Safe Haskell	None
Language	Haskell2010

QuantLib.Instrument.Swap

Synopsis

type Swaption = GenOption CSwaption
type Swap = GenSwap CSwap
type VanillaSwap = GenSwap CVanillaSwap
type AssetSwap = GenSwap CAssetSwap
type OvernightIndexedSwap = GenSwap COvernightIndexedSwap
type BMASwap = GenSwap CBMASwap
asSwap :: GenSwap a -> IO Swap
impliedVolatility :: Swaption -> Double -> GenYieldTermStructure y -> Double -> Double -> Word -> Double -> Double -> IO Double
data SwapType
- = Receiver
- | Payer
swap' :: [(Leg, Bool)] -> IO Swap
swap :: GenLeg a -> GenLeg a -> IO Swap
bmaSwap :: SwapType -> Double -> Schedule -> Double -> Double -> GenIborIndex a -> DayCounter -> Schedule -> BMAIndex -> DayCounter -> IO BMASwap
vanillaSwap :: SwapType -> Double -> Schedule -> Double -> DayCounter -> Schedule -> GenIborIndex a -> Double -> DayCounter -> BusinessDayConvention -> IO VanillaSwap
endDiscounts :: GenSwap a -> Word -> IO Double
leg :: GenSwap a -> Word -> IO Leg
legBPS :: GenSwap a -> Word -> IO Double
legNPV :: GenSwap a -> Word -> IO Double
maturityDate :: GenSwap a -> IO (Maybe Day)
npvDateDiscount :: GenSwap a -> IO Double
startDate :: GenSwap a -> IO (Maybe Day)
startDiscounts :: GenSwap a -> Word -> IO Double
bmaLeg :: BMASwap -> IO Leg
bmaLegBPS :: BMASwap -> IO Double
bmaLegNPV :: BMASwap -> IO Double
fairLiborFraction :: BMASwap -> IO Double
fairLiborSpread :: BMASwap -> IO Double
liborFraction :: BMASwap -> IO Double
liborLeg :: BMASwap -> IO Leg
liborLegBPS :: BMASwap -> IO Double
liborLegNPV :: BMASwap -> IO Double
swaption :: VanillaSwap -> Exercise -> SettlementType -> IO Swaption
assetSwap :: Bool -> Bond -> Double -> GenIborIndex a -> Double -> Schedule -> DayCounter -> Bool -> IO AssetSwap
bondLeg :: AssetSwap -> IO Leg
cleanPrice :: AssetSwap -> IO Double
fairCleanPrice :: AssetSwap -> IO Double
fairNonParRepayment :: AssetSwap -> IO Double
nonParRepayment :: AssetSwap -> IO Double
parSwap :: AssetSwap -> IO Bool
payBondCoupon :: AssetSwap -> IO Bool
overnightIndexedSwap :: SwapType -> Double -> Schedule -> Double -> DayCounter -> OvernightIborIndex -> Double -> IO OvernightIndexedSwap
overnightIndexedSwap' :: SwapType -> [Double] -> Schedule -> Double -> DayCounter -> OvernightIborIndex -> Double -> IO OvernightIndexedSwap
overnightLeg :: OvernightIndexedSwap -> IO Leg
overnightLegBPS :: OvernightIndexedSwap -> IO Double
overnightLegNPV :: OvernightIndexedSwap -> IO Double
class HasFixedLeg a where
- fairRate :: a -> IO Double
- fixedLeg :: a -> IO Leg
- fixedLegBPS :: a -> IO Double
- fixedLegNPV :: a -> IO Double
class HasFloatingLeg a where
- floatingLeg :: a -> IO Leg
- floatingLegBPS :: a -> IO Double
- floatingLegNPV :: a -> IO Double
class HasSpread a where
- fairSpread :: a -> IO Double

Documentation

type Swaption = GenOption CSwaption #

type Swap = GenSwap CSwap #

type VanillaSwap = GenSwap CVanillaSwap #

type AssetSwap = GenSwap CAssetSwap #

type OvernightIndexedSwap = GenSwap COvernightIndexedSwap #

type BMASwap = GenSwap CBMASwap #

asSwap :: GenSwap a -> IO Swap #

impliedVolatility #

Arguments

:: Swaption
-> Double	price
-> GenYieldTermStructure y
-> Double	guess
-> Double	accuracy
-> Word	maxEvaluations
-> Double	minVol
-> Double	maxVol
-> IO Double

implied volatility

data SwapType #

Constructors

Receiver
Payer

Instances

Instances details

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

swap' #

Arguments

:: [(Leg, Bool)]	(legs, payer)
-> IO Swap

Multi leg constructor.

