Safe Haskell	None
Language	Haskell2010

QuantLib.Instrument

Contents

Types
Constructors
Mutators
Inspectors

Synopsis

data GenInstrument i
type Instrument = GenInstrument CInstrument
data AdditionalResultVal
- = RealVal Double
- | StringVal String
- | RealVectorVal [Double]
- | UnsupportedVal String
data Exercise
- = American !(Maybe Day) !Day !Bool
- | Early !ExerciseType !Bool
- | Vanilla !ExerciseType
- | European !EuropeanExercise
- | Bermudan !BermudanExercise
- | Rebated !Exercise !Double !Word !Calendar !BusinessDayConvention
data ExerciseType
- = ExerciseTypeAmerican
- | ExerciseTypeBermudan
- | ExerciseTypeEuropean
data Callability
- = Soft !(Double, BondPriceType) !Day !Double
- | Callability !(Double, BondPriceType) !CallabilityType !Day
data CallabilityType
- = CallabilityCall
- | CallabilityPut
data PositionType
- = Long
- | Short
data SettlementType
- = Physical
- | Cash
data SettlementMethod
- = PhysicalOTC
- | PhysicalCleared
- | CollateralizedCashPrice
- | ParYieldCurve
data OptionType
- = Put
- | Call
data BarrierType
- = DownIn
- | UpIn
- | DownOut
- | UpOut
data DoubleBarrierType
- = KnockIn
- | KnockOut
- | KIKO
- | KOKI
data PartialBarrierRange
- = Start
- | EndB1
- | EndB2
data AverageType
- = Arithmetic
- | Geometric
data Seniority
- = SecDom
- | SeniorSec
- | SnrFor
- | SeniorUnSec
- | SubLT2
- | SubLoweTier2
- | JrSubT2
- | SubUpperTier2
- | PrefT1
- | SubTier1
- | NoSeniority
data PricingModel
- = Midpoint
- | ISDA
data PerpetualFuturesPayoffType
- = PerpetualFuturesLinear
- | PerpetualFuturesInverse
- | PerpetualFuturesQuanto
data PerpetualFuturesFundingType
- = PerpetualFuturesFundingWithPreviousSpot
- | PerpetualFuturesFundingWithCurrentSpot
asInstrument :: GenInstrument i -> IO Instrument
perpetualFutures :: PerpetualFuturesPayoffType -> PerpetualFuturesFundingType -> (Int, TimeUnit) -> Calendar -> DayCounter -> IO Instrument
composite :: [(Instrument, Double)] -> IO Instrument
setPricingEngine :: GenInstrument i -> PricingEngine -> IO ()
npv :: GenInstrument i -> IO Double
errorEstimate :: GenInstrument i -> IO Double
isExpired :: GenInstrument i -> IO Bool
valuationDate :: GenInstrument i -> IO Day
additionalResults :: GenInstrument i -> IO [(String, AdditionalResultVal)]

Types

Instrument hierarchy

data GenInstrument i Source #

Instrument*
 Forward*
   BondForward
 ForwardRateAgreement
 FxForward
 VarianceSwap
 VarianceOption
 Option*
   CdsOption
   MultiAssetOption
     MargrabeOption
     EverestOption
   OneAssetOption
     BarrierOption
     DoubleBarrierOption
     SoftBarrierOption
     VanillaOption
     QuantoVanillaOption
     QuantoForwardVanillaOption
     QuantoBarrierOption
     QuantoDoubleBarrierOption
   Swaption
   NonstandardSwaption
   FloatFloatSwaption
   IrregularSwaption
 Swap*
   FixedVsFloatingSwap*
     VanillaSwap
   IrregularSwap
   NonstandardSwap
   FloatFloatSwap
   AssetSwap
   BMASwap
   OvernightIndexedSwap
   ZeroCouponInflationSwap
   YearOnYearInflationSwap
   CPISwap
   ZeroCouponSwap
   EquityTotalReturnSwap
   ConstNotionalCrossCurrencySwap
     ConstNotionalCrossCurrencyBasisSwap
     ConstNotionalCrossCurrencyFixedVsFloatingSwap
 CreditDefaultSwap
 SyntheticCDO
 NthToDefault
 CapFloor
 YoYInflationCapFloor
 CPICapFloor
 Bond
   ConvertibleBond
   FixedRateBond
     BTP
   CallableBond
   CPIBond
 Commodity*
   EnergyCommodity*
     EnergyFuture
     EnergySwap*
       EnergyVanillaSwap
       EnergyBasisSwap

