon, returned at the useful FloatingRateCoupon level. Nothing represents QuantLib's absent cap or floor.

digitalReplication Source #

Arguments

:: ReplicationType	replicationType
-> Double	gap
-> IO DigitalReplication

Digital-option replication strategy. It specifies the sub, central, or super replication used to price the embedded digital option in a digital coupon; gap is the call/put-spread width used by that replication.

digitalCmsCoupon Source #

Arguments

:: CmsCoupon	underlying
-> Maybe Double	callStrike
-> PositionType	callPosition
-> Bool	callATM
-> Maybe Double	callDigitalPayoff
-> Maybe Double	putStrike
-> PositionType	putPosition
-> Bool	putATM
-> Maybe Double	putDigitalPayoff
-> Maybe DigitalReplication	replication
-> Bool	nakedOption
-> IO DigitalCmsCoupon

CMS-rate coupon with embedded digital call and put options.

QuantLib evaluates the digital options by call/put-spread replication. A supplied digital payoff produces a cash-or-nothing option; without one the option is asset-or-nothing. When nakedOption is true, the underlying coupon rate is excluded from the payoff. Optional strikes and payoffs use Nothing for QuantLib's null-rate sentinel.

digitalCmsSpreadCoupon Source #

Arguments

:: Day	paymentDate
-> Double	nominal
-> Day	accrualStartDate
-> Day	accrualEndDate
-> Word	fixingDays
-> SwapSpreadIndex	index
-> Double	gearing
-> Double	spread
-> Maybe Day	referencePeriodStart
-> Maybe Day	referencePeriodEnd
-> DayCounter	dayCounter
-> Bool	inArrears
-> Maybe Day	exCouponDate
-> BusinessDayConvention	fixingConvention
-> Maybe Double	callStrike
-> PositionType	callPosition
-> Bool	callATM
-> Maybe Double	callDigitalPayoff
-> Maybe Double	putStrike
-> PositionType	putPosition
-> Bool	putATM
-> Maybe Double	putDigitalPayoff
-> Maybe DigitalReplication	replication
-> Bool	nakedOption
-> IO DigitalCmsSpreadCoupon

CMS-spread-rate coupon with embedded digital call and put options. Builds its own underlying CmsSpreadCoupon from paymentDate through fixingConvention (as cmsSpreadCoupon does), then wraps it exactly as digitalCmsCoupon wraps a CmsCoupon. QuantLib does no date adjustment at construction, so callers must provide business dates. Optional strikes and payoffs use Nothing for QuantLib's null-rate sentinel.

Dividends

fixedDividend Source #

Arguments

:: Double	amount
-> Day	date
-> IO Dividend

Predetermined cash flow paying a fixed amount at date.

fractionalDividendWithNominal Source #

Arguments

:: Double	rate
-> Double	nominal
-> Day	date
-> IO Dividend

Predetermined cash flow paying rate times nominal at date.

fractionalDividend Source #

Arguments

:: Double	rate
-> Day	date
-> IO Dividend

Predetermined cash flow paying a fractional rate of the underlying's price at date.

Coupon legs

fixedRateLeg :: Schedule -> NonEmpty Double -> NonEmpty InterestRate -> BusinessDayConvention -> DayCounter -> Calendar -> IO Leg Source #

Build a leg of fixed-rate coupons.

averageBmaLeg Source #

Arguments

:: Schedule
-> BMAIndex
-> NonEmpty Double	notionals
-> DayCounter
-> BusinessDayConvention
-> [Double]	gearings
-> [Double]	spreads
-> IO Leg

Build a leg of average-BMA coupons.

iborLeg :: Schedule -> GenIborIndex ibor -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Bool -> IO Leg Source #

iborLeg keeps its original 12-arg signature -- existing callers are unaffected -- but now delegates to iborLeg_, the raw binding widened to IborLeg's full builder surface, hardcoding upstream's own defaults for the params iborLeg doesn't expose. Use iborLegWithOptions to reach those (payment lag/calendar, ex-coupon period, fixing convention, indexed/at-par coupons) via IborLegOpts.

