Safe Haskell	None
Language	Haskell2010

QuantLib.PricingEngine

Synopsis

data PricingEngine
type BlackCalculator = GenBlackCalculator CBlackCalculator
type BlackScholesCalculator = GenBlackCalculator CBlackScholesCalculator
data GenBlackCalculator a
asBlackCalculator :: GenBlackCalculator a -> IO BlackCalculator
discountingBondEngine :: GenYieldTermStructure a -> Maybe Bool -> IO PricingEngine
discountingSwapEngine :: GenYieldTermStructure a -> Maybe Bool -> Maybe Day -> Maybe Day -> IO PricingEngine
analyticBarrierEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticCliquetEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticContinuousFixedLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticContinuousFloatingLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticContinuousGeometricAveragePriceAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticDigitalAmericanEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticDiscreteGeometricAveragePriceAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticDiscreteGeometricAverageStrikeAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticDividendEuropeanEngine :: GeneralizedBlackScholesProcess -> [Dividend] -> IO PricingEngine
analyticEuropeanEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticPerformanceEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
blackCapFloorEngine' :: GenYieldTermStructure a -> OptionletVolatilityStructure -> IO PricingEngine
blackCapFloorEngine :: GenYieldTermStructure b -> GenQuote a -> DayCounter -> IO PricingEngine
blackSwaptionEngine :: GenYieldTermStructure y -> GenQuote a -> DayCounter -> IO PricingEngine
blackSwaptionEngine' :: GenYieldTermStructure y -> SwaptionVolatilityStructure -> IO PricingEngine
analyticBSMHullWhiteEngine :: Double -> GeneralizedBlackScholesProcess -> HullWhite -> IO PricingEngine
analyticCapFloorEngine :: GenAffineModel m -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
analyticGJRGARCHEngine :: GJRGARCHModel -> IO PricingEngine
analyticHestonEngine :: GenHestonModel m -> Double -> Word -> IO PricingEngine
analyticHestonHullWhiteEngine :: GenHestonModel m -> HullWhite -> Word -> IO PricingEngine
batesEngine :: GenBatesModel m -> Word -> IO PricingEngine
fftVanillaEngine :: GeneralizedBlackScholesProcess -> Double -> IO PricingEngine
g2SwaptionEngine :: G2 -> Double -> Word -> IO PricingEngine
jumpDiffusionEngine :: Merton76Process -> Double -> Word -> IO PricingEngine
treeCapFloorEngine :: GenShortRateModel m -> Word -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeSwaptionEngine :: GenShortRateModel m -> Word -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeVanillaSwapEngine :: GenShortRateModel m -> Word -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
varianceGammaEngine :: VarianceGammaProcess -> IO PricingEngine
analyticHestonEngine' :: GenHestonModel m -> Word -> IO PricingEngine
analyticHestonHullWhiteEngine' :: GenHestonModel m -> HullWhite -> Double -> Word -> IO PricingEngine
batesEngine' :: GenBatesModel m -> Double -> Word -> IO PricingEngine
mcHestonHullWhiteEngine :: RngTrait -> HybridHestonHullWhiteProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcAmericanEngine :: RngTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> Word -> PolynomialType -> Maybe Word -> IO PricingEngine
mcBarrierEngine :: RngTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Bool -> Word -> IO PricingEngine
mcDigitalEngine :: RngTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcDiscreteArithmeticAPEngine :: RngTrait -> GeneralizedBlackScholesProcess -> Bool -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcDiscreteArithmeticASEngine :: RngTrait -> GeneralizedBlackScholesProcess -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcDiscreteGeometricAPEngine :: RngTrait -> GeneralizedBlackScholesProcess -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcEuropeanEngine :: RngTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcEuropeanGJRGARCHEngine :: RngTrait -> GJRGARCHProcess -> Maybe Word -> Maybe Word -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcEuropeanHestonEngine :: RngTrait -> GenHestonProcess a -> Maybe Word -> Maybe Word -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcHullWhiteCapFloorEngine :: RngTrait -> HullWhite -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcPerformanceEngine :: RngTrait -> GeneralizedBlackScholesProcess -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcVarianceSwapEngine :: RngTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
baroneAdesiWhaleyApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
batesDetJumpEngine' :: BatesDetJumpModel -> Double -> Word -> IO PricingEngine
batesDetJumpEngine :: BatesDetJumpModel -> Word -> IO PricingEngine
batesDoubleExpDetJumpEngine' :: BatesDoubleExpDetJumpModel -> Double -> Word -> IO PricingEngine
batesDoubleExpDetJumpEngine :: BatesDoubleExpDetJumpModel -> Word -> IO PricingEngine
batesDoubleExpEngine' :: GenBatesDoubleExpModel m -> Double -> Word -> IO PricingEngine
batesDoubleExpEngine :: GenBatesDoubleExpModel m -> Word -> IO PricingEngine
bjerksundStenslandApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
integralCdsEngine :: (Word, TimeUnit) -> DefaultProbabilityTermStructure -> Double -> GenYieldTermStructure y -> Maybe Bool -> IO PricingEngine
integralEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
jamshidianSwaptionEngine :: GenOneFactorAffineModel m -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
juQuadraticApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
kirkEngine :: BlackProcess -> BlackProcess -> Double -> IO PricingEngine
midPointCdsEngine :: DefaultProbabilityTermStructure -> Double -> GenYieldTermStructure y -> Maybe Bool -> IO PricingEngine
replicatingVarianceSwapEngine :: GeneralizedBlackScholesProcess -> Double -> [Double] -> [Double] -> IO PricingEngine
stulzEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> Double -> IO PricingEngine
lfmSwaptionEngine :: LiborForwardModel -> GenYieldTermStructure y -> IO PricingEngine
treeCapFloorEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeSwaptionEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeVanillaSwapEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
fdG2SwaptionEngine :: G2 -> Word -> Word -> Word -> Word -> Double -> FdmScheme -> IO PricingEngine
fdHullWhiteSwaptionEngine :: HullWhite -> Word -> Word -> Word -> Double -> FdmScheme -> IO PricingEngine
binomialVanillaEngine :: BinomialTree -> GeneralizedBlackScholesProcess -> Word -> IO PricingEngine
fdBlackScholesVanillaEngine :: GeneralizedBlackScholesProcess -> Word -> Word -> Word -> FdmScheme -> IO PricingEngine
binomialConvertibleEngine :: BinomialTree -> GeneralizedBlackScholesProcess -> Word -> GenQuote a -> [Dividend] -> IO PricingEngine
blackCallableFixedRateBondEngine' :: CallableBondVolatilityStructure -> GenYieldTermStructure y -> IO PricingEngine
blackCallableFixedRateBondEngine :: GenQuote a -> GenYieldTermStructure y -> IO PricingEngine
blackCallableZeroCouponBondEngine' :: CallableBondVolatilityStructure -> GenYieldTermStructure y -> IO PricingEngine
blackCallableZeroCouponBondEngine :: GenQuote a -> GenYieldTermStructure y -> IO PricingEngine
treeCallableFixedRateBondEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeCallableFixedRateBondEngine :: GenShortRateModel m -> Word -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeCallableZeroCouponBondEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeCallableZeroCouponBondEngine :: GenShortRateModel m -> Word -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
alpha :: GenBlackCalculator a -> IO Double
beta :: GenBlackCalculator a -> IO Double
blackCalculator' :: OptionType -> Double -> Double -> Double -> Double -> IO BlackCalculator
blackCalculator :: StrikedPayoff -> Double -> Double -> Double -> IO BlackCalculator
blackDelta :: GenBlackCalculator a -> Double -> IO Double
deltaForward :: GenBlackCalculator a -> IO Double
dividendRho :: GenBlackCalculator a -> Double -> IO Double
blackElasticity :: GenBlackCalculator a -> Double -> IO Double
elasticityForward :: GenBlackCalculator a -> IO Double
blackGamma :: GenBlackCalculator a -> Double -> IO Double
gammaForward :: GenBlackCalculator a -> IO Double
itmAssetProbability :: GenBlackCalculator a -> IO Double
itmCashProbability :: GenBlackCalculator a -> IO Double
rho :: GenBlackCalculator a -> Double -> IO Double
strikeSensitivity :: GenBlackCalculator a -> IO Double
blackTheta :: GenBlackCalculator a -> Double -> Double -> IO Double
blackThetaPerDay :: GenBlackCalculator a -> Double -> Double -> IO Double
value :: GenBlackCalculator a -> IO Double
vega :: GenBlackCalculator a -> Double -> IO Double
blackScholesCalculator' :: OptionType -> Double -> Double -> Double -> Double -> Double -> IO BlackScholesCalculator
blackScholesCalculator :: StrikedPayoff -> Double -> Double -> Double -> Double -> IO BlackScholesCalculator
blackScholesDelta :: BlackScholesCalculator -> IO Double
blackScholesElasticity :: BlackScholesCalculator -> IO Double
blackScholesGamma :: BlackScholesCalculator -> IO Double
blackScholesTheta :: BlackScholesCalculator -> Double -> IO Double
blackScholesThetaPerDay :: BlackScholesCalculator -> Double -> IO Double
blackFormula' :: PlainVanillaPayoff -> Double -> Double -> Double -> Double -> IO Double
blackFormula :: OptionType -> Double -> Double -> Double -> Double -> Double -> IO Double
blackCashItmProbability' :: PlainVanillaPayoff -> Double -> Double -> Double -> IO Double
blackCashItmProbability :: OptionType -> Double -> Double -> Double -> Double -> IO Double
blackImpliedStdDev' :: PlainVanillaPayoff -> Double -> Double -> Double -> Double -> Double -> Double -> Word -> IO Double
blackImpliedStdDev :: OptionType -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Word -> IO Double
blackImpliedStdDevApproximation' :: PlainVanillaPayoff -> Double -> Double -> Double -> Double -> IO Double
blackImpliedStdDevApproximation :: OptionType -> Double -> Double -> Double -> Double -> Double -> IO Double
blackStdDevDerivative' :: PlainVanillaPayoff -> Double -> Double -> Double -> Double -> IO Double
blackStdDevDerivative :: Double -> Double -> Double -> Double -> Double -> IO Double
blackVolDerivative :: Double -> Double -> Double -> Double -> Double -> Double -> IO Double
bachelierBlackFormula' :: PlainVanillaPayoff -> Double -> Double -> Double -> IO Double
bachelierBlackFormula :: OptionType -> Double -> Double -> Double -> Double -> IO Double
defaultThetaPerDay :: Double -> IO Double