Instances

Instances details

HasGreeks MultiAssetOption Source #

Instance details

Defined in QuantLib.Instrument.Option

Methods

delta :: MultiAssetOption -> IO Double Source #

gamma :: MultiAssetOption -> IO Double Source #

rho :: MultiAssetOption -> IO Double Source #

theta :: MultiAssetOption -> IO Double Source #

vega :: MultiAssetOption -> IO Double Source #

dividendRho :: MultiAssetOption -> IO Double Source #

HasGreeks OneAssetOption Source #

Instance details

Defined in QuantLib.Instrument.Option

Methods

delta :: OneAssetOption -> IO Double Source #

gamma :: OneAssetOption -> IO Double Source #

rho :: OneAssetOption -> IO Double Source #

theta :: OneAssetOption -> IO Double Source #

vega :: OneAssetOption -> IO Double Source #

dividendRho :: OneAssetOption -> IO Double Source #

HasImpliedVol BarrierOption Source #

Instance details

Defined in QuantLib.Instrument.Option

Methods

impliedVolatility :: BarrierOption -> Double -> GeneralizedBlackScholesProcess -> [Dividend] -> Double -> Word -> Double -> Double -> IO Double Source #

HasImpliedVol VanillaOption Source #

Instance details

Defined in QuantLib.Instrument.Option

Methods

impliedVolatility :: VanillaOption -> Double -> GeneralizedBlackScholesProcess -> [Dividend] -> Double -> Word -> Double -> Double -> IO Double Source #

HasQuanto QuantoBarrierOption Source #

Instance details

Defined in QuantLib.Instrument.Option

Methods

qrho :: QuantoBarrierOption -> IO Double Source #

qvega :: QuantoBarrierOption -> IO Double Source #

qlambda :: QuantoBarrierOption -> IO Double Source #

HasQuanto QuantoDoubleBarrierOption Source #

Instance details

Defined in QuantLib.Instrument.Option

Methods

qrho :: QuantoDoubleBarrierOption -> IO Double Source #

qvega :: QuantoDoubleBarrierOption -> IO Double Source #

qlambda :: QuantoDoubleBarrierOption -> IO Double Source #

HasQuanto QuantoForwardVanillaOption Source #

Instance details

Defined in QuantLib.Instrument.Option

Methods

qrho :: QuantoForwardVanillaOption -> IO Double Source #

qvega :: QuantoForwardVanillaOption -> IO Double Source #

qlambda :: QuantoForwardVanillaOption -> IO Double Source #

HasQuanto QuantoVanillaOption Source #

Instance details

Defined in QuantLib.Instrument.Option

Methods

qrho :: QuantoVanillaOption -> IO Double Source #

qvega :: QuantoVanillaOption -> IO Double Source #

qlambda :: QuantoVanillaOption -> IO Double Source #

HasFairRate CPISwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairRate :: CPISwap -> IO Double Source #

HasFairRate ConstNotionalCrossCurrencyFixedVsFloatingSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairRate :: ConstNotionalCrossCurrencyFixedVsFloatingSwap -> IO Double Source #

HasFairRate IrregularSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairRate :: IrregularSwap -> IO Double Source #

HasFairRate OvernightIndexedSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairRate :: OvernightIndexedSwap -> IO Double Source #