iborLegWithOptions :: Schedule -> GenIborIndex ibor -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Bool -> IborLegOpts -> IO Leg Source #

iborLeg widened to every IborLeg builder-method param via IborLegOpts.

digitalIborLeg :: Schedule -> GenIborIndex ibor -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> Bool -> DigitalIborLegOpts -> IO Leg Source #

cmsLeg :: Schedule -> GenSwapIndex sidx -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Bool -> IO Leg Source #

CMS leg builder (analog of iborLeg), 12-arg core shape -- same defaults-hardcoding pattern as iborLeg for the params not in this signature. Use cmsLegWithOptions to reach them (CmsLegOpts).

cmsLegWithOptions :: Schedule -> GenSwapIndex sidx -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Bool -> CmsLegOpts -> IO Leg Source #

cmsLeg widened to every CmsLeg builder-method param via CmsLegOpts.

cmsSpreadLeg Source #

Arguments

:: Schedule
-> SwapSpreadIndex	swapSpreadIndex
-> NonEmpty Double	notionals
-> DayCounter
-> BusinessDayConvention	paymentAdjustment
-> [Word]	fixingDays
-> [Double]	gearings
-> [Double]	spreads
-> [Double]	caps
-> [Double]	floors
-> Bool	inArrears
-> Bool	zeroPayments
-> IO Leg

CMS-spread leg builder. Unlike CmsLeg, upstream's CmsSpreadLeg has no ex-coupon-period/fixing-convention builder methods, so this binds its full builder surface directly with no accompanying options record.

digitalCmsLeg :: Schedule -> GenSwapIndex sidx -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> Bool -> DigitalCmsLegOpts -> IO Leg Source #

Build a sequence of digital CMS-rate coupons. The options record covers all digital call/put and replication choices.

digitalCmsSpreadLeg :: Schedule -> SwapSpreadIndex -> NonEmpty Double -> DayCounter -> BusinessDayConvention -> [Word] -> [Double] -> [Double] -> Bool -> DigitalCmsSpreadLegOpts -> IO Leg Source #

Build a sequence of digital CMS-spread-rate coupons. The options record covers all digital call/put and replication choices, exactly as digitalCmsLeg does for the plain CMS index case.

multipleResetsLeg :: Schedule -> GenIborIndex ibor -> Word -> DayCounter -> BusinessDayConvention -> MultipleResetsLegOpts -> IO Leg Source #

overnightLeg Source #

Arguments

:: Schedule
-> OvernightIborIndex
-> NonEmpty Double	notionals'
-> DayCounter
-> BusinessDayConvention
-> [Double]	gearings
-> [Double]	spreads
-> IO Leg

Build a leg of overnight-index coupons.

rangeAccrualLeg Source #

Arguments

:: Schedule
-> GenIborIndex ibor
-> NonEmpty Double	notionals
-> DayCounter
-> BusinessDayConvention
-> [Word]	fixingDays
-> [Double]	gearings
-> [Double]	spreads
-> [Double]	lowerTriggers
-> [Double]	upperTriggers
-> (Int, TimeUnit)	observationTenor
-> BusinessDayConvention
-> IO Leg

Build a leg of range-accrual floating-rate coupons.

cpiLeg Source #

Arguments

:: Schedule
-> ZeroInflationIndex
-> Double	baseCPI
-> (Word, TimeUnit)	observationLag
-> NonEmpty Double	notionals
-> NonEmpty Double	fixedRates
-> DayCounter	paymentDayCounter
-> BusinessDayConvention	paymentAdjustment
-> Calendar	paymentCalendar
-> CPIInterpolationType	observationInterpolation
-> Bool	subtractInflationNominal
-> IO Leg

