| Safe Haskell | None |
|---|---|
| Language | Haskell2010 |
QuantLib.InterestRate
Synopsis
- data Compounding
- data InterestRate
- interestRate :: Double -> DayCounter -> Compounding -> Frequency -> IO InterestRate
- compoundFactor :: InterestRate -> Double -> IO Double
- compoundFactor' :: InterestRate -> Day -> Day -> Day -> Day -> IO Double
- discountFactor :: InterestRate -> Double -> IO Double
- discountFactor' :: InterestRate -> Day -> Day -> Day -> Day -> IO Double
- equivalentRate :: InterestRate -> Compounding -> Frequency -> Double -> IO InterestRate
- equivalentRate' :: InterestRate -> DayCounter -> Compounding -> Frequency -> Day -> Day -> Day -> Day -> IO InterestRate
- impliedRate :: InterestRate -> Double -> DayCounter -> Compounding -> Frequency -> Double -> IO InterestRate
- impliedRate' :: InterestRate -> Double -> DayCounter -> Compounding -> Frequency -> Day -> Day -> Day -> Day -> IO InterestRate
- rate :: InterestRate -> Double
Documentation
data Compounding #
Instances
| Enum Compounding # | |
Defined in QuantLib.InterestRate Methods succ :: Compounding -> Compounding # pred :: Compounding -> Compounding # toEnum :: Int -> Compounding # fromEnum :: Compounding -> Int # enumFrom :: Compounding -> [Compounding] # enumFromThen :: Compounding -> Compounding -> [Compounding] # enumFromTo :: Compounding -> Compounding -> [Compounding] # enumFromThenTo :: Compounding -> Compounding -> Compounding -> [Compounding] # | |
| Show Compounding # | |
Defined in QuantLib.InterestRate Methods showsPrec :: Int -> Compounding -> ShowS # show :: Compounding -> String # showList :: [Compounding] -> ShowS # | |
| Eq Compounding # | |
Defined in QuantLib.InterestRate | |
data InterestRate #
interestRate :: Double -> DayCounter -> Compounding -> Frequency -> IO InterestRate #
compound factor implied by the rate compounded between two dates returns the compound (a.k.a capitalization) factor implied by the rate compounded between two dates.
Arguments
| :: InterestRate | |
| -> Double | t |
| -> IO Double |
discount factor implied by the rate compounded between two dates
compound factor implied by the rate compounded at time t. returns the compound (a.k.a capitalization) factor implied by the rate compounded at time t. Warning Time must be measured using InterestRate's own day counter.
discountFactor :: InterestRate -> Double -> IO Double #
equivalent rate for a compounding period between two dates The resulting rate is calculated taking the required day-counting rule into account.
discount factor implied by the rate compounded at time t. Warning Time must be measured using InterestRate's own day counter.
Arguments
| :: InterestRate | |
| -> Compounding | |
| -> Frequency | |
| -> Double | t |
| -> IO InterestRate |
implied rate for a given compound factor between two dates. The resulting rate is calculated taking the required day-counting rule into account.
Arguments
| :: InterestRate | |
| -> DayCounter | resultDC |
| -> Compounding | |
| -> Frequency | |
| -> Day | d1 |
| -> Day | d2 |
| -> Day | refStart |
| -> Day | refEnd |
| -> IO InterestRate |
equivalent interest rate for a compounding period t. The resulting InterestRate shares the same implicit day-counting rule of the original InterestRate instance. Warning Time must be measured using the InterestRate's own day counter.
Arguments
| :: InterestRate | |
| -> Double | compound |
| -> DayCounter | |
| -> Compounding | |
| -> Frequency | |
| -> Double | t |
| -> IO InterestRate |
Arguments
| :: InterestRate | |
| -> Double | compound |
| -> DayCounter | |
| -> Compounding | |
| -> Frequency | |
| -> Day | d1 |
| -> Day | d2 |
| -> Day | refStart |
| -> Day | refEnd |
| -> IO InterestRate |
implied interest rate for a given compound factor at a given time. The resulting InterestRate has the day-counter provided as input. Warning Time must be measured using the day-counter provided as input.
rate :: InterestRate -> Double #