Safe Haskell	None
Language	Haskell2010

QuantLib.PricingEngine

Contents

Types
Constructors
Inspectors

Synopsis

data PricingEngine
data FdmQuantoHelper
data GenBlackCalculator bc
type BlackCalculator = GenBlackCalculator CBlackCalculator
type BlackScholesCalculator = GenBlackCalculator CBlackScholesCalculator
data BachelierCalculator
data BlackDeltaCalculator
data CashAnnuityModel
- = SwapRate
- | DiscountCurve
data Probabilities
- = None
- | Naive
- | Digital
data CashDividendModel
- = CashDividendSpot
- | CashDividendEscrowed
data NumericalFix
- = NumericalFixNone
- | NumericalFixTaylor
data AccrualBias
- = HalfDayBias
- | NoBias
data ForwardsInCouponPeriod
- = Flat
- | Piecewise
data SolverType
- = Brent
- | Newton
- | Ridder
- | Halley
- | SuperHalley
data FixedPointEquation
- = FP_A
- | FP_B
- | Auto
data QdFpScheme
- = FastScheme
- | AccurateScheme
- | HighPrecisionScheme
data IntegrationControl
- = IntegrationOrder Word
- | IntegrationTolerance Double Word
data LatticeTime
- = TimeSteps Word
- | ExplicitTimeGrid TimeGrid
data FdmGrid
- = UniformGrid Word
- | AxisGrids (NonEmpty Word)
data OperatorSplittingOrder
- = First
- | Second
data PerpetualFuturesInterpolationType
- = PerpetualFuturesPiecewiseConstant
- | PerpetualFuturesLinearInterpolation
- | PerpetualFuturesCubicSpline
data StrikeSpec
- = Strike !OptionType !Double
- | StrikePayoff !StrikedPayoff
discountingBondEngine :: GenYieldTermStructure y -> Maybe Bool -> IO PricingEngine
riskyBondEngine :: GenDefaultProbabilityTermStructure d -> Double -> GenYieldTermStructure y -> IO PricingEngine
discountingSwapEngine :: GenYieldTermStructure y -> Maybe Bool -> Maybe Day -> Maybe Day -> IO PricingEngine
discountingFxForwardEngine :: GenYieldTermStructure y1 -> GenYieldTermStructure y2 -> GenQuote q -> IO PricingEngine
discountingConstNotionalCrossCurrencySwapEngine :: Currency -> GenYieldTermStructure y1 -> Currency -> GenYieldTermStructure y2 -> GenQuote q -> Maybe Bool -> Maybe Day -> Maybe Day -> Maybe Day -> IO PricingEngine
counterpartyAdjSwapEngine :: GenYieldTermStructure y -> GenQuote q -> GenDefaultProbabilityTermStructure d1 -> Double -> Maybe (GenDefaultProbabilityTermStructure d2) -> Double -> IO PricingEngine
discountingPerpetualFuturesEngine :: GenYieldTermStructure y1 -> GenYieldTermStructure y2 -> GenQuote q -> NonEmpty (Double, Double, Double) -> PerpetualFuturesInterpolationType -> Double -> IO PricingEngine
analyticBarrierEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticTwoAssetBarrierEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> GenQuote q -> IO PricingEngine
analyticSoftBarrierEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticPartialTimeBarrierOptionEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticBinaryBarrierEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticSimpleChooserEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticComplexChooserEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticTwoAssetCorrelationEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> GenQuote q -> IO PricingEngine
analyticEuropeanMargrabeEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> Double -> IO PricingEngine
analyticAmericanMargrabeEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> Double -> IO PricingEngine
analyticWriterExtensibleOptionEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticHolderExtensibleOptionEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
fdBlackScholesBarrierEngine :: GeneralizedBlackScholesProcess -> Word -> Word -> Word -> FdmScheme -> Bool -> Double -> IO PricingEngine
fdHestonBarrierEngine :: GenHestonModel hm -> [Dividend] -> Word -> Word -> Word -> Word -> FdmScheme -> Maybe (GenLocalVolTermStructure lv) -> Double -> IO PricingEngine
binomialBarrierEngine :: BinomialTree -> GeneralizedBlackScholesProcess -> Word -> Word -> IO PricingEngine
vannaVolgaBarrierEngine :: DeltaVolQuote -> DeltaVolQuote -> DeltaVolQuote -> GenQuote q -> GenYieldTermStructure y1 -> GenYieldTermStructure y2 -> Bool -> Double -> IO PricingEngine
analyticDoubleBarrierEngine :: GeneralizedBlackScholesProcess -> Int -> IO PricingEngine
fdHestonDoubleBarrierEngine :: GenHestonModel hm -> Word -> Word -> Word -> Word -> FdmScheme -> Maybe (GenLocalVolTermStructure lv) -> Double -> IO PricingEngine
vannaVolgaDoubleBarrierEngine :: DeltaVolQuote -> DeltaVolQuote -> DeltaVolQuote -> GenQuote q -> GenYieldTermStructure y1 -> GenYieldTermStructure y2 -> Bool -> Double -> Int -> IO PricingEngine
binomialDoubleBarrierEngine :: BinomialTree -> GeneralizedBlackScholesProcess -> Word -> IO PricingEngine
mcDoubleBarrierEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
analyticCliquetEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticCompoundOptionEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticContinuousFixedLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticContinuousFloatingLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticContinuousPartialFloatingLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticContinuousPartialFixedLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticContinuousGeometricAveragePriceAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticContinuousGeometricAveragePriceAsianHestonEngine :: GenHestonProcess hp -> Word -> Double -> IO PricingEngine
analyticDiscreteGeometricAveragePriceAsianHestonEngine :: GenHestonProcess hp -> Double -> IO PricingEngine
mcLookbackFixedEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcLookbackFloatingEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcLookbackPartialFixedEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcLookbackPartialFloatingEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
analyticDigitalAmericanEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticDigitalAmericanKoEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticDiscreteGeometricAveragePriceAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
analyticDiscreteGeometricAverageStrikeAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
turnbullWakemanAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
fdBlackScholesAsianEngine :: GeneralizedBlackScholesProcess -> Word -> Word -> Word -> FdmScheme -> IO PricingEngine
analyticDividendEuropeanEngine :: GeneralizedBlackScholesProcess -> [Dividend] -> IO PricingEngine
analyticEuropeanEngine :: GeneralizedBlackScholesProcess -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
analyticPerformanceEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
forwardEuropeanEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
forwardBaroneAdesiWhaleyEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
forwardBjerksundStenslandEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
forwardFdBlackScholesVanillaEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
mcForwardEuropeanBsEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcForwardEuropeanHestonEngine :: RngTrait -> StatisticsTrait -> GenHestonProcess hp -> Maybe Word -> Maybe Word -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> Bool -> IO PricingEngine
analyticHestonForwardEuropeanEngine :: GenHestonProcess hp -> Word -> IO PricingEngine
quantoEuropeanEngine :: GeneralizedBlackScholesProcess -> GenYieldTermStructure y -> GenBlackVolTermStructure bv -> GenQuote q -> IO PricingEngine
quantoForwardEuropeanEngine :: GeneralizedBlackScholesProcess -> GenYieldTermStructure y -> GenBlackVolTermStructure bv -> GenQuote q -> IO PricingEngine
quantoForwardPerformanceEuropeanEngine :: GeneralizedBlackScholesProcess -> GenYieldTermStructure y -> GenBlackVolTermStructure bv -> GenQuote q -> IO PricingEngine
quantoBarrierEngine :: GeneralizedBlackScholesProcess -> GenYieldTermStructure y -> GenBlackVolTermStructure bv -> GenQuote q -> IO PricingEngine
quantoDoubleBarrierEngine :: GeneralizedBlackScholesProcess -> GenYieldTermStructure y -> GenBlackVolTermStructure bv -> GenQuote q -> IO PricingEngine
blackCapFloorEngineFromVolatilityStructure :: GenYieldTermStructure y -> GenOptionletVolatilityStructure ov -> IO PricingEngine
blackCapFloorEngine :: GenYieldTermStructure y -> GenQuote q -> DayCounter -> Double -> IO PricingEngine
blackSwaptionEngine :: GenYieldTermStructure y -> GenQuote q -> DayCounter -> Double -> CashAnnuityModel -> IO PricingEngine
haganIrregularSwaptionEngine :: GenSwaptionVolatilityStructure sv -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
blackSwaptionEngineFromVolatilityStructure :: GenYieldTermStructure y -> GenSwaptionVolatilityStructure sv -> IO PricingEngine
bachelierCapFloorEngineFromVolatilityStructure :: GenYieldTermStructure y -> GenOptionletVolatilityStructure ov -> IO PricingEngine
bachelierCapFloorEngine :: GenYieldTermStructure y -> GenQuote q -> DayCounter -> IO PricingEngine
yoyInflationBlackCapFloorEngine :: GenYoYInflationIndex yidx -> YoYOptionletVolatilitySurface -> GenYieldTermStructure y -> IO PricingEngine
yoyInflationUnitDisplacedBlackCapFloorEngine :: GenYoYInflationIndex yidx -> YoYOptionletVolatilitySurface -> GenYieldTermStructure y -> IO PricingEngine
yoyInflationBachelierCapFloorEngine :: GenYoYInflationIndex yidx -> YoYOptionletVolatilitySurface -> GenYieldTermStructure y -> IO PricingEngine
interpolatingCpiCapFloorEngine :: CPICapFloorTermPriceSurface -> IO PricingEngine