Fixed-rate coupons scaled by the ratio of a ZeroInflationIndex fixing to baseCPI (a CPICoupon leg -- no capped/floored variant, unlike yoyInflationLeg: QL 1.43 has no CappedFlooredCPICoupon class to build one from, see README.md's TODO).

yoyInflationLeg Source #

Arguments

:: Schedule
-> Calendar
-> YoYInflationIndex
-> (Word, TimeUnit)	observationLag
-> CPIInterpolationType	interpolation
-> NonEmpty Double	notionals
-> DayCounter	paymentDayCounter
-> BusinessDayConvention	paymentAdjustment
-> [Word]	fixingDays
-> [Double]	gearings
-> [Double]	spreads
-> [Double]	caps
-> [Double]	floors
-> IO Leg

Year-on-year inflation-linked coupons (a YoYInflationCoupon leg). Non-empty caps/floors build CappedFlooredYoYInflationCoupons instead of plain ones -- but any resulting coupon (capped or not) still needs a pricer set via setYoyInflationCouponPricer before its 'QuantLib.CashFlow.npvWithZSpread/amount can be computed: upstream's InflationCoupon::rate() requires pricer_ unconditionally, not just for the capped/floored case (confirmed by reading inflationcoupon.cpp). CPI-leg (cpiLeg) caps/floors have no equivalent in QL 1.43 (no CappedFlooredCPICoupon class exists upstream, see README.md's TODO) -- this is a QuantLib-version limitation, not an unbound feature.

Coupon pricers

blackIborCouponPricer Source #

Arguments

:: GenOptionletVolatilityStructure ov
-> TimingAdjustment
-> Maybe (GenQuote q)	correlation
-> Maybe Bool	useIndexedCoupon
-> IO FloatingRateCouponPricer

Black-formula pricer for capped/floored Ibor coupons

blackIborQuantoCouponPricer Source #

Arguments

:: GenBlackVolTermStructure bv	fxVolatility
-> GenQuote q	underlyingFxCorrelation
-> GenOptionletVolatilityStructure ov	capletVolatility
-> IO FloatingRateCouponPricer

Experimental quanto-adjusted Black-formula pricer for capped/floored Ibor coupons. The FX Black volatility and underlying/FX correlation determine the quanto adjustment; the caplet volatility supplies the ordinary Ibor optionlet pricing inputs. The three handles are retained by QuantLib, so relinking their underlying quotes or term structures updates the pricer in the usual way.

analyticHaganPricer Source #

Arguments

:: GenSwaptionVolatilityStructure sv
-> YieldCurveModel
-> GenQuote q	meanReversion
-> IO CmsCouponPricer

CMS-coupon pricer via static replication (Hagan's "Conundrums..."), using an analytic closed-form approximation of the replication integrals.

numericHaganPricer Source #

Arguments

:: GenSwaptionVolatilityStructure sv
-> YieldCurveModel
-> GenQuote q	meanReversion
-> Double	lowerLimit
-> Double	upperLimit
-> Double	precision
-> Double	hardUpperLimit
-> IO CmsCouponPricer

CMS-coupon pricer via static replication (Hagan's "Conundrums..."), evaluating the replication integrals by numerical integration over vanilla swaption prices.

linearTsrPricer :: GenSwaptionVolatilityStructure sv -> GenQuote q -> Maybe (GenYieldTermStructure y) -> LinearTsrPricerSettings -> IO CmsCouponPricer Source #

CMS-coupon pricer using a linear terminal swap rate model (Andersen/Piterbarg 16.3.2). couponDiscountCurve of Nothing uses the coupon's own discount curve, matching upstream's default empty Handle. The upstream constructor's trailing integrator parameter (an advanced numerical-integration override) is not exposed; upstream's own default (ext::shared_ptr<Integrator>()) is always used.

lognormalCmsSpreadPricer :: CmsCouponPricer -> GenQuote q -> Maybe (GenYieldTermStructure y) -> Word -> Maybe VolatilityType -> Maybe Double -> Maybe Double -> IO FloatingRateCouponPricer Source #