Documentation

data PricingEngine #

type BlackCalculator = GenBlackCalculator CBlackCalculator #

type BlackScholesCalculator = GenBlackCalculator CBlackScholesCalculator #

data GenBlackCalculator a #

asBlackCalculator :: GenBlackCalculator a -> IO BlackCalculator #

discountingBondEngine #

Arguments

:: GenYieldTermStructure a
-> Maybe Bool	includeSettlementDateFlows
-> IO PricingEngine

discountingSwapEngine #

Arguments

:: GenYieldTermStructure a
-> Maybe Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> Maybe Day	npvDate
-> IO PricingEngine

analyticBarrierEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

analyticCliquetEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

analyticContinuousFixedLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

analyticContinuousFloatingLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

analyticContinuousGeometricAveragePriceAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

analyticDigitalAmericanEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

analyticDiscreteGeometricAveragePriceAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

analyticDiscreteGeometricAverageStrikeAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

analyticDividendEuropeanEngine :: GeneralizedBlackScholesProcess -> [Dividend] -> IO PricingEngine #

analyticEuropeanEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

analyticPerformanceEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

blackCapFloorEngine' :: GenYieldTermStructure a -> OptionletVolatilityStructure -> IO PricingEngine #

blackCapFloorEngine :: GenYieldTermStructure b -> GenQuote a -> DayCounter -> IO PricingEngine #

blackSwaptionEngine :: GenYieldTermStructure y -> GenQuote a -> DayCounter -> IO PricingEngine #

blackSwaptionEngine' :: GenYieldTermStructure y -> SwaptionVolatilityStructure -> IO PricingEngine #

analyticBSMHullWhiteEngine :: Double -> GeneralizedBlackScholesProcess -> HullWhite -> IO PricingEngine #

analyticCapFloorEngine :: GenAffineModel m -> Maybe (GenYieldTermStructure y) -> IO PricingEngine #

the term structure is only needed when the short-rate model cannot provide one itself.

