Safe Haskell	None
Language	Haskell2010

QuantLib.Model

Synopsis

data CalibrationErrorType
- = RelativePriceError
- | PriceError
- | ImpliedVolError
type GJRGARCHModel = GenCalibratedModel CGJRGARCHModel
type HestonModel = GenHestonModel CHestonModel
type GenHestonModel a = GenCalibratedModel (AnyOf CHestonModel' a)
type BatesModel = GenBatesModel CBatesModel
type GenBatesModel a = GenHestonModel (AnyOf CBatesModel' a)
type PiecewiseTimeDependentHestonModel = GenCalibratedModel CPiecewiseTimeDependentHestonModel
type ShortRateModel = GenShortRateModel CShortRateModel
type GenShortRateModel a = GenCalibratedModel (AnyOf CShortRateModel' a)
type AffineModel = GenAffineModel CAffineModel
data GenAffineModel a
type OneFactorAffineModel = GenOneFactorAffineModel COneFactorAffineModel
type GenOneFactorAffineModel a = GenShortRateModel (AnyOf COneFactorAffineModel' a)
type LiborForwardModel = GenCalibratedModel CLiborForwardModel
type HullWhite = GenOneFactorAffineModel CHullWhite
type CalibratedModel = GenCalibratedModel CCalibratedModel
data GenCalibratedModel a
type G2 = GenShortRateModel CG2
type BatesDetJumpModel = GenBatesModel CBatesDetJumpModel
type BatesDoubleExpDetJumpModel = GenBatesDoubleExpModel CBatesDoubleExpDetJumpModel
type BatesDoubleExpModel = GenBatesDoubleExpModel CBatesDoubleExpModel
type GenBatesDoubleExpModel a = GenHestonModel (AnyOf CBatesDoubleExpModel' a)
data LmCorrelationModel
- = ConstWrapperCorrelation LmCorrelationModel
- | ExponentialCorrelation Word !Double
- | LinearExponentialCorrelation Word !Double !Double !Word
data LmVolatilityModel
- = ConstWrapperVolatility LmVolatilityModel
- | FixedVolatility ![Double] ![Double]
- | LinearExponentialVolatility ![Double] !Double !Double !Double !Double
type CalibrationHelper = GenCalibrationHelper CCalibrationHelper
type BlackCalibrationHelper = GenCalibrationHelper CBlackCalibrationHelper
data GenCalibrationHelper a
asCalibrationHelper :: GenCalibrationHelper a -> IO CalibrationHelper
asAffineModel :: HasAffineModel a => a -> IO AffineModel
asCalibratedModel :: GenCalibratedModel a -> IO CalibratedModel
asHestonModel :: GenHestonModel a -> IO HestonModel
asShortRateModel :: GenShortRateModel a -> IO ShortRateModel
asOneFactorAffineModel :: GenOneFactorAffineModel a -> IO OneFactorAffineModel
asBatesModel :: GenBatesModel a -> IO BatesModel
asBatesDoubleExpModel :: GenBatesDoubleExpModel a -> IO BatesDoubleExpModel
batesModel :: BatesProcess -> IO BatesModel
blackKarasinski :: GenYieldTermStructure a -> Double -> Double -> IO ShortRateModel
coxIngersollRoss :: Double -> Double -> Double -> Double -> IO OneFactorAffineModel
extendedCoxIngersollRoss :: GenYieldTermStructure a -> Double -> Double -> Double -> Double -> IO OneFactorAffineModel
g2 :: GenYieldTermStructure a -> Double -> Double -> Double -> Double -> Double -> IO G2
generalizedHullWhite :: GenYieldTermStructure a -> [(Day, Double)] -> [(Day, Double)] -> IO ShortRateModel
gJRGARCHModel :: GJRGARCHProcess -> IO GJRGARCHModel
hestonModel :: GenHestonProcess a -> IO HestonModel
hullWhite :: GenYieldTermStructure a -> Double -> Double -> IO HullWhite
varianceGammaModel :: VarianceGammaProcess -> IO CalibratedModel
vasicek :: Double -> Double -> Double -> Double -> Double -> IO OneFactorAffineModel
liborForwardModel :: LiborForwardModelProcess -> LmVolatilityModel -> LmCorrelationModel -> IO LiborForwardModel
calibrate :: GenCalibratedModel m -> [(GenCalibrationHelper a, Double)] -> OptimizationMethod -> EndCriteria -> Maybe Constraint -> IO ()
capHelper :: (Word, TimeUnit) -> GenQuote a -> GenIborIndex b -> Frequency -> DayCounter -> Bool -> GenYieldTermStructure c -> CalibrationErrorType -> IO BlackCalibrationHelper
hestonModelHelper :: (Word, TimeUnit) -> Calendar -> Double -> Double -> GenQuote a -> GenYieldTermStructure b -> GenYieldTermStructure c -> CalibrationErrorType -> IO BlackCalibrationHelper
swaptionHelper :: (Word, TimeUnit) -> (Word, TimeUnit) -> GenQuote a -> GenIborIndex b -> (Word, TimeUnit) -> DayCounter -> DayCounter -> GenYieldTermStructure c -> CalibrationErrorType -> IO BlackCalibrationHelper
times :: BlackCalibrationHelper -> IO [Double]
params :: GenCalibratedModel m -> IO [Double]
blackPrice :: BlackCalibrationHelper -> Double -> IO Double
calibrationError :: BlackCalibrationHelper -> IO Double
impliedVolatility :: BlackCalibrationHelper -> Double -> Double -> Word -> Double -> Double -> IO Double
marketValue :: BlackCalibrationHelper -> IO Double
modelValue :: BlackCalibrationHelper -> IO Double
setPricingEngine :: BlackCalibrationHelper -> PricingEngine -> IO ()