CMS-spread pricer using the Brigo--Mercurio bivariate model, with extensions for shifted lognormal and normal dynamics. volatilityType of Nothing inherits the type and shifts from the component swaption volatility structures; in that case both shifts must be Nothing.

rangeAccrualPricerByBgm Source #

Arguments

:: Double	correlation
-> SmileSection	smilesOnExpiry
-> SmileSection	smilesOnPayment
-> Bool	withSmile
-> Bool	byCallSpread
-> IO FloatingRateCouponPricer

BGM-based pricer for RangeAccrualFloatersCoupons (a rangeAccrualLeg)

averagingMultipleResetsPricer :: IO FloatingRateCouponPricer Source #

Pricer that arithmetically averages multiple Ibor resets.

compoundingMultipleResetsPricer :: IO FloatingRateCouponPricer Source #

Pricer that compounds multiple Ibor resets.

compoundingOvernightIndexedCouponPricer Source #

Arguments

:: Maybe OptionletVolatilityStructure	capletVolatility
-> Bool	byApprox
-> IO FloatingRateCouponPricer

Compounding overnight-index coupon pricer.

arithmeticAveragedOvernightIndexedCouponPricer Source #

Arguments

:: Double	meanReversion
-> Double	volatility
-> Bool	byApprox
-> Maybe OptionletVolatilityStructure	capletVolatility
-> Bool	effective
-> IO FloatingRateCouponPricer

Arithmetic-average overnight-index coupon pricer.

blackCompoundingOvernightIndexedCouponPricer Source #

Arguments

:: Maybe OptionletVolatilityStructure	capletVolatility
-> Bool	effective
-> IO FloatingRateCouponPricer

Black-formula compounding overnight-index coupon pricer.

blackAveragingOvernightIndexedCouponPricer Source #

Arguments

:: Maybe OptionletVolatilityStructure	capletVolatility
-> Bool	effective
-> IO FloatingRateCouponPricer

Black-formula arithmetic-average overnight-index coupon pricer.

cpiCouponPricer Source #

Arguments

:: Maybe YieldTermStructure	nominalTermStructure
-> IO CPICouponPricer

CPI coupon pricer using an optional nominal yield curve.

cpiCouponPricerWithVol Source #

Arguments

:: CPIVolatilitySurface	volatilitySurface
-> Maybe YieldTermStructure	nominalTermStructure
-> IO CPICouponPricer

CPI coupon pricer using a CPI volatility surface and optional nominal yield curve.

blackYoyInflationCouponPricer Source #

Arguments

:: YoYOptionletVolatilitySurface
-> GenYieldTermStructure y	nominalTermStructure
-> IO YoYInflationCouponPricer

Black-formula pricer for capped/floored yoyInflationLeg coupons.

unitDisplacedBlackYoyInflationCouponPricer Source #

Arguments

:: YoYOptionletVolatilitySurface
-> GenYieldTermStructure y	nominalTermStructure
-> IO YoYInflationCouponPricer

Unit-Displaced-Black-formula pricer for capped/floored yoyInflationLeg coupons.

bachelierYoyInflationCouponPricer Source #

Arguments

:: YoYOptionletVolatilitySurface
-> GenYieldTermStructure y	nominalTermStructure
-> IO YoYInflationCouponPricer

Bachelier-formula pricer for capped/floored yoyInflationLeg coupons.

equityQuantoCashFlowPricer Source #

Arguments

:: GenYieldTermStructure y	quantoCurrencyTermStructure
-> GenBlackVolTermStructure bv1	equityVolatility
-> GenBlackVolTermStructure bv2	fxVolatility
-> GenQuote q	correlation
-> IO EquityCashFlowPricer

Quanto-adjusted pricer for an EquityCashFlow whose equity leg is denominated in a currency other than the swap's payment currency.