analyticGJRGARCHEngine :: GJRGARCHModel -> IO PricingEngine #

analyticHestonEngine #

Arguments

:: GenHestonModel m
-> Double	relTolerance
-> Word	maxEvaluations
-> IO PricingEngine

analyticHestonHullWhiteEngine #

Arguments

:: GenHestonModel m
-> HullWhite
-> Word	integrationOrder
-> IO PricingEngine

batesEngine #

Arguments

:: GenBatesModel m
-> Word	integrationOrder
-> IO PricingEngine

fftVanillaEngine #

Arguments

:: GeneralizedBlackScholesProcess
-> Double	logStrikeSpacing
-> IO PricingEngine

g2SwaptionEngine #

Arguments

:: G2
-> Double	range
-> Word	intervals
-> IO PricingEngine

jumpDiffusionEngine #

Arguments

:: Merton76Process
-> Double	relativeAccuracy
-> Word	maxIterations
-> IO PricingEngine

treeCapFloorEngine #

Arguments

:: GenShortRateModel m
-> Word	timeSteps
-> Maybe (GenYieldTermStructure y)
-> IO PricingEngine

treeSwaptionEngine #

Arguments

:: GenShortRateModel m
-> Word	timeSteps
-> Maybe (GenYieldTermStructure y)
-> IO PricingEngine

treeVanillaSwapEngine #

Arguments

:: GenShortRateModel m
-> Word	timeSteps
-> Maybe (GenYieldTermStructure y)
-> IO PricingEngine

varianceGammaEngine :: VarianceGammaProcess -> IO PricingEngine #

analyticHestonEngine' #

Arguments

:: GenHestonModel m
-> Word	integrationOrder
-> IO PricingEngine

analyticHestonHullWhiteEngine' #

Arguments

:: GenHestonModel m
-> HullWhite
-> Double	relTolerance
-> Word	maxEvaluations
-> IO PricingEngine

batesEngine' #

Arguments

:: GenBatesModel m
-> Double	relTolerance
-> Word	maxEvaluations
-> IO PricingEngine

mcHestonHullWhiteEngine #

Arguments

:: RngTrait
-> HybridHestonHullWhiteProcess
-> Maybe Word	timeSteps
-> Maybe Word	timStepsPerYear
-> Bool	antitheticVariate
-> Bool	controlVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

NB C++ classes Monte Carlo engines are additionally parameterised via statistic template argument Functions below use default value of Statistics

mcAmericanEngine #

Arguments

:: RngTrait
-> GeneralizedBlackScholesProcess
-> Maybe Word
-> Maybe Word	timeStepsPerYear
-> Bool	antitheticVariate
-> Bool	controlVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> Word	polynomOrder
-> PolynomialType
-> Maybe Word	nCalibrationSamples
-> IO PricingEngine

mcBarrierEngine #

Arguments

:: RngTrait
-> GeneralizedBlackScholesProcess
-> Maybe Word	timeSteps
-> Maybe Word	timeStepsPerYear
-> Bool	brownianBridge
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Bool	isBiased
-> Word	seed
-> IO PricingEngine

mcDigitalEngine #

Arguments

:: RngTrait
-> GeneralizedBlackScholesProcess
-> Maybe Word	timeSteps
-> Maybe Word
-> Bool
-> Bool
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

mcDiscreteArithmeticAPEngine #

Arguments

:: RngTrait
-> GeneralizedBlackScholesProcess
-> Bool	brownianBridge
-> Bool	antitheticVariate
-> Bool	controlVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

mcDiscreteArithmeticASEngine #

Arguments

:: RngTrait
-> GeneralizedBlackScholesProcess
-> Bool	brownianBridge
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

mcDiscreteGeometricAPEngine #

Arguments

:: RngTrait
-> GeneralizedBlackScholesProcess
-> Bool	brownianBridge
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

mcEuropeanEngine #

Arguments

:: RngTrait
-> GeneralizedBlackScholesProcess
-> Maybe Word	timeSteps
-> Maybe Word	timeStepsPerYear
-> Bool	brownianBridge
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