swap :: GenLeg a -> GenLeg a -> IO Swap #

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

bmaSwap #

Arguments

:: SwapType
-> Double	nominal
-> Schedule	liborSchedule
-> Double	liborFraction
-> Double	liborSpread
-> GenIborIndex a
-> DayCounter	liborDayCount
-> Schedule	bmaSchedule
-> BMAIndex
-> DayCounter	bmaDayCount
-> IO BMASwap

vanillaSwap #

Arguments

:: SwapType
-> Double	nominal
-> Schedule	fixedSchedule
-> Double	fixedRate
-> DayCounter	fixedDayCount
-> Schedule	floatSchedule
-> GenIborIndex a
-> Double	spread
-> DayCounter	floatingDayCount
-> BusinessDayConvention	paymentConvention
-> IO VanillaSwap

endDiscounts :: GenSwap a -> Word -> IO Double #

leg :: GenSwap a -> Word -> IO Leg #

legBPS :: GenSwap a -> Word -> IO Double #

legNPV :: GenSwap a -> Word -> IO Double #

maturityDate :: GenSwap a -> IO (Maybe Day) #

npvDateDiscount :: GenSwap a -> IO Double #

startDate :: GenSwap a -> IO (Maybe Day) #

startDiscounts :: GenSwap a -> Word -> IO Double #

bmaLeg :: BMASwap -> IO Leg #

bmaLegBPS :: BMASwap -> IO Double #

bmaLegNPV :: BMASwap -> IO Double #

fairLiborFraction :: BMASwap -> IO Double #

fairLiborSpread :: BMASwap -> IO Double #

liborFraction :: BMASwap -> IO Double #

liborLeg :: BMASwap -> IO Leg #

liborLegBPS :: BMASwap -> IO Double #

liborLegNPV :: BMASwap -> IO Double #

swaption :: VanillaSwap -> Exercise -> SettlementType -> IO Swaption #

assetSwap #

Arguments

:: Bool	payBondCoupon
-> Bond
-> Double	bondCleanPrice
-> GenIborIndex a
-> Double
-> Schedule	floatSchedule
-> DayCounter	floatingDayCount
-> Bool	parAssetSwap
-> IO AssetSwap

bondLeg :: AssetSwap -> IO Leg #

cleanPrice :: AssetSwap -> IO Double #

fairCleanPrice :: AssetSwap -> IO Double #

fairNonParRepayment :: AssetSwap -> IO Double #

nonParRepayment :: AssetSwap -> IO Double #

parSwap :: AssetSwap -> IO Bool #

payBondCoupon :: AssetSwap -> IO Bool #

overnightIndexedSwap #

Arguments

:: SwapType
-> Double	nominal
-> Schedule
-> Double	fixedRate
-> DayCounter	fixedDC
-> OvernightIborIndex
-> Double	spread
-> IO OvernightIndexedSwap

overnightIndexedSwap' #

Arguments

:: SwapType
-> [Double]	nominals
-> Schedule	schedule
-> Double	fixedRate
-> DayCounter	fixedDC
-> OvernightIborIndex
-> Double	spread
-> IO OvernightIndexedSwap

overnightLeg :: OvernightIndexedSwap -> IO Leg #

overnightLegBPS :: OvernightIndexedSwap -> IO Double #

overnightLegNPV :: OvernightIndexedSwap -> IO Double #

class HasFixedLeg a where #

Methods

fairRate :: a -> IO Double #

fixedLeg :: a -> IO Leg #

fixedLegBPS :: a -> IO Double #

fixedLegNPV :: a -> IO Double #

Instances

Instances details

HasFixedLeg OvernightIndexedSwap #
Instance details Defined in QuantLib.Instrument.Swap Methods fairRate :: OvernightIndexedSwap -> IO Double # fixedLeg :: OvernightIndexedSwap -> IO Leg # fixedLegBPS :: OvernightIndexedSwap -> IO Double # fixedLegNPV :: OvernightIndexedSwap -> IO Double #
HasFixedLeg VanillaSwap #
Instance details Defined in QuantLib.Instrument.Swap Methods fairRate :: VanillaSwap -> IO Double # fixedLeg :: VanillaSwap -> IO Leg # fixedLegBPS :: VanillaSwap -> IO Double # fixedLegNPV :: VanillaSwap -> IO Double #

class HasFloatingLeg a where #

Methods

floatingLeg :: a -> IO Leg #

floatingLegBPS :: a -> IO Double #

floatingLegNPV :: a -> IO Double #

Instances

Instances details

HasFloatingLeg AssetSwap #
Instance details Defined in QuantLib.Instrument.Swap Methods floatingLeg :: AssetSwap -> IO Leg # floatingLegBPS :: AssetSwap -> IO Double # floatingLegNPV :: AssetSwap -> IO Double #
HasFloatingLeg VanillaSwap #
Instance details Defined in QuantLib.Instrument.Swap Methods floatingLeg :: VanillaSwap -> IO Leg # floatingLegBPS :: VanillaSwap -> IO Double # floatingLegNPV :: VanillaSwap -> IO Double #

class HasSpread a where #

Methods

fairSpread :: a -> IO Double #

Instances

Instances details

HasSpread AssetSwap #
Instance details Defined in QuantLib.Instrument.Swap Methods fairSpread :: AssetSwap -> IO Double #
HasSpread CreditDefaultSwap #
Instance details Defined in QuantLib.Instrument.Swap Methods fairSpread :: CreditDefaultSwap -> IO Double #
HasSpread OvernightIndexedSwap #
Instance details Defined in QuantLib.Instrument.Swap Methods fairSpread :: OvernightIndexedSwap -> IO Double #
HasSpread VanillaSwap #
Instance details Defined in QuantLib.Instrument.Swap Methods fairSpread :: VanillaSwap -> IO Double #