HasFairRate YearOnYearInflationSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairRate :: YearOnYearInflationSwap -> IO Double Source #

HasFairRate ZeroCouponInflationSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairRate :: ZeroCouponInflationSwap -> IO Double Source #

HasFairSpread AssetSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairSpread :: AssetSwap -> IO Double Source #

HasFairSpread CPISwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairSpread :: CPISwap -> IO Double Source #

HasFairSpread ConstNotionalCrossCurrencyFixedVsFloatingSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairSpread :: ConstNotionalCrossCurrencyFixedVsFloatingSwap -> IO Double Source #

HasFairSpread CreditDefaultSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairSpread :: CreditDefaultSwap -> IO Double Source #

HasFairSpread IrregularSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairSpread :: IrregularSwap -> IO Double Source #

HasFairSpread OvernightIndexedSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairSpread :: OvernightIndexedSwap -> IO Double Source #

HasFairSpread YearOnYearInflationSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairSpread :: YearOnYearInflationSwap -> IO Double Source #

HasFixedLeg OvernightIndexedSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fixedLeg :: OvernightIndexedSwap -> IO Leg Source #

fixedLegBps :: OvernightIndexedSwap -> IO Double Source #

fixedLegNpv :: OvernightIndexedSwap -> IO Double Source #

HasFloatingLeg AssetSwap Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

floatingLeg :: AssetSwap -> IO Leg Source #

floatingLegBps :: AssetSwap -> IO Double Source #

floatingLegNpv :: AssetSwap -> IO Double Source #

HasInstrumentUnderlying CdsOption Source #

Instance details

Defined in QuantLib.Instrument.Swap

Associated Types

type InstrumentUnderlying CdsOption
Instance details Defined in QuantLib.Instrument.Swap type InstrumentUnderlying CdsOption = CreditDefaultSwap

Methods

underlyingSwap :: CdsOption -> IO (InstrumentUnderlying CdsOption) Source #

HasInstrumentUnderlying FloatFloatSwaption Source #

Instance details

Defined in QuantLib.Instrument.Swap

Associated Types

type InstrumentUnderlying FloatFloatSwaption
Instance details Defined in QuantLib.Instrument.Swap type InstrumentUnderlying FloatFloatSwaption = FloatFloatSwap

Methods

underlyingSwap :: FloatFloatSwaption -> IO (InstrumentUnderlying FloatFloatSwaption) Source #

HasInstrumentUnderlying IrregularSwaption Source #

Instance details

Defined in QuantLib.Instrument.Swap

Associated Types

type InstrumentUnderlying IrregularSwaption
Instance details Defined in QuantLib.Instrument.Swap type InstrumentUnderlying IrregularSwaption = IrregularSwap

Methods

underlyingSwap :: IrregularSwaption -> IO (InstrumentUnderlying IrregularSwaption) Source #

HasInstrumentUnderlying NonstandardSwaption Source #

Instance details

Defined in QuantLib.Instrument.Swap

Associated Types

type InstrumentUnderlying NonstandardSwaption
Instance details Defined in QuantLib.Instrument.Swap type InstrumentUnderlying NonstandardSwaption = NonstandardSwap

Methods

underlyingSwap :: NonstandardSwaption -> IO (InstrumentUnderlying NonstandardSwaption) Source #

HasInstrumentUnderlying Swaption Source #

Instance details

Defined in QuantLib.Instrument.Swap

Associated Types

type InstrumentUnderlying Swaption
Instance details Defined in QuantLib.Instrument.Swap type InstrumentUnderlying Swaption = FixedVsFloatingSwap

Methods

underlyingSwap :: Swaption -> IO (InstrumentUnderlying Swaption) Source #

HasFairRate (GenFixedVsFloatingSwap f) Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairRate :: GenFixedVsFloatingSwap f -> IO Double Source #