mcEuropeanGJRGARCHEngine #

Arguments

:: RngTrait
-> GJRGARCHProcess
-> Maybe Word	timeSteps
-> Maybe Word	timeStepsPerYear
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

mcEuropeanHestonEngine #

Arguments

:: RngTrait
-> GenHestonProcess a
-> Maybe Word	timeSteps
-> Maybe Word	timeStepsPerYear
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

mcHullWhiteCapFloorEngine #

Arguments

:: RngTrait
-> HullWhite
-> Bool	brownianBridge
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

mcPerformanceEngine #

Arguments

:: RngTrait
-> GeneralizedBlackScholesProcess
-> Bool	brownianBridge
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

mcVarianceSwapEngine #

Arguments

:: RngTrait
-> GeneralizedBlackScholesProcess
-> Maybe Word	timeSteps
-> Maybe Word	timeStepsPerYear
-> Bool	brownianBridge
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> IO PricingEngine

baroneAdesiWhaleyApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

batesDetJumpEngine' #

Arguments

:: BatesDetJumpModel
-> Double	relTolerance
-> Word	maxEvaluations
-> IO PricingEngine

batesDetJumpEngine #

Arguments

:: BatesDetJumpModel
-> Word	integrationOrder
-> IO PricingEngine

batesDoubleExpDetJumpEngine' #

Arguments

:: BatesDoubleExpDetJumpModel
-> Double	relTolerance
-> Word	maxEvaluations
-> IO PricingEngine

batesDoubleExpDetJumpEngine #

Arguments

:: BatesDoubleExpDetJumpModel
-> Word	integrationOrder
-> IO PricingEngine

batesDoubleExpEngine' #

Arguments

:: GenBatesDoubleExpModel m
-> Double	relTolerance
-> Word	maxEvaluations
-> IO PricingEngine

batesDoubleExpEngine #

Arguments

:: GenBatesDoubleExpModel m
-> Word	integrationOrder
-> IO PricingEngine

bjerksundStenslandApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

integralCdsEngine #

Arguments

:: (Word, TimeUnit)	integrationStep
-> DefaultProbabilityTermStructure
-> Double	recoveryRate
-> GenYieldTermStructure y	discountCurve
-> Maybe Bool	includeSettlementDateFlows
-> IO PricingEngine

integralEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

jamshidianSwaptionEngine :: GenOneFactorAffineModel m -> Maybe (GenYieldTermStructure y) -> IO PricingEngine #

the term structure is only needed when the short-rate model cannot provide one itself.

juQuadraticApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine #

kirkEngine #

Arguments

:: BlackProcess
-> BlackProcess
-> Double	correlation
-> IO PricingEngine

midPointCdsEngine #

Arguments

:: DefaultProbabilityTermStructure
-> Double	recoveryRate
-> GenYieldTermStructure y
-> Maybe Bool	includeSettlementDateFlows
-> IO PricingEngine

replicatingVarianceSwapEngine #

Arguments

:: GeneralizedBlackScholesProcess
-> Double	dk
-> [Double]	callStrikes
-> [Double]	putStrikes
-> IO PricingEngine

stulzEngine #

Arguments

:: GeneralizedBlackScholesProcess
-> GeneralizedBlackScholesProcess
-> Double	correlation
-> IO PricingEngine

lfmSwaptionEngine :: LiborForwardModel -> GenYieldTermStructure y -> IO PricingEngine #

treeCapFloorEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine #

treeSwaptionEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine #

treeVanillaSwapEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine #

fdG2SwaptionEngine #

Arguments

:: G2
-> Word	tGrid
-> Word	xGrid
-> Word	yGrid
-> Word	dampingSpecs
-> Double	invEps
-> FdmScheme
-> IO PricingEngine

fdHullWhiteSwaptionEngine #

Arguments

:: HullWhite
-> Word	tGrid
-> Word	xGrid
-> Word	dampingSpecs
-> Double	invEps
-> FdmScheme
-> IO PricingEngine

binomialVanillaEngine #

Arguments

:: BinomialTree
-> GeneralizedBlackScholesProcess
-> Word	timeSteps
-> IO PricingEngine