Mutators

setCpiCouponPricer Source #

Arguments

:: CPICoupon	coupon
-> CPICouponPricer	pricer
-> IO ()

Attach a CPI coupon pricer to a CPI coupon.

setFloatingRateCouponPricer Source #

Arguments

:: GenFloatingRateCoupon frc	coupon
-> GenFloatingRateCouponPricer frcp	pricer
-> IO ()

Set the coupon pricer used to calculate a floating-rate coupon's rate.

setYoyInflationCouponPricer :: GenLeg l -> YoYInflationCouponPricer -> IO () Source #

Set the pricer of every YoYInflationCapFloor-ready YoYInflationCoupon/CappedFlooredYoYInflationCoupon in leg. Required before pricing (via 'QuantLib.CashFlow.npvWithZSpread or an setPricingEngined instrument built on the leg) any yoyInflationLeg built with non-empty caps/floors -- yoyInflationLeg auto-attaches a default (non-vol) pricer only when caps and floors are both empty.

setEquityCashFlowPricer :: EquityCashFlow -> EquityCashFlowPricer -> IO () Source #

Attach a pricer (e.g. from equityQuantoCashFlowPricer) to a single EquityCashFlow; see setEquityLegPricer to attach one to every EquityCashFlow in a leg instead.

setCouponPricer :: GenLeg l -> GenFloatingRateCouponPricer frcp -> IO () Source #

Set the pricer of every floating-rate coupon in leg.

setCouponPricers :: GenLeg l -> [GenFloatingRateCouponPricer frcp] -> IO () Source #

Set the pricer of every floating-rate coupon in leg, picking each coupon's pricer from pricers by matching coupon type.

setEquityLegPricer :: GenLeg l -> EquityCashFlowPricer -> IO () Source #

Attach a pricer to every EquityCashFlow found in leg (non-EquityCashFlow entries are left untouched); see setEquityCashFlowPricer to attach one to a single cash flow instead.

Inspectors

Coupon fixings

class HasFixingDates coupon where Source #

Methods

fixingDates :: coupon -> IO [Day] Source #

Instances

Instances details

HasFixingDates AverageBMACoupon Source #
Instance details Defined in QuantLib.CashFlow Methods fixingDates :: AverageBMACoupon -> IO [Day] Source #
HasFixingDates MultipleResetsCoupon Source #
Instance details Defined in QuantLib.CashFlow Methods fixingDates :: MultipleResetsCoupon -> IO [Day] Source #
HasFixingDates OvernightIndexedCoupon Source #
Instance details Defined in QuantLib.CashFlow Methods fixingDates :: OvernightIndexedCoupon -> IO [Day] Source #

fixingDependencies :: GenLeg l -> IO [(String, Day)] Source #

Coupon types that expose the dates of their component index fixings. |Every fixing the cash flows of this leg need, as (index name, fixing date) pairs in leg order. QuantLib has no requiredFixings query, so this walks the leg itself, unwrapping decorating coupons (capped/floored, stripped, digital) and asking each coupon for its own fixing dates: one for an Ibor, CMS or CMS-spread coupon, one per averaged date for an overnight, BMA or multiple-resets coupon, and the fixing and base dates for an inflation coupon or an index-linked payment. A CMS-spread coupon reports its two underlying swap indexes rather than the spread index, because that is where the fixings are stored. Names are name, the key QuantLib's process-global fixing store uses. A cash flow that needs no fixing -- a redemption, a fixed-rate coupon -- contributes nothing. Duplicates are not removed: two coupons may fix the same index on the same date.

class HasIndexFixings coupon where Source #

Coupon types that expose their component index fixings.