HasFairSpread (GenFixedVsFloatingSwap f) Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fairSpread :: GenFixedVsFloatingSwap f -> IO Double Source #

HasFixedLeg (GenFixedVsFloatingSwap f) Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

fixedLeg :: GenFixedVsFloatingSwap f -> IO Leg Source #

fixedLegBps :: GenFixedVsFloatingSwap f -> IO Double Source #

fixedLegNpv :: GenFixedVsFloatingSwap f -> IO Double Source #

HasFloatingLeg (GenFixedVsFloatingSwap f) Source #

Instance details

Defined in QuantLib.Instrument.Swap

Methods

floatingLeg :: GenFixedVsFloatingSwap f -> IO Leg Source #

floatingLegBps :: GenFixedVsFloatingSwap f -> IO Double Source #

floatingLegNpv :: GenFixedVsFloatingSwap f -> IO Double Source #

type InstrumentUnderlying CdsOption Source #

Instance details

Defined in QuantLib.Instrument.Swap

type InstrumentUnderlying CdsOption = CreditDefaultSwap

type InstrumentUnderlying FloatFloatSwaption Source #

Instance details

Defined in QuantLib.Instrument.Swap

type InstrumentUnderlying FloatFloatSwaption = FloatFloatSwap

type InstrumentUnderlying IrregularSwaption Source #

Instance details

Defined in QuantLib.Instrument.Swap

type InstrumentUnderlying IrregularSwaption = IrregularSwap

type InstrumentUnderlying NonstandardSwaption Source #

Instance details

Defined in QuantLib.Instrument.Swap

type InstrumentUnderlying NonstandardSwaption = NonstandardSwap

type InstrumentUnderlying Swaption Source #

Instance details

Defined in QuantLib.Instrument.Swap

type InstrumentUnderlying Swaption = FixedVsFloatingSwap

type Instrument = GenInstrument CInstrument Source #

The root of the hierarchy shown under GenInstrument.

One value from QuantLib's `Instrument::additionalResults()` map. QuantLib stores the map as `ext::any`, so this Haskell view picks three concrete shapes -- Real (Double), `std::string` (String), `std::vectorReal` (`[Double]`) -- plus an UnsupportedVal fallback recording the value's C++ RTTI type name, so no key is ever silently dropped or mislabelled.

Constructors

RealVal Double
StringVal String
RealVectorVal [Double]
UnsupportedVal String

Instances

Instances details

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

Exercises and callability

data Exercise Source #

Exercise
 American
 Early
 Vanilla
 EuropeanExercise
 BermudanExercise
   SwingExercise
 Rebated (wraps another Exercise)

Constructors

American
Fields !(Maybe Day) earliestDate !Day latestDate !Bool paoffAtExpiry
Early !ExerciseType !Bool
Vanilla !ExerciseType
European !EuropeanExercise
Bermudan !BermudanExercise
Rebated
Fields !Exercise wrapped exercise !Double rebate !Word rebateSettlementDays !Calendar rebatePaymentCalendar !BusinessDayConvention rebatePaymentConvention

data ExerciseType Source #

Constructors

ExerciseTypeAmerican
ExerciseTypeBermudan
ExerciseTypeEuropean

Instances

Instances details

Enum ExerciseType Source #
Instance details Defined in QuantLib.Internal.Common 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] #
Read ExerciseType Source #
Instance details Defined in QuantLib.Internal.Common Methods readsPrec :: Int -> ReadS ExerciseType # readList :: ReadS [ExerciseType] # readPrec :: ReadPrec ExerciseType # readListPrec :: ReadPrec [ExerciseType] #
Show ExerciseType Source #
Instance details Defined in QuantLib.Internal.Common Methods showsPrec :: Int -> ExerciseType -> ShowS # show :: ExerciseType -> String # showList :: [ExerciseType] -> ShowS #
Eq ExerciseType Source #
Instance details Defined in QuantLib.Internal.Common Methods (==) :: ExerciseType -> ExerciseType -> Bool # (/=) :: ExerciseType -> ExerciseType -> Bool #

