Safe Haskell	None
Language	Haskell2010

QuantLib.Instrument.Option

Documentation

type Option = GenOption COption #

asOption :: GenOption a -> IO Option #

asOneAssetOption :: GenOneAssetOption a -> IO OneAssetOption #

type CdsOption = GenOption CCdsOption #

type BarrierOption = GenOneAssetOption CBarrierOption #

type ForwardVanillaOption = GenOneAssetOption CForwardVanillaOption #

type MargrabeOption = GenMultiAssetOption CMargrabeOption #

type MultiAssetOption = GenMultiAssetOption CMultiAssetOption #

type OneAssetOption = GenOneAssetOption COneAssetOption #

type QuantoBarrierOption = GenOption CQuantoBarrierOption #

type QuantoForwardVanillaOption = GenOption CQuantoForwardVanillaOption #

type QuantoVanillaOption = GenOneAssetOption CQuantoVanillaOption #

type VanillaOption = GenOneAssetOption CVanillaOption #

data ExerciseType #

Constructors

ExerciseTypeAmerican
ExerciseTypeBermudan
ExerciseTypeEuropean

Instances

Instances details

Enum ExerciseType #
Instance details Defined in QuantLib.Internal.Enum Methods succ :: ExerciseType -> ExerciseType # pred :: ExerciseType -> ExerciseType # toEnum :: Int -> ExerciseType # fromEnum :: ExerciseType -> Int # enumFrom :: ExerciseType -> [ExerciseType] # enumFromThen :: ExerciseType -> ExerciseType -> [ExerciseType] # enumFromTo :: ExerciseType -> ExerciseType -> [ExerciseType] # enumFromThenTo :: ExerciseType -> ExerciseType -> ExerciseType -> [ExerciseType] #
Show ExerciseType #
Instance details Defined in QuantLib.Internal.Enum Methods showsPrec :: Int -> ExerciseType -> ShowS # show :: ExerciseType -> String # showList :: [ExerciseType] -> ShowS #
Eq ExerciseType #
Instance details Defined in QuantLib.Internal.Enum Methods (==) :: ExerciseType -> ExerciseType -> Bool # (/=) :: ExerciseType -> ExerciseType -> Bool #

data Exercise #

Constructors

AmericanExercise
Fields !(Maybe Day) earliestDate !Day latestDate !Bool paoffAtExpiry
Early !ExerciseType !Bool
Vanilla !ExerciseType
European !EuropeanExercise
Bermudan !BermudanExercise

data EuropeanExercise #

Constructors

EuropeanExercise Day

data BermudanExercise #

Constructors

BermudanExercise ![Day] !Bool
Swing SwingExercise

data SwingExercise #

Constructors

SwingListExercise ![(Day, Word)]	(dates, seconds)
SwingIntervalExercise !Day !Day !Word	stepSizeSecs

data OptionType #

Constructors

Put
Call

Instances

Instances details

Enum OptionType #
Instance details Defined in QuantLib.Internal.Enum Methods succ :: OptionType -> OptionType # pred :: OptionType -> OptionType # toEnum :: Int -> OptionType # fromEnum :: OptionType -> Int # enumFrom :: OptionType -> [OptionType] # enumFromThen :: OptionType -> OptionType -> [OptionType] # enumFromTo :: OptionType -> OptionType -> [OptionType] # enumFromThenTo :: OptionType -> OptionType -> OptionType -> [OptionType] #
Show OptionType #
Instance details Defined in QuantLib.Internal.Enum Methods showsPrec :: Int -> OptionType -> ShowS # show :: OptionType -> String # showList :: [OptionType] -> ShowS #
Eq OptionType #
Instance details Defined in QuantLib.Internal.Enum Methods (==) :: OptionType -> OptionType -> Bool # (/=) :: OptionType -> OptionType -> Bool #

data PositionType #

Constructors

Long
Short

Instances

Instances details

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

data StrikedPayoff #

Constructors

AssetOrNothing
Fields !OptionType type !Double strike
CashOrNothing
Fields !OptionType type !Double strike !Double cashPayoff
Gap
Fields !OptionType type !Double strike !Double secondStrike
PercentageStrike !PercentageStrikePayoff
PlainVanilla !PlainVanillaPayoff
SuperFund
Fields !Double strike !Double secondStrike
SuperSharePayoff
Fields !Double strike !Double secondStrike !Double cashPayoff

