hasquant
Safe HaskellNone
LanguageHaskell2010

QuantLib.Index.InterestRate

Synopsis

Documentation

type InterestRateIndex = GenInterestRateIndex CInterestRateIndex #

type BMAIndex = GenInterestRateIndex CBMAIndex #

type OvernightIborIndex = GenIborIndex COvernightIndex #

type IborIndex = GenIborIndex CIborIndex #

type SwapIndex = GenSwapIndex CSwapIndex #

type OvernightIndexedSwapIndex = GenSwapIndex COvernightIndexedSwapIndex #

type GenInterestRateIndex a = GenIndex (AnyOf CInterestRateIndex' a) #

type GenIborIndex a = GenInterestRateIndex (AnyOf CIborIndex' a) #

type GenSwapIndex a = GenInterestRateIndex (AnyOf CSwapIndex' a) #

bmaIndex :: Maybe (GenYieldTermStructure y) -> IO BMAIndex #

This method returns a schedule of fixing dates between start and end.

fixingSchedule :: BMAIndex -> Day -> Day -> IO Schedule #

It can be overridden to implement particular conventions.

forecastFixing :: GenInterestRateIndex a -> Day -> IO Double #

currency :: GenInterestRateIndex a -> IO Currency #

dayCounter :: GenInterestRateIndex a -> IO DayCounter #

fixingDays :: GenInterestRateIndex a -> Word #

tenor :: GenInterestRateIndex a -> IO (Word, TimeUnit) #

asInterestRateIndex :: GenInterestRateIndex a -> IO InterestRateIndex #

asIborIndex :: GenIborIndex a -> IO IborIndex #

asSwapIndex :: GenSwapIndex a -> IO SwapIndex #

data OvernightIborIndexType #

Constructors

Aonia 
Eonia 
Estr 
FedFunds 
Nzocr 
Sofr 
Sonia 

Instances

Instances details
Enum OvernightIborIndexType # 
Instance details

Defined in QuantLib.Index.InterestRate

Methods

succ :: OvernightIborIndexType -> OvernightIborIndexType #

pred :: OvernightIborIndexType -> OvernightIborIndexType #

toEnum :: Int -> OvernightIborIndexType #

fromEnum :: OvernightIborIndexType -> Int #

enumFrom :: OvernightIborIndexType -> [OvernightIborIndexType] #

enumFromThen :: OvernightIborIndexType -> OvernightIborIndexType -> [OvernightIborIndexType] #

enumFromTo :: OvernightIborIndexType -> OvernightIborIndexType -> [OvernightIborIndexType] #

enumFromThenTo :: OvernightIborIndexType -> OvernightIborIndexType -> OvernightIborIndexType -> [OvernightIborIndexType] #

Show OvernightIborIndexType # 
Instance details

Defined in QuantLib.Index.InterestRate

Methods

showsPrec :: Int -> OvernightIborIndexType -> ShowS #

show :: OvernightIborIndexType -> String #

showList :: [OvernightIborIndexType] -> ShowS #

Eq OvernightIborIndexType # 
Instance details

Defined in QuantLib.Index.InterestRate

Methods

(==) :: OvernightIborIndexType -> OvernightIborIndexType -> Bool #

(/=) :: OvernightIborIndexType -> OvernightIborIndexType -> Bool #

overnightIborIndex :: OvernightIborIndexType -> Maybe (GenYieldTermStructure y) -> IO OvernightIborIndex #

data LiborSwapIndexType #

Constructors

ChfLiborSwapIsdaFix 
EurLiborSwapIfrFix 
EurLiborSwapIsdaFixA 
EurLiborSwapIsdaFixB 
EuriborSwapIfrFix 
EuriborSwapIsdaFixA 
EuriborSwapIsdaFixB 
GbpLiborSwapIsdaFix 
JpyLiborSwapIsdaFixAm 
JpyLiborSwapIsdaFixPm 
UsdLiborSwapIsdaFixAm 
UsdLiborSwapIsdaFixPm 

Instances

Instances details
Enum LiborSwapIndexType # 
Instance details

Defined in QuantLib.Index.InterestRate

Methods

succ :: LiborSwapIndexType -> LiborSwapIndexType #

pred :: LiborSwapIndexType -> LiborSwapIndexType #

toEnum :: Int -> LiborSwapIndexType #

fromEnum :: LiborSwapIndexType -> Int #

enumFrom :: LiborSwapIndexType -> [LiborSwapIndexType] #

enumFromThen :: LiborSwapIndexType -> LiborSwapIndexType -> [LiborSwapIndexType] #

enumFromTo :: LiborSwapIndexType -> LiborSwapIndexType -> [LiborSwapIndexType] #

enumFromThenTo :: LiborSwapIndexType -> LiborSwapIndexType -> LiborSwapIndexType -> [LiborSwapIndexType] #

