Safe Haskell	None
Language	Haskell2010

QuantLib.Math

Synopsis

data RoundingType
- = None
- | Up
- | Down
- | Closest
- | Floor
- | Ceiling
data Rounding
- = NoRounding
- | Rounding !Int !RoundingType !Int
applyRounding :: Rounding -> Double -> Double
data EndCriteriaType
- = EndNone
- | MaxIterations
- | StationaryPoint
- | StationaryFunctionValue
- | StationaryFunctionAccuracy
- | ZeroGradientNorm
- | Unknown
data HistogramAlgorithm
- = HistogramNone
- | Sturges
- | FD
- | Scott
data Approximation
- = NaturalSpline !Bool
- | Parabolic !Bool
- | Kruger
- | FritschButland
data Interpolation
- = BackwardFlat
- | ForwardFlat
- | Linear
- | LogLinear
- | Cubic !Approximation
- | LogCubic !Approximation
- | Abcd
data RngTrait
- = PseudoRandom
- | PoissonPseudoRandom
- | LowDiscrepancy
- | Ziggurat
data BinomialTree
- = JarrowRudd
- | CoxRossRubinstein
- | AdditiveEQPBinomialTree
- | Trigeorgis
- | Tian
- | LeisenReimer
- | Joshi4
- | ExtendedJarrowRudd
- | ExtendedCoxRossRubinstein
- | ExtendedAdditiveEQPBinomialTree
- | ExtendedTrigeorgis
- | ExtendedTian
- | ExtendedLeisenReimer
- | ExtendedJoshi4
data BoundaryConditionSide
- = BoundaryNone
- | Upper
- | Lower
data FdmSchemeType
- = HundsdorferType
- | DouglasType
- | CraigSneydType
- | ModifiedCraigSneydType
- | ImplicitEulerType
- | ExplicitEulerType
- | MethodOfLinesType
- | TrBDF2Type
- | CrankNicolsonType
data FdmScheme
- = FdmScheme !FdmSchemeType !Double !Double
- | CraigSneyd
- | Douglas
- | ExplicitEuler
- | Hundsdorfer
- | ImplicitEuler
- | ModifiedCraigSneyd
- | ModifiedHundsdorfer
data PolynomialType
- = Monomial
- | Laguerre
- | Hermite
- | Hyperbolic
- | Legendre
- | Chebyshev
- | Chebyshev2nd
data ComplexLogFormula
- = Gatheral
- | BranchCorrection
- | AndersenPiterbarg
- | AndersenPiterbargOptCV
- | AsymptoticChF
- | OptimalCV
data CmsMarketCalibrationType
- = OnSpread
- | OnPrice
- | OnForwardCmsPrice
data EndCriteria = EndCriteria !Word !Word !Double !Double !Double
data OptimizationMethod
- = LevenbergMarquardt !Double !Double !Double
- | Simplex !Double
data Constraint
- = Boundary !Double !Double
- | Composite !Constraint !Constraint
- | NoConstraint
- | PositiveConstraint
data SobolDirectionIntegers
- = Unit
- | Jaeckel
- | SobolLevitan
- | SobolLevitanLemieux
- | JoeKuoD5
- | JoeKuoD6
- | JoeKuoD7
- | Kuo
- | Kuo2
- | Kuo3
data Matrix a
realMatrix :: Word -> Word -> [Double] -> Either String (Matrix Double)
objectMatrix :: Word -> Word -> [a] -> Either String (Matrix a)
data TimeGrid
timeGrid :: Double -> Word -> IO TimeGrid
timeGridFromList :: NonEmpty Double -> IO TimeGrid
timeGridFromList' :: NonEmpty Double -> Word -> IO TimeGrid
timeAt :: TimeGrid -> Word -> IO Double
size :: TimeGrid -> Word
points :: TimeGrid -> IO [Double]
points' :: TimeGrid -> IO (Vector CDouble)

Documentation

data RoundingType #

Constructors

None
Up
Down
Closest
Floor
Ceiling

Instances

Instances details

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

data Rounding #

Constructors

NoRounding
Rounding
Fields !Int precision !RoundingType !Int digit

Instances

Instances details

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

applyRounding :: Rounding -> Double -> Double #

data EndCriteriaType #

Constructors

EndNone
MaxIterations
StationaryPoint
StationaryFunctionValue
StationaryFunctionAccuracy
ZeroGradientNorm
Unknown