data PlainVanillaPayoff #

Constructors

PlainVanillaPayoff
Fields !OptionType type !Double strike

data PercentageStrikePayoff #

Constructors

PercentageStrikePayoff
Fields !OptionType type !Double moneyness

data BasketPayoff #

Constructors

Average
Fields !Payoff p !Word n
AverageMultiple
Fields !Payoff p ![Double] a
Max !Payoff	p
Min !Payoff	p
Spread !Payoff	p

data Payoff #

Constructors

DoubleStickyRatchet
Fields !Double type1 !Double type2 !Double gearing1 !Double gearing2 !Double gearing3 !Double spread1 !Double spread2 !Double spread3 !Double initialValue1 !Double initialValue2 !Double accrualFactor
ForwardType
Fields !PositionType type !Double strike
RatchetMax
Fields !Double gearing1 !Double gearing2 !Double gearing3 !Double spread1 !Double spread2 !Double spread3 !Double initialValue1 !Double initialValue2 !Double accrualFactor
RatchetMin
Fields !Double gearing1 !Double gearing2 !Double gearing3 !Double spread1 !Double spread2 !Double spread3 !Double initialValue1 !Double initialValue2 !Double accrualFactor
Ratchet
Fields !Double gearing1 !Double gearing2 !Double spread1 !Double spread2 !Double initialValue !Double accrualFactor
StickyMax
Fields !Double gearing1 !Double gearing2 !Double gearing3 !Double spread1 !Double spread2 !Double spread3 !Double initialValue1 !Double initialValue2 !Double accrualFactor
StickyMin
Fields !Double gearing1 !Double gearing2 !Double gearing3 !Double spread1 !Double spread2 !Double spread3 !Double initialValue1 !Double initialValue2 !Double accrualFactor
Sticky
Fields !Double gearing1 !Double gearing2 !Double spread1 !Double spread2 !Double initialValue !Double accrualFactor
Type !TypePayoff
Basket !BasketPayoff

data TypePayoff #

Constructors

Striked !StrikedPayoff
Floating !OptionType	type

barrierOption #

Arguments

:: BarrierType
-> Double	barrier
-> Double	rebate
-> StrikedPayoff
-> Exercise
-> IO BarrierOption

forwardVanillaOption #

Arguments

:: Double	moneyness
-> Day	resetDate
-> StrikedPayoff
-> Exercise
-> IO ForwardVanillaOption

delta1 :: MargrabeOption -> IO Double #

delta2 :: MargrabeOption -> IO Double #

gamma1 :: MargrabeOption -> IO Double #

gamma2 :: MargrabeOption -> IO Double #

margrabeOption #

Arguments

:: Int	Q1
-> Int	Q2
-> Exercise
-> IO MargrabeOption

multiAssetOption :: Payoff -> Exercise -> IO MultiAssetOption #

deltaForward :: GenOneAssetOption a -> IO Double #

elasticity :: GenOneAssetOption a -> IO Double #

itmCashProbability :: GenOneAssetOption a -> IO Double #

oneAssetOption :: Payoff -> Exercise -> IO OneAssetOption #

strikeSensitivity :: GenOneAssetOption a -> IO Double #

thetaPerDay :: GenOneAssetOption a -> IO Double #

quantoBarrierOption #

Arguments

:: BarrierType
-> Double	barrier
-> Double	rebate
-> StrikedPayoff
-> Exercise
-> IO QuantoBarrierOption

quantoForwardVanillaOption #

Arguments

:: Double	moneyness
-> Day	resetDate
-> StrikedPayoff
-> Exercise
-> IO QuantoForwardVanillaOption

quantoVanillaOption :: StrikedPayoff -> Exercise -> IO QuantoVanillaOption #

vanillaOption :: StrikedPayoff -> Exercise -> IO VanillaOption #

basketOption :: BasketPayoff -> Exercise -> IO MultiAssetOption #

himalayaOption #

Arguments

:: [Day]	fixingDates
-> Double	strike
-> IO MultiAssetOption

pagodaOption #

Arguments

:: [Day]	fixingDates
-> Double	roof
-> Double	fraction
-> IO MultiAssetOption

cliquetOption #

Arguments

:: PercentageStrikePayoff
-> EuropeanExercise	maturity
-> [Day]	resetDates
-> IO OneAssetOption