fdBlackScholesVanillaEngine #

Arguments

:: GeneralizedBlackScholesProcess
-> Word	timeSteps
-> Word	gridPoints
-> Word	timeDependent
-> FdmScheme
-> IO PricingEngine

binomialConvertibleEngine #

Arguments

:: BinomialTree
-> GeneralizedBlackScholesProcess
-> Word	timeSteps
-> GenQuote a	creditSpread
-> [Dividend]	dividends
-> IO PricingEngine

blackCallableFixedRateBondEngine' :: CallableBondVolatilityStructure -> GenYieldTermStructure y -> IO PricingEngine #

volatility is the quoted fwd yield volatility, not price vol

blackCallableFixedRateBondEngine :: GenQuote a -> GenYieldTermStructure y -> IO PricingEngine #

volatility is the quoted fwd yield volatility, not price vol

blackCallableZeroCouponBondEngine' :: CallableBondVolatilityStructure -> GenYieldTermStructure y -> IO PricingEngine #

volatility is the quoted fwd yield volatility, not price vol

blackCallableZeroCouponBondEngine :: GenQuote a -> GenYieldTermStructure y -> IO PricingEngine #

volatility is the quoted fwd yield volatility, not price vol

treeCallableFixedRateBondEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine #

treeCallableFixedRateBondEngine #

Arguments

:: GenShortRateModel m
-> Word	timeSteps
-> Maybe (GenYieldTermStructure y)
-> IO PricingEngine

treeCallableZeroCouponBondEngine' :: GenShortRateModel m -> TimeGrid -> Maybe (GenYieldTermStructure y) -> IO PricingEngine #

treeCallableZeroCouponBondEngine #

Arguments

:: GenShortRateModel m
-> Word	timeSteps
-> Maybe (GenYieldTermStructure y)
-> IO PricingEngine

alpha :: GenBlackCalculator a -> IO Double #

beta :: GenBlackCalculator a -> IO Double #

blackCalculator' #

Arguments

:: OptionType
-> Double	strike
-> Double	forward
-> Double	stdDev
-> Double	discount
-> IO BlackCalculator

blackCalculator #

Arguments

:: StrikedPayoff
-> Double	forward
-> Double	stdDev
-> Double	discount
-> IO BlackCalculator

blackDelta #

Arguments

:: GenBlackCalculator a
-> Double	spot
-> IO Double

Sensitivity to change in the underlying spot price.

Sensitivity to change in the underlying forward price.

deltaForward :: GenBlackCalculator a -> IO Double #

Sensitivity to dividend/growth rate.

dividendRho #

Arguments

:: GenBlackCalculator a
-> Double	maturity
-> IO Double

Sensitivity in percent to a percent change in the underlying spot price.

blackElasticity #

Arguments

:: GenBlackCalculator a
-> Double	spot
-> IO Double

Sensitivity in percent to a percent change in the underlying forward price.

elasticityForward :: GenBlackCalculator a -> IO Double #

Second order derivative with respect to change in the underlying spot price.

blackGamma #

Arguments

:: GenBlackCalculator a
-> Double	spot
-> IO Double

Second order derivative with respect to change in the underlying forward price.

gammaForward :: GenBlackCalculator a -> IO Double #

Probability of being in the money in the asset martingale measure, i.e. N(d1). It is a risk-neutral probability, not the real world one.

itmAssetProbability :: GenBlackCalculator a -> IO Double #

Probability of being in the money in the bond martingale measure, i.e. N(d2). It is a risk-neutral probability, not the real world one.

itmCashProbability :: GenBlackCalculator a -> IO Double #

Sensitivity to discounting rate.

rho #

Arguments

:: GenBlackCalculator a
-> Double	maturity
-> IO Double

Sensitivity to strike.

strikeSensitivity :: GenBlackCalculator a -> IO Double #

Sensitivity to time to maturity.

blackTheta #

Arguments

:: GenBlackCalculator a
-> Double	spot
-> Double	maturity
-> IO Double

Sensitivity to time to maturity per day, assuming 365 day per year.