data Callability Source #

Constructors

Soft !(Double, BondPriceType) !Day !Double	trigger
Callability !(Double, BondPriceType) !CallabilityType !Day

data CallabilityType Source #

Constructors

CallabilityCall
CallabilityPut

Instances

Instances details

Enum CallabilityType Source #
Instance details Defined in QuantLib.Internal.Common 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] #
Read CallabilityType Source #
Instance details Defined in QuantLib.Internal.Common Methods readsPrec :: Int -> ReadS CallabilityType # readList :: ReadS [CallabilityType] # readPrec :: ReadPrec CallabilityType # readListPrec :: ReadPrec [CallabilityType] #
Show CallabilityType Source #
Instance details Defined in QuantLib.Internal.Common Methods showsPrec :: Int -> CallabilityType -> ShowS # show :: CallabilityType -> String # showList :: [CallabilityType] -> ShowS #
Eq CallabilityType Source #
Instance details Defined in QuantLib.Internal.Common Methods (==) :: CallabilityType -> CallabilityType -> Bool # (/=) :: CallabilityType -> CallabilityType -> Bool #

Conventions

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 SettlementType Source #

Constructors

Physical
Cash

Instances

Instances details

Enum SettlementType Source #
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] #
Read SettlementType Source #
Instance details Defined in QuantLib.Instrument Methods readsPrec :: Int -> ReadS SettlementType # readList :: ReadS [SettlementType] # readPrec :: ReadPrec SettlementType # readListPrec :: ReadPrec [SettlementType] #
Show SettlementType Source #
Instance details Defined in QuantLib.Instrument Methods showsPrec :: Int -> SettlementType -> ShowS # show :: SettlementType -> String # showList :: [SettlementType] -> ShowS #
Eq SettlementType Source #
Instance details Defined in QuantLib.Instrument Methods (==) :: SettlementType -> SettlementType -> Bool # (/=) :: SettlementType -> SettlementType -> Bool #

data SettlementMethod Source #

Constructors

PhysicalOTC
PhysicalCleared
CollateralizedCashPrice
ParYieldCurve

Instances

Instances details

Enum SettlementMethod Source #
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] #
Read SettlementMethod Source #
Instance details Defined in QuantLib.Instrument Methods readsPrec :: Int -> ReadS SettlementMethod # readList :: ReadS [SettlementMethod] # readPrec :: ReadPrec SettlementMethod # readListPrec :: ReadPrec [SettlementMethod] #
Show SettlementMethod Source #
Instance details Defined in QuantLib.Instrument Methods showsPrec :: Int -> SettlementMethod -> ShowS # show :: SettlementMethod -> String # showList :: [SettlementMethod] -> ShowS #
Eq SettlementMethod Source #
Instance details Defined in QuantLib.Instrument Methods (==) :: SettlementMethod -> SettlementMethod -> Bool # (/=) :: SettlementMethod -> SettlementMethod -> Bool #

data OptionType Source #

Constructors

Put
Call

Instances

Instances details

Enum OptionType Source #
Instance details Defined in QuantLib.Internal.Common 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] #
Read OptionType Source #
Instance details Defined in QuantLib.Internal.Common Methods readsPrec :: Int -> ReadS OptionType # readList :: ReadS [OptionType] # readPrec :: ReadPrec OptionType # readListPrec :: ReadPrec [OptionType] #
Show OptionType Source #
Instance details Defined in QuantLib.Internal.Common Methods showsPrec :: Int -> OptionType -> ShowS # show :: OptionType -> String # showList :: [OptionType] -> ShowS #
Eq OptionType Source #
Instance details Defined in QuantLib.Internal.Common Methods (==) :: OptionType -> OptionType -> Bool # (/=) :: OptionType -> OptionType -> Bool #