continuousAveragingAsianOption :: AverageType -> StrikedPayoff -> Exercise -> IO OneAssetOption #

continuousFixedLookbackOption #

Arguments

:: Double	currentMinmax
-> StrikedPayoff
-> Exercise
-> IO OneAssetOption

continuousFloatingLookbackOption #

Arguments

:: Double	currentMinmax
-> TypePayoff
-> Exercise
-> IO OneAssetOption

discreteAveragingAsianOption #

Arguments

:: AverageType
-> Double	runningAccumulator, the running sum or products of past fixings
-> Word	pastFixings
-> [Day]	fixingDates
-> StrikedPayoff
-> Exercise
-> IO OneAssetOption

vanillaStorageOption #

Arguments

:: BermudanExercise
-> Double
-> Double	load
-> Double	changeRate
-> IO OneAssetOption

vanillaSwingOption #

Arguments

:: StrikedPayoff
-> SwingExercise
-> Word	minExerciseRights
-> Word	maxExerciseRights
-> IO OneAssetOption

europeanOption :: StrikedPayoff -> Exercise -> IO VanillaOption #

class VolatileOption a where #

Methods

impliedVolatility #

Arguments

:: a
-> Double	price
-> GeneralizedBlackScholesProcess	process
-> Double	accuracy
-> Word	maxEvaluations
-> Double	minVol
-> Double	maxVol
-> IO Double

Instances

Instances details

VolatileOption BarrierOption #
Instance details Defined in QuantLib.Instrument.Option Methods impliedVolatility :: BarrierOption -> Double -> GeneralizedBlackScholesProcess -> Double -> Word -> Double -> Double -> IO Double #
VolatileOption VanillaOption #
Instance details Defined in QuantLib.Instrument.Option Methods impliedVolatility :: VanillaOption -> Double -> GeneralizedBlackScholesProcess -> Double -> Word -> Double -> Double -> IO Double #

class QuantoOption a where #

Methods

qrho :: a -> IO Double #

qvega :: a -> IO Double #

qlambda :: a -> IO Double #

Instances

Instances details

QuantoOption QuantoBarrierOption #
Instance details Defined in QuantLib.Instrument.Option Methods qrho :: QuantoBarrierOption -> IO Double # qvega :: QuantoBarrierOption -> IO Double # qlambda :: QuantoBarrierOption -> IO Double #
QuantoOption QuantoForwardVanillaOption #
Instance details Defined in QuantLib.Instrument.Option Methods qrho :: QuantoForwardVanillaOption -> IO Double # qvega :: QuantoForwardVanillaOption -> IO Double # qlambda :: QuantoForwardVanillaOption -> IO Double #
QuantoOption QuantoVanillaOption #
Instance details Defined in QuantLib.Instrument.Option Methods qrho :: QuantoVanillaOption -> IO Double # qvega :: QuantoVanillaOption -> IO Double # qlambda :: QuantoVanillaOption -> IO Double #

class OptionOnAsset a where #

Methods

delta :: a -> IO Double #

gamma :: a -> IO Double #

rho :: a -> IO Double #

theta :: a -> IO Double #

vega :: a -> IO Double #

dividendRho :: a -> IO Double #

Instances

Instances details

OptionOnAsset MultiAssetOption #
Instance details Defined in QuantLib.Instrument.Option Methods delta :: MultiAssetOption -> IO Double # gamma :: MultiAssetOption -> IO Double # rho :: MultiAssetOption -> IO Double # theta :: MultiAssetOption -> IO Double # vega :: MultiAssetOption -> IO Double # dividendRho :: MultiAssetOption -> IO Double #
OptionOnAsset OneAssetOption #
Instance details Defined in QuantLib.Instrument.Option Methods delta :: OneAssetOption -> IO Double # gamma :: OneAssetOption -> IO Double # rho :: OneAssetOption -> IO Double # theta :: OneAssetOption -> IO Double # vega :: OneAssetOption -> IO Double # dividendRho :: OneAssetOption -> IO Double #