Methods

indexFixings :: coupon -> IO [Double] Source #

Instances

Instances details

HasIndexFixings AverageBMACoupon Source #
Instance details Defined in QuantLib.CashFlow Methods indexFixings :: AverageBMACoupon -> IO [Double] Source #
HasIndexFixings OvernightIndexedCoupon Source #
Instance details Defined in QuantLib.CashFlow Methods indexFixings :: OvernightIndexedCoupon -> IO [Double] Source #

baseFixing :: GenIndexedCashFlow icf -> IO Double Source #

The fixing used as the base of an indexed cash flow's return ratio.

indexFixing :: GenIndexedCashFlow icf -> IO Double Source #

The fixing used as the numerator of an indexed cash flow's return ratio.

adjustedFixing :: YoYInflationCoupon -> IO Double Source #

Leg analytics

amount Source #

Arguments

:: GenCashFlow cf	cashFlow
-> IO Double

The undiscounted amount paid by a cash flow on its payment date.

date Source #

Arguments

:: GenCashFlow cf	cashFlow
-> Day

The payment date of a cash flow.

duration Source #

Arguments

:: GenLeg l
-> InterestRate	yield
-> DurationType
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> Maybe Day	npvDate
-> IO Double

Cash-flow duration. The simple duration of a string of cash flows is defined as \[ D_{\mathrm{simple}} = \frac{\sum t_i c_i B(t_i)}{\sum c_i B(t_i)} \] where $ c_i $ is the amount of the $ i $-th cash flow, $ t_i $ is its payment time, and $ B(t_i) $ is the corresponding discount according to the passed yield.The modified duration is defined as \[ D_{\mathrm{modified}} = -\frac{1}{P} \frac{\partial P}{\partial y} \] where $ P $ is the present value of the cash flows according to the given IRR $ y $.The Macaulay duration is defined for a compounded IRR as \[ D_{\mathrm{Macaulay}} = \left( 1 + \frac{y}{N} \right) D_{\mathrm{modified}} \] where $ y $ is the IRR and $ N $ is the number of cash flows per year.

accrualDays Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Int

Number of days in the accrual period of the coupon paying on settlementDate.

accrualEndDate Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO (Maybe Day)

End of the accrual period of the coupon paying on settlementDate.

accrualPeriod Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Double

Length, in years, of the accrual period of the coupon paying on settlementDate.

accrualStartDate Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO (Maybe Day)

Start of the accrual period of the coupon paying on settlementDate.

accruedAmount Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Double

Accrued amount of the coupon paying on settlementDate.

accruedDays Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Int

Number of days accrued so far on the coupon paying on settlementDate.

accruedPeriod Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Double

Fraction of the accrual period elapsed, as of settlementDate, for the coupon paying then.

atmRate Source #

Arguments

:: GenLeg l
-> GenYieldTermStructure y
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> Maybe Day	npvDate
-> Double	npv
-> IO Double

At-the-money rate of the cash flows. The result is the fixed rate for which a fixed rate cash flow vector, equivalent to the input vector, has the required NPV according to the given term structure. If the required NPV is not given, the input cash flow vector's NPV is used instead.

basisPointValue Source #

Arguments

:: GenLeg l
-> InterestRate
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> Maybe Day	npvDate
-> IO Double

Basis-point value. Obtained by setting dy = 0.0001 in the 2nd-order Taylor series expansion.

bps :: GenLeg l -> BpsDiscounting y -> Bool -> Maybe Day -> Maybe Day -> IO Double Source #

Basis-point sensitivity of the cash flows under the given discounting.

convexity Source #

Arguments

:: GenLeg l
-> InterestRate
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> Maybe Day	npvDate
-> IO Double

Cash-flow convexity. The convexity of a string of cash flows is defined as \[ C = \frac{1}{P} \frac{\partial^2 P}{\partial y^2} \] where $ P $ is the present value of the cash flows according to the given IRR $ y $.

isExpired Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Bool

Whether every cash flow in the leg has occurred as of settlementDate.

maturityDate :: GenLeg l -> IO Day Source #

Date of the leg's last cash flow.