data BarrierType Source #

Constructors

DownIn
UpIn
DownOut
UpOut

Instances

Instances details

Enum BarrierType Source #
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] #
Read BarrierType Source #
Instance details Defined in QuantLib.Instrument Methods readsPrec :: Int -> ReadS BarrierType # readList :: ReadS [BarrierType] # readPrec :: ReadPrec BarrierType # readListPrec :: ReadPrec [BarrierType] #
Show BarrierType Source #
Instance details Defined in QuantLib.Instrument Methods showsPrec :: Int -> BarrierType -> ShowS # show :: BarrierType -> String # showList :: [BarrierType] -> ShowS #
Eq BarrierType Source #
Instance details Defined in QuantLib.Instrument Methods (==) :: BarrierType -> BarrierType -> Bool # (/=) :: BarrierType -> BarrierType -> Bool #

data DoubleBarrierType Source #

Constructors

KnockIn
KnockOut
KIKO
KOKI

Instances

Instances details

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

data PartialBarrierRange Source #

Constructors

Start
EndB1
EndB2

Instances

Instances details

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

data AverageType Source #

Constructors

Arithmetic
Geometric

Instances

Instances details

Enum AverageType Source #
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] #
Read AverageType Source #
Instance details Defined in QuantLib.Instrument Methods readsPrec :: Int -> ReadS AverageType # readList :: ReadS [AverageType] # readPrec :: ReadPrec AverageType # readListPrec :: ReadPrec [AverageType] #
Show AverageType Source #
Instance details Defined in QuantLib.Instrument Methods showsPrec :: Int -> AverageType -> ShowS # show :: AverageType -> String # showList :: [AverageType] -> ShowS #
Eq AverageType Source #
Instance details Defined in QuantLib.Instrument Methods (==) :: AverageType -> AverageType -> Bool # (/=) :: AverageType -> AverageType -> Bool #

data Seniority Source #

Constructors

SecDom
SeniorSec
SnrFor
SeniorUnSec
SubLT2
SubLoweTier2
JrSubT2
SubUpperTier2
PrefT1
SubTier1
NoSeniority

Instances

Instances details

Enum Seniority Source #
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] #
Read Seniority Source #
Instance details Defined in QuantLib.Instrument Methods readsPrec :: Int -> ReadS Seniority # readList :: ReadS [Seniority] # readPrec :: ReadPrec Seniority # readListPrec :: ReadPrec [Seniority] #
Show Seniority Source #
Instance details Defined in QuantLib.Instrument Methods showsPrec :: Int -> Seniority -> ShowS # show :: Seniority -> String # showList :: [Seniority] -> ShowS #
Eq Seniority Source #
Instance details Defined in QuantLib.Instrument Methods (==) :: Seniority -> Seniority -> Bool # (/=) :: Seniority -> Seniority -> Bool #

data PricingModel Source #

Constructors

Midpoint
ISDA

Instances

Instances details

Enum PricingModel Source #
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] #
Read PricingModel Source #
Instance details Defined in QuantLib.Instrument Methods readsPrec :: Int -> ReadS PricingModel # readList :: ReadS [PricingModel] # readPrec :: ReadPrec PricingModel # readListPrec :: ReadPrec [PricingModel] #
Show PricingModel Source #
Instance details Defined in QuantLib.Instrument Methods showsPrec :: Int -> PricingModel -> ShowS # show :: PricingModel -> String # showList :: [PricingModel] -> ShowS #
Eq PricingModel Source #
Instance details Defined in QuantLib.Instrument Methods (==) :: PricingModel -> PricingModel -> Bool # (/=) :: PricingModel -> PricingModel -> Bool #