Show LiborSwapIndexType # 
Instance details

Defined in QuantLib.Index.InterestRate

Methods

showsPrec :: Int -> LiborSwapIndexType -> ShowS #

show :: LiborSwapIndexType -> String #

showList :: [LiborSwapIndexType] -> ShowS #

Eq LiborSwapIndexType # 
Instance details

Defined in QuantLib.Index.InterestRate

Methods

(==) :: LiborSwapIndexType -> LiborSwapIndexType -> Bool #

(/=) :: LiborSwapIndexType -> LiborSwapIndexType -> Bool #

liborSwapIndex #

Arguments

:: LiborSwapIndexType 
-> (Int, TimeUnit) 
-> Maybe (GenYieldTermStructure f)

forwarding

-> Maybe (GenYieldTermStructure d)

discounting

-> IO SwapIndex 

overnightIndexedSwapIndex #

Arguments

:: String 
-> (Int, TimeUnit) 
-> Word

settlementDays

-> Currency 
-> OvernightIborIndex 
-> IO OvernightIndexedSwapIndex 

swapIndex #

Arguments

:: String 
-> (Int, TimeUnit) 
-> Word

settlementDays

-> Currency 
-> Calendar 
-> (Int, TimeUnit)

fixedLegTenor

-> BusinessDayConvention 
-> DayCounter 
-> GenIborIndex a 
-> IO SwapIndex 

swapIndex' #

Arguments

:: String

familyName

-> (Int, TimeUnit)

tenor

-> Word

settlementDays

-> Currency 
-> Calendar 
-> (Int, TimeUnit)

fixedLegTenor

-> BusinessDayConvention

fixedLegConvention

-> DayCounter

fixedLegDayCounter

-> GenIborIndex a 
-> GenYieldTermStructure y 
-> IO SwapIndex 

data IborConstructor #

for some indices without a dedicated overnight constructor you can use (0, Days) tenor

Constructors

Bbsw (Word, TimeUnit) 
Bibor (Word, TimeUnit) 
Bkbm (Word, TimeUnit) 
Cdor (Word, TimeUnit) 
EurLibor (Word, TimeUnit) 
AudLibor (Word, TimeUnit) 
CadLibor (Word, TimeUnit) 
ChfLibor (Word, TimeUnit) 
DkkLibor (Word, TimeUnit) 
GbpLibor (Word, TimeUnit) 
JpyLibor (Word, TimeUnit) 
NzdLibor (Word, TimeUnit) 
SekLibor (Word, TimeUnit) 
UsdLibor (Word, TimeUnit) 
EurDailyTenorLibor Word 
ChfDailyTenorLibor Word 
GbpDailyTenorLibor Word 
JpyDailyTenorLibor Word 
UsdDailyTenorLibor Word 
CadLiborON 
EurLiborON 
GbpLiborON 
UsdLiborON 
Euribor (Word, TimeUnit) 
Euribor365 (Word, TimeUnit) 
Jibar (Word, TimeUnit) 
Mosprime (Word, TimeUnit) 
Pribor (Word, TimeUnit) 
Robor (Word, TimeUnit) 
Shibor (Word, TimeUnit) 
THBFIX (Word, TimeUnit) 
TRLibor (Word, TimeUnit) 
Tibor (Word, TimeUnit) 
Wibor (Word, TimeUnit) 
Zibor (Word, TimeUnit) 
Ibor 

Fields

Libor 

Fields

DailyTenorLibor 

Fields

Bbsw1M 
Bbsw2M 
Bbsw3M 
Bbsw4M 
Bbsw5M 
Bbsw6M 
BiborSW 
Bibor1M 
Bibor2M 
Bibor3M 
Bibor6M 
Bibor9M 
Bibor1Y 
Bkbm1M 
Bkbm2M 
Bkbm3M 
Bkbm4M 
Bkbm5M 
Bkbm6M 
EuriborSW 
Euribor2W 
Euribor3W 
Euribor1M 
Euribor2M 
Euribor3M 
Euribor4M 
Euribor5M 
Euribor6M 
Euribor7M 
Euribor8M 
Euribor9M 
Euribor10M 
Euribor11M 
Euribor1Y 
Euribor365_SW 
Euribor365_2W 
Euribor365_3W 
Euribor365_1M 
Euribor365_2M 
Euribor365_3M 
Euribor365_4M 
Euribor365_5M 
Euribor365_6M 
Euribor365_7M 
Euribor365_8M 
Euribor365_9M 
Euribor365_10M 
Euribor365_11M 
Euribor365_1Y 
EurLiborSW 
EurLibor2W 
EurLibor1M 
EurLibor2M 
EurLibor3M 
EurLibor4M 
EurLibor5M 
EurLibor6M 
EurLibor7M 
EurLibor8M 
EurLibor9M 
EurLibor10M 
EurLibor11M 
EurLibor1Y 

Instances

Instances details
Show IborConstructor # 
Instance details

Defined in QuantLib.Index.InterestRate

Methods

showsPrec :: Int -> IborConstructor -> ShowS #

show :: IborConstructor -> String #

showList :: [IborConstructor] -> ShowS #

Eq IborConstructor # 
Instance details

Defined in QuantLib.Index.InterestRate

Methods

(==) :: IborConstructor -> IborConstructor -> Bool #

(/=) :: IborConstructor -> IborConstructor -> Bool #

iborIndex :: IborConstructor -> Maybe (GenYieldTermStructure y) -> IO IborIndex #

overnightIndex #

Arguments

:: String 
-> Word

settlementDays

-> Currency 
-> Calendar 
-> DayCounter 
-> Maybe (GenYieldTermStructure y) 
-> IO OvernightIborIndex 

businessDayConvention :: GenIborIndex a -> BusinessDayConvention #

endOfMonth :: GenIborIndex a -> Bool #

underlyingSwap :: GenSwapIndex a -> Day -> IO VanillaSwap #

underlyingOIS :: OvernightIndexedSwapIndex -> Day -> IO OvernightIndexedSwap #