Documentation

data CalibrationErrorType #

Constructors

RelativePriceError
PriceError
ImpliedVolError

Instances

Instances details

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

type GJRGARCHModel = GenCalibratedModel CGJRGARCHModel #

type HestonModel = GenHestonModel CHestonModel #

type GenHestonModel a = GenCalibratedModel (AnyOf CHestonModel' a) #

type BatesModel = GenBatesModel CBatesModel #

type GenBatesModel a = GenHestonModel (AnyOf CBatesModel' a) #

type PiecewiseTimeDependentHestonModel = GenCalibratedModel CPiecewiseTimeDependentHestonModel #

type ShortRateModel = GenShortRateModel CShortRateModel #

type GenShortRateModel a = GenCalibratedModel (AnyOf CShortRateModel' a) #

type AffineModel = GenAffineModel CAffineModel #

data GenAffineModel a #

type OneFactorAffineModel = GenOneFactorAffineModel COneFactorAffineModel #

type GenOneFactorAffineModel a = GenShortRateModel (AnyOf COneFactorAffineModel' a) #

type LiborForwardModel = GenCalibratedModel CLiborForwardModel #

type HullWhite = GenOneFactorAffineModel CHullWhite #

type CalibratedModel = GenCalibratedModel CCalibratedModel #

data GenCalibratedModel a #

type G2 = GenShortRateModel CG2 #

type BatesDetJumpModel = GenBatesModel CBatesDetJumpModel #

type BatesDoubleExpDetJumpModel = GenBatesDoubleExpModel CBatesDoubleExpDetJumpModel #

type BatesDoubleExpModel = GenBatesDoubleExpModel CBatesDoubleExpModel #

type GenBatesDoubleExpModel a = GenHestonModel (AnyOf CBatesDoubleExpModel' a) #

data LmCorrelationModel #

Constructors

ConstWrapperCorrelation LmCorrelationModel
ExponentialCorrelation
Fields Word size !Double rho
LinearExponentialCorrelation
Fields Word size !Double rho !Double beta !Word factors

Instances

Instances details

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

data LmVolatilityModel #

Constructors

ConstWrapperVolatility LmVolatilityModel
FixedVolatility ![Double] ![Double]
LinearExponentialVolatility
Fields ![Double] fixing times !Double a !Double b !Double c !Double d

