Safe Haskell	None
Language	Haskell2010

QuantLib.Instrument

Synopsis

data PositionType
- = Long
- | Short
data SettlementType
- = Physical
- | Cash
data SettlementMethod
- = PhysicalOTC
- | PhysicalCleared
- | CollateralizedCashPrice
- | ParYieldCurve
data CallabilityType
- = CallabilityCall
- | CallabilityPut
data OptionType
- = Put
- | Call
data BarrierType
- = DownIn
- | UpIn
- | DownOut
- | UpOut
data AverageType
- = Arithmetic
- | Geometric
data Seniority
- = SecDom
- | SeniorSec
- | SnrFor
- | SeniorUnSec
- | SubLT2
- | SubLoweTier2
- | JrSubT2
- | SubUpperTier2
- | PrefT1
- | SubTier1
- | NoSeniority
data PricingModel
- = Midpoint
- | ISDA
type Instrument = GenInstrument CInstrument
asInstrument :: GenInstrument a -> IO Instrument
data Callability
- = Soft !Double !BondPriceType !Day !Double
- | Callability !Double !BondPriceType !CallabilityType !Day
data Exercise
- = AmericanExercise !(Maybe Day) !Day !Bool
- | Early !ExerciseType !Bool
- | Vanilla !ExerciseType
- | European !EuropeanExercise
- | Bermudan !BermudanExercise
data ExerciseType
- = ExerciseTypeAmerican
- | ExerciseTypeBermudan
- | ExerciseTypeEuropean
npv :: GenInstrument a -> IO Double
errorEstimate :: GenInstrument a -> IO Double
isExpired :: GenInstrument a -> IO Bool
valuationDate :: GenInstrument a -> IO Day
composite :: [(Instrument, Double)] -> IO Instrument
setPricingEngine :: GenInstrument a -> PricingEngine -> IO ()

Documentation

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 SettlementType #

Constructors

Physical
Cash

Instances

Instances details

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

data SettlementMethod #

Constructors

PhysicalOTC
PhysicalCleared
CollateralizedCashPrice
ParYieldCurve

Instances

Instances details

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

data CallabilityType #

Constructors

CallabilityCall
CallabilityPut

Instances

Instances details

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

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 BarrierType #

Constructors

DownIn
UpIn
DownOut
UpOut

Instances

Instances details

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

data AverageType #

Constructors

Arithmetic
Geometric

Instances

Instances details

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

data Seniority #

Constructors

SecDom
SeniorSec
SnrFor
SeniorUnSec
SubLT2
SubLoweTier2
JrSubT2
SubUpperTier2
PrefT1
SubTier1
NoSeniority

Instances

Instances details

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

data PricingModel #

Constructors

Midpoint
ISDA

Instances

Instances details

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

type Instrument = GenInstrument CInstrument #

asInstrument :: GenInstrument a -> IO Instrument #

data Callability #

Constructors

Soft
Fields !Double price !BondPriceType !Day !Double trigger
Callability !Double !BondPriceType !CallabilityType !Day

data Exercise #

Constructors

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

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 #

npv :: GenInstrument a -> IO Double #

Returns the net present value of the given Instrument

returns the error estimate on the NPV when available.

errorEstimate :: GenInstrument a -> IO Double #

returns whether the instrument might have value greater than zero.

isExpired :: GenInstrument a -> IO Bool #

returns the date the net present value refers to.

valuationDate :: GenInstrument a -> IO Day #

composite :: [(Instrument, Double)] -> IO Instrument #

setPricingEngine :: GenInstrument a -> PricingEngine -> IO () #