startDate :: GenLeg l -> IO Day Source #

Returns the start (i.e. first accrual) date for the given Leg

cashFlows Source #

Arguments

:: GenLeg l
-> Maybe Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO [(Day, Double, Bool)]	date, amount, hasOccurred

return cash flows together with an indicator whether they occurred as of settlementDate

nextCashFlows Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Leg

return cashflows that will occur after settlementDate

nextCashFlowAmount Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Double

Amount of the first cash flow paying after settlementDate.

nextCashFlowDate Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO (Maybe Day)

Date of the first cash flow paying after settlementDate.

nextCouponRate Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Double

Coupon rate of the next cash flow paying after settlementDate.

previousCashFlows Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Leg

return cashflows that occurred before settlementDate

previousCashFlowAmount Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Double

Amount of the last cash flow that paid before or at settlementDate.

previousCashFlowDate Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO (Maybe Day)

Date of the last cash flow that paid before or at settlementDate.

previousCouponRate Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Double

Coupon rate of the last cash flow that paid before or at settlementDate.

nominal Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO Double

Nominal of the coupon paying on settlementDate.

npv :: GenLeg l -> Discounting y -> Bool -> Maybe Day -> Maybe Day -> IO Double Source #

NPV of the cash flows under the given discounting.

npvBps Source #

Arguments

:: GenLeg l
-> GenYieldTermStructure y
-> Bool	includeSettlementDateFlows
-> Day	settlementDate
-> Day	npvDate
-> IO (Double, Double)

NPV and BPS of the cash flows. The NPV and BPS of the cash flows calculated together for performance reason

referencePeriodEnd Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO (Maybe Day)

End of the reference period of the coupon paying on settlementDate.

referencePeriodStart Source #

Arguments

:: GenLeg l
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> IO (Maybe Day)

Start of the reference period of the coupon paying on settlementDate.

yield Source #

Arguments

:: GenLeg l
-> Double	npv
-> DayCounter
-> Compounding
-> Frequency
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> Maybe Day	npvDate
-> Double	accuracy
-> Word	maxIterations
-> Double	guess
-> IO Double

Implied internal rate of return. The function verifies the theoretical existance of an IRR and numerically establishes the IRR to the desired precision.

yieldValueBasisPoint Source #

Arguments

:: GenLeg l
-> InterestRate	yield
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> Maybe Day	npvDate
-> IO Double

Yield value of a basis point. The yield value of a one basis point change in price is the derivative of the yield with respect to the price multiplied by 0.01

zSpread Source #

Arguments

:: GenLeg l
-> Double	npv
-> GenYieldTermStructure y
-> Compounding
-> Frequency
-> Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> Maybe Day	npvDate
-> Double	accuracy
-> Word	maxIterations
-> Double	guess
-> IO Double

implied Z-spread.

Coupon rates and prices

coupons Source #

Arguments

:: CouponLeg	leg
-> IO [Coupon]

The individual coupons of a coupon leg, e.g. to ask each one its own rate or couponAccruedAmount. Pair with toCouponLeg to get here from a Leg.

couponAccrualStartDates :: CouponLeg -> IO [Day] Source #

start of the accrual periods for a coupon leg

couponAccruedAmount Source #

Arguments

:: GenCoupon c	coupon
-> Day	date
-> IO Double

Interest accrued on a single coupon up to the given date -- nominal times rate times the accrued fraction of the accrual period. Named apart from the leg-level accruedAmount, which sums a whole Leg and takes settlement-date arguments this does not.

rate Source #

Arguments

:: GenCoupon c	coupon
-> IO Double

The coupon rate, at the Coupon level every accruing cash flow shares. How it is obtained is the subtype's business: a FixedRateCoupon returns its own rate, a CPICoupon its fixed rate times the index ratio, and a FloatingRateCoupon requires an attached FloatingRateCouponPricer and throws without one (see setFloatingRateCouponPricer).

price Source #

Arguments

:: GenFloatingRateCoupon frc	coupon
-> Maybe (GenYieldTermStructure y)	discountingCurve
-> IO Double