Instances

Instances details

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

data HistogramAlgorithm #

Constructors

HistogramNone
Sturges
FD
Scott

Instances

Instances details

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

data Approximation #

Constructors

NaturalSpline !Bool
Parabolic !Bool
Kruger
FritschButland

Instances

Instances details

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

data Interpolation #

Constructors

BackwardFlat
ForwardFlat
Linear
LogLinear
Cubic !Approximation
LogCubic !Approximation
Abcd

Instances

Instances details

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

data RngTrait #

Constructors

PseudoRandom
PoissonPseudoRandom
LowDiscrepancy
Ziggurat

Instances

Instances details

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

data BinomialTree #

Constructors

JarrowRudd
CoxRossRubinstein
AdditiveEQPBinomialTree
Trigeorgis
Tian
LeisenReimer
Joshi4
ExtendedJarrowRudd
ExtendedCoxRossRubinstein
ExtendedAdditiveEQPBinomialTree
ExtendedTrigeorgis
ExtendedTian
ExtendedLeisenReimer
ExtendedJoshi4

Instances

Instances details

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

data BoundaryConditionSide #

Constructors

BoundaryNone
Upper
Lower

Instances

Instances details

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

data FdmSchemeType #

Constructors

HundsdorferType
DouglasType
CraigSneydType
ModifiedCraigSneydType
ImplicitEulerType
ExplicitEulerType
MethodOfLinesType
TrBDF2Type
CrankNicolsonType

Instances

Instances details

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

data FdmScheme #

Constructors

FdmScheme
Fields !FdmSchemeType type !Double theta !Double mu
CraigSneyd
Douglas
ExplicitEuler
Hundsdorfer
ImplicitEuler
ModifiedCraigSneyd
ModifiedHundsdorfer

data PolynomialType #

Constructors

Monomial
Laguerre
Hermite
Hyperbolic
Legendre
Chebyshev
Chebyshev2nd

Instances

Instances details

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

data ComplexLogFormula #

Constructors

Gatheral
BranchCorrection
AndersenPiterbarg
AndersenPiterbargOptCV
AsymptoticChF
OptimalCV

Instances

Instances details

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

data CmsMarketCalibrationType #

Constructors

OnSpread
OnPrice
OnForwardCmsPrice

Instances

Instances details

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

data EndCriteria #

Constructors

EndCriteria
Fields !Word maxIterations !Word maxStationaryStateIterations !Double rootEpsilon !Double functionEpsilon !Double gradientNormEpsilon

data OptimizationMethod #

Constructors

LevenbergMarquardt
Fields !Double epsfcn !Double xtol !Double gtol
Simplex !Double	lambda, characteristic length

data Constraint #

Constructors

Boundary
Fields !Double low !Double high
Composite
Fields !Constraint c1 !Constraint c2
NoConstraint
PositiveConstraint

data SobolDirectionIntegers #

Constructors

Unit
Jaeckel
SobolLevitan
SobolLevitanLemieux
JoeKuoD5
JoeKuoD6
JoeKuoD7
Kuo
Kuo2
Kuo3

Instances

Instances details

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

data Matrix a #

Instances

Instances details

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

realMatrix :: Word -> Word -> [Double] -> Either String (Matrix Double) #

objectMatrix :: Word -> Word -> [a] -> Either String (Matrix a) #

data TimeGrid #

timeGrid #

Arguments

:: Double	end
-> Word	steps
-> IO TimeGrid

Regularly spaced time-grid.

timeGridFromList :: NonEmpty Double -> IO TimeGrid #

Time grid with mandatory time points. Mandatory points are guaranteed to belong to the grid. No additional points are added.

timeGridFromList' :: NonEmpty Double -> Word -> IO TimeGrid #

Time grid with mandatory time points. Mandatory points are guaranteed to belong to the grid. Additional points are then added with regular spacing between pairs of mandatory times in order to reach the desired number of steps.

timeAt :: TimeGrid -> Word -> IO Double #

size :: TimeGrid -> Word #

points :: TimeGrid -> IO [Double] #

points' :: TimeGrid -> IO (Vector CDouble) #