blackThetaPerDay #

Arguments

:: GenBlackCalculator a
-> Double	spot
-> Double	maturity
-> IO Double

value :: GenBlackCalculator a -> IO Double #

Sensitivity to volatility.

vega #

Arguments

:: GenBlackCalculator a
-> Double	maturity
-> IO Double

blackScholesCalculator' #

Arguments

:: OptionType
-> Double	strike
-> Double	spot
-> Double	growth
-> Double	stdDev
-> Double	discount
-> IO BlackScholesCalculator

blackScholesCalculator #

Arguments

:: StrikedPayoff
-> Double	spot
-> Double	growth
-> Double	stdDev
-> Double	discount
-> IO BlackScholesCalculator

Sensitivity to change in the underlying spot price.

blackScholesDelta :: BlackScholesCalculator -> IO Double #

Sensitivity in percent to a percent change in the underlying spot price.

blackScholesElasticity :: BlackScholesCalculator -> IO Double #

Second order derivative with respect to change in the underlying spot price.

blackScholesGamma :: BlackScholesCalculator -> IO Double #

Sensitivity to time to maturity.

blackScholesTheta #

Arguments

:: BlackScholesCalculator
-> Double	maturity
-> IO Double

Sensitivity to time to maturity per day (assuming 365 day in a year).

blackScholesThetaPerDay #

Arguments

:: BlackScholesCalculator
-> Double	maturity
-> IO Double

Black 1976 formula Warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormula' #

Arguments

:: PlainVanillaPayoff
-> Double	forward
-> Double	stdDev
-> Double	discount
-> Double	displacement
-> IO Double

Black 1976 formula Warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormula #

Arguments

:: OptionType
-> Double	strike
-> Double	forward
-> Double	stdDev
-> Double	discount
-> Double	displacement
-> IO Double

blackCashItmProbability' #

Arguments

:: PlainVanillaPayoff
-> Double	forward
-> Double	stdDev
-> Double	displacement
-> IO Double

Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one. Warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackCashItmProbability #

Arguments

:: OptionType
-> Double
-> Double	forward
-> Double	stdDev
-> Double	displacement
-> IO Double

blackImpliedStdDev' #

Arguments

:: PlainVanillaPayoff
-> Double	forward
-> Double	blackPrice
-> Double	discount
-> Double	displacement
-> Double	guess
-> Double	accuracy
-> Word	maxIterations
-> IO Double

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackImpliedStdDev #

Arguments

:: OptionType
-> Double	strike
-> Double	forward
-> Double	blackPrice
-> Double	discount
-> Double	displacement
-> Double	guess
-> Double	accuracy
-> Word	maxIterations
-> IO Double

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

blackImpliedStdDevApproximation' #

Arguments

:: PlainVanillaPayoff
-> Double	forward
-> Double	blackPrice
-> Double	discount
-> Double	displacement
-> IO Double

blackImpliedStdDevApproximation #

Arguments

:: OptionType
-> Double	strike
-> Double	forward
-> Double	blackPrice
-> Double	discount
-> Double	displacement
-> IO Double

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

blackStdDevDerivative' #

Arguments

:: PlainVanillaPayoff
-> Double	forward
-> Double	blackPrice
-> Double	discount
-> Double	displacement
-> IO Double

Black 1976 formula for standard deviation derivative Warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)

blackStdDevDerivative #

Arguments

:: Double	strike
-> Double	forward
-> Double	blackPrice
-> Double	discount
-> Double	displacement
-> IO Double

Black 1976 formula for derivative with respect to implied vol, this is basically the vega, but if you want 1% change multiply by 1%

blackVolDerivative #

Arguments

:: Double
-> Double	strike
-> Double	forward
-> Double	blackPrice
-> Double	discount
-> Double	displacement
-> IO Double

bachelierBlackFormula' #

Arguments

:: PlainVanillaPayoff
-> Double	forward
-> Double	stdDev
-> Double	discount
-> IO Double

Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier. Warning Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)

bachelierBlackFormula #

Arguments

:: OptionType
-> Double	strike
-> Double	forward
-> Double	stdDev
-> Double	discount
-> IO Double

defaultThetaPerDay #

Arguments

:: Double	theta
-> IO Double

default theta-per-day calculation