Net present value of the coupon, i.e. the coupon amount discounted off the given curve. Nothing uses the coupon's own default discounting (an empty Handle<YieldTermStructure>).

interestRate :: FixedRateCoupon -> IO InterestRate Source #

The coupon's own fixed rate, as an InterestRate (rate value plus day countercompounding frequency) rather than a bare rate -- distinct from rate, which returns a bare Double for the (possibly index-derived) accrual rate.

indexRatio Source #

Arguments

:: CPICoupon	coupon
-> Day	d
-> IO Double

The ratio of the (possibly interpolated) index value on d to the coupon's base index value, i.e. the inflation-adjustment factor applied to the coupon's fixed rate.

convexityAdjustment Source #

Arguments

:: GenFloatingRateCoupon frc	coupon
-> IO Double

The adjustment (e.g. for coupons that fix in arrears) applied to the plain index fixing to get the effective, convexity-adjusted fixing used in rate.

swapletRate :: GenFloatingRateCouponPricer frcp -> IO Double Source #

Rate for a fully-determined coupon period, with no cap/floor.

swapletPrice :: GenFloatingRateCouponPricer frcp -> IO Double Source #

Price (NPV contribution) for a fully-determined coupon period, with no cap/floor. Not every pricer supports this: e.g. CompoundingOvernightIndexedCouponPricer throws.

capletPrice Source #

Arguments

:: GenFloatingRateCouponPricer frcp
-> Double	effectiveCap
-> IO Double

Price of the caplet with the given effective cap rate. Not every pricer supports this.

capletRate Source #

Arguments

:: GenFloatingRateCouponPricer frcp
-> Double	effectiveCap
-> IO Double

Rate of the caplet with the given effective cap rate. Not every pricer supports this.

floorletPrice Source #

Arguments

:: GenFloatingRateCouponPricer frcp
-> Double	effectiveFloor
-> IO Double

Price of the floorlet with the given effective floor rate. Not every pricer supports this.

floorletRate Source #

Arguments

:: GenFloatingRateCouponPricer frcp
-> Double	effectiveFloor
-> IO Double

Rate of the floorlet with the given effective floor rate. Not every pricer supports this.

replicationType Source #

Arguments

:: DigitalReplication	replication
-> ReplicationType

gap Source #

Arguments

:: DigitalReplication	replication
-> Double

Capped and floored coupons

capRate Source #

Arguments

:: StrippedCappedFlooredCoupon	coupon
-> Double

The cap actually in effect for this coupon, accounting for the sign of gearing; QuantLib's null-rate sentinel means no cap applies.

floorRate Source #

Arguments

:: StrippedCappedFlooredCoupon	coupon
-> Double

The floor actually in effect for this coupon, accounting for the sign of gearing; QuantLib's null-rate sentinel means no floor applies.

effectiveCap Source #

Arguments

:: StrippedCappedFlooredCoupon	coupon
-> Double

The cap rate translated back to the underlying index rate (before gearing/spread); QuantLib's null-rate sentinel means the coupon is not capped.

effectiveFloor Source #

Arguments

:: StrippedCappedFlooredCoupon	coupon
-> Double

The floor rate translated back to the underlying index rate (before gearing/spread); QuantLib's null-rate sentinel means the coupon is not floored.

isCap Source #

Arguments

:: StrippedCappedFlooredCoupon	coupon
-> Bool

Whether this coupon has a cap in effect.

isFloor Source #

Arguments

:: StrippedCappedFlooredCoupon	coupon
-> Bool

Whether this coupon has a floor in effect.

isCollar Source #

Arguments

:: StrippedCappedFlooredCoupon	coupon
-> Bool

Whether this coupon is both capped and floored (a collar).

callOptionRate :: GenDigitalCoupon dc -> IO Double Source #

putOptionRate :: GenDigitalCoupon dc -> IO Double Source #

priceWithoutOptionality :: RangeAccrualFloatersCoupon -> GenYieldTermStructure y -> IO Double Source #