Instances

Instances details

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

type CalibrationHelper = GenCalibrationHelper CCalibrationHelper #

type BlackCalibrationHelper = GenCalibrationHelper CBlackCalibrationHelper #

data GenCalibrationHelper a #

asCalibrationHelper :: GenCalibrationHelper a -> IO CalibrationHelper #

asAffineModel :: HasAffineModel a => a -> IO AffineModel #

asCalibratedModel :: GenCalibratedModel a -> IO CalibratedModel #

asHestonModel :: GenHestonModel a -> IO HestonModel #

asShortRateModel :: GenShortRateModel a -> IO ShortRateModel #

asOneFactorAffineModel :: GenOneFactorAffineModel a -> IO OneFactorAffineModel #

asBatesModel :: GenBatesModel a -> IO BatesModel #

asBatesDoubleExpModel :: GenBatesDoubleExpModel a -> IO BatesDoubleExpModel #

batesModel :: BatesProcess -> IO BatesModel #

blackKarasinski #

Arguments

:: GenYieldTermStructure a
-> Double	a
-> Double	sigma
-> IO ShortRateModel

coxIngersollRoss #

Arguments

:: Double	r0
-> Double	theta
-> Double	k
-> Double	sigma
-> IO OneFactorAffineModel

extendedCoxIngersollRoss #

Arguments

:: GenYieldTermStructure a
-> Double	theta
-> Double	k
-> Double	sigma
-> Double	x0
-> IO OneFactorAffineModel

g2 #

Arguments

:: GenYieldTermStructure a
-> Double	a
-> Double	sigma
-> Double	b
-> Double	eta
-> Double	rho
-> IO G2

generalizedHullWhite #

Arguments

:: GenYieldTermStructure a
-> [(Day, Double)]	speedstructure
-> [(Day, Double)]	volstructure
-> IO ShortRateModel

gJRGARCHModel :: GJRGARCHProcess -> IO GJRGARCHModel #

hestonModel :: GenHestonProcess a -> IO HestonModel #

hullWhite #

Arguments

:: GenYieldTermStructure a
-> Double	a
-> Double	sigma
-> IO HullWhite

varianceGammaModel :: VarianceGammaProcess -> IO CalibratedModel #

vasicek #

Arguments

:: Double	r0
-> Double	a
-> Double	b
-> Double	sigma
-> Double	lambda
-> IO OneFactorAffineModel

liborForwardModel :: LiborForwardModelProcess -> LmVolatilityModel -> LmCorrelationModel -> IO LiborForwardModel #

Calibrate to a set of market instruments (caps/swaptions) An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

calibrate #

Arguments

:: GenCalibratedModel m
-> [(GenCalibrationHelper a, Double)]	(instrument, weight)
-> OptimizationMethod
-> EndCriteria
-> Maybe Constraint
-> IO ()

capHelper #

Arguments

:: (Word, TimeUnit)	length
-> GenQuote a	volatility
-> GenIborIndex b
-> Frequency	fixedLegFrequency
-> DayCounter
-> Bool	includeFirstSwaplet
-> GenYieldTermStructure c
-> CalibrationErrorType
-> IO BlackCalibrationHelper

hestonModelHelper #

Arguments

:: (Word, TimeUnit)	maturity
-> Calendar
-> Double	s0
-> Double	strikePrice
-> GenQuote a	volatility
-> GenYieldTermStructure b	riskFreeRate
-> GenYieldTermStructure c	dividendYield
-> CalibrationErrorType
-> IO BlackCalibrationHelper

swaptionHelper #

Arguments

:: (Word, TimeUnit)	maturity
-> (Word, TimeUnit)	length
-> GenQuote a	maturity
-> GenIborIndex b
-> (Word, TimeUnit)	fixedLegTenor
-> DayCounter	fixedLegDayCounter
-> DayCounter	floatingLegDayCounter
-> GenYieldTermStructure c
-> CalibrationErrorType
-> IO BlackCalibrationHelper

times :: BlackCalibrationHelper -> IO [Double] #

Returns array of arguments on which calibration is done.

params :: GenCalibratedModel m -> IO [Double] #

Black price given a volatility.

blackPrice #

Arguments

:: BlackCalibrationHelper
-> Double	volatility
-> IO Double

returns the error resulting from the model valuation

calibrationError :: BlackCalibrationHelper -> IO Double #

Black volatility implied by the model.

impliedVolatility #

Arguments

:: BlackCalibrationHelper
-> Double	targetValue
-> Double	accuracy
-> Word	maxEvaluations
-> Double	minVol
-> Double	maxVol
-> IO Double

marketValue :: BlackCalibrationHelper -> IO Double #

returns the actual price of the instrument (from volatility)

returns the price of the instrument according to the model

modelValue :: BlackCalibrationHelper -> IO Double #

setPricingEngine :: BlackCalibrationHelper -> PricingEngine -> IO () #