data PerpetualFuturesPayoffType Source #

Constructors

PerpetualFuturesLinear
PerpetualFuturesInverse
PerpetualFuturesQuanto

Instances

Instances details

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

data PerpetualFuturesFundingType Source #

Constructors

PerpetualFuturesFundingWithPreviousSpot
PerpetualFuturesFundingWithCurrentSpot

Instances

Instances details

Enum PerpetualFuturesFundingType Source #	Constructs a perpetual future. Linear contracts settle and margin in the domestic currency of the underlying FOR/DOM pair; Inverse contracts do so in the foreign currency; Quanto contracts use a separate quanto currency. A zero-length funding frequency selects continuous funding; otherwise funding is discrete at the supplied period.
Instance details Defined in QuantLib.Instrument Methods succ :: PerpetualFuturesFundingType -> PerpetualFuturesFundingType # pred :: PerpetualFuturesFundingType -> PerpetualFuturesFundingType # toEnum :: Int -> PerpetualFuturesFundingType # fromEnum :: PerpetualFuturesFundingType -> Int # enumFrom :: PerpetualFuturesFundingType -> [PerpetualFuturesFundingType] # enumFromThen :: PerpetualFuturesFundingType -> PerpetualFuturesFundingType -> [PerpetualFuturesFundingType] # enumFromTo :: PerpetualFuturesFundingType -> PerpetualFuturesFundingType -> [PerpetualFuturesFundingType] # enumFromThenTo :: PerpetualFuturesFundingType -> PerpetualFuturesFundingType -> PerpetualFuturesFundingType -> [PerpetualFuturesFundingType] #
Read PerpetualFuturesFundingType Source #
Instance details Defined in QuantLib.Instrument Methods readsPrec :: Int -> ReadS PerpetualFuturesFundingType # readList :: ReadS [PerpetualFuturesFundingType] # readPrec :: ReadPrec PerpetualFuturesFundingType # readListPrec :: ReadPrec [PerpetualFuturesFundingType] #
Show PerpetualFuturesFundingType Source #
Instance details Defined in QuantLib.Instrument Methods showsPrec :: Int -> PerpetualFuturesFundingType -> ShowS # show :: PerpetualFuturesFundingType -> String # showList :: [PerpetualFuturesFundingType] -> ShowS #
Eq PerpetualFuturesFundingType Source #
Instance details Defined in QuantLib.Instrument Methods (==) :: PerpetualFuturesFundingType -> PerpetualFuturesFundingType -> Bool # (/=) :: PerpetualFuturesFundingType -> PerpetualFuturesFundingType -> Bool #

Constructors

asInstrument :: GenInstrument i -> IO Instrument Source #

perpetualFutures Source #

Arguments

:: PerpetualFuturesPayoffType	payoffType
-> PerpetualFuturesFundingType	fundingType
-> (Int, TimeUnit)	fundingFrequency
-> Calendar	fundingCalendar
-> DayCounter	fundingDayCounter
-> IO Instrument

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

Builds a composite instrument whose NPV is the sum of the given instruments' NPVs, each scaled by its paired multiplier.

Mutators

setPricingEngine :: GenInstrument i -> PricingEngine -> IO () Source #

Sets the pricing engine used to compute the instrument's results.

Inspectors

npv :: GenInstrument i -> IO Double Source #

Returns the net present value of the given Instrument

errorEstimate :: GenInstrument i -> IO Double Source #

returns the error estimate on the NPV when available.

isExpired :: GenInstrument i -> IO Bool Source #

returns whether the instrument might have value greater than zero.

valuationDate :: GenInstrument i -> IO Day Source #

returns the date the net present value refers to.

additionalResults :: GenInstrument i -> IO [(String, AdditionalResultVal)] Source #

Returns QuantLib's `additionalResults()` map for the given Instrument, as an association list keyed by the C++ result name. The map's values are populated by the pricing engine; `additionalResults()` calls `calculate()` internally, so this is safe and idempotent after pricing.

Types

Instrument hierarchy

Instances

Additional results

Instances

Exercises and callability

Instances

Instances

Conventions

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Instances

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Constructors

Mutators

Inspectors