bachelierSwaptionEngine :: GenYieldTermStructure y -> GenQuote q -> DayCounter -> CashAnnuityModel -> IO PricingEngine
bachelierSwaptionEngineFromVolatilityStructure :: GenYieldTermStructure y -> GenSwaptionVolatilityStructure sv -> IO PricingEngine
analyticBsmHullWhiteEngine :: Double -> GeneralizedBlackScholesProcess -> HullWhite -> IO PricingEngine
analyticCapFloorEngine :: AffineModel -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
gaussian1dCapFloorEngine :: Gaussian1dModel -> Int -> Double -> Bool -> Bool -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
analyticGjrGarchEngine :: GJRGARCHModel -> IO PricingEngine
analyticHestonEngine :: GenHestonModel hm -> IntegrationControl -> IO PricingEngine
analyticHestonHullWhiteEngine :: GenHestonModel hm -> HullWhite -> IntegrationControl -> IO PricingEngine
batesEngine :: GenBatesModel bm -> IntegrationControl -> IO PricingEngine
fftVanillaEngine :: GeneralizedBlackScholesProcess -> Double -> IO PricingEngine
g2SwaptionEngine :: G2 -> Double -> Word -> IO PricingEngine
jumpDiffusionEngine :: Merton76Process -> Double -> Word -> IO PricingEngine
treeCapFloorEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeSwaptionEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeVanillaSwapEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
varianceGammaEngine :: VarianceGammaProcess -> Double -> IO PricingEngine
analyticHestonEngineOptimalControlVariate :: Double -> Double -> Double -> Double -> Double -> Double -> ComplexLogFormula
mcHestonHullWhiteEngine :: RngTrait -> StatisticsTrait -> HybridHestonHullWhiteProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcAmericanEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> Word -> PolynomialType -> Maybe Word -> Maybe Bool -> Maybe Word -> IO PricingEngine
mcBarrierEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Bool -> Word -> IO PricingEngine
mcDigitalEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcDiscreteArithmeticApEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Bool -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcDiscreteArithmeticAsEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcDiscreteGeometricApEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcDiscreteArithmeticApHestonEngine :: RngTrait -> StatisticsTrait -> GenHestonProcess hp -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> Maybe Word -> Maybe Word -> Bool -> IO PricingEngine
mcDiscreteGeometricApHestonEngine :: RngTrait -> StatisticsTrait -> GenHestonProcess hp -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> Maybe Word -> Maybe Word -> IO PricingEngine
mcEuropeanEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcEuropeanGjrGarchEngine :: RngTrait -> StatisticsTrait -> GJRGARCHProcess -> Maybe Word -> Maybe Word -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcEuropeanHestonEngine :: RngTrait -> StatisticsTrait -> GenHestonProcess hp -> Maybe Word -> Maybe Word -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
integralHestonVarianceOptionEngine :: GenHestonProcess hp -> IO PricingEngine
mcHullWhiteCapFloorEngine :: RngTrait -> StatisticsTrait -> HullWhite -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcHimalayaEngine :: RngTrait -> StatisticsTrait -> StochasticProcessArray -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcPagodaEngine :: RngTrait -> StatisticsTrait -> StochasticProcessArray -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcEuropeanBasketEngine :: RngTrait -> StatisticsTrait -> StochasticProcessArray -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcEverestEngine :: RngTrait -> StatisticsTrait -> StochasticProcessArray -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcAmericanBasketEngine :: RngTrait -> StochasticProcessArray -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> Maybe Word -> Word -> PolynomialType -> IO PricingEngine
mcPerformanceEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
mcVarianceSwapEngine :: RngTrait -> StatisticsTrait -> GeneralizedBlackScholesProcess -> Maybe Word -> Maybe Word -> Bool -> Bool -> Maybe Word -> Maybe Double -> Maybe Word -> Word -> IO PricingEngine
baroneAdesiWhaleyApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
batesDetJumpEngine :: BatesDetJumpModel -> IntegrationControl -> IO PricingEngine
batesDoubleExpDetJumpEngine :: BatesDoubleExpDetJumpModel -> IntegrationControl -> IO PricingEngine
batesDoubleExpEngine :: GenBatesDoubleExpModel bdem -> IntegrationControl -> IO PricingEngine
bjerksundStenslandApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
qdPlusAmericanEngine :: GeneralizedBlackScholesProcess -> Word -> SolverType -> Double -> Maybe Word -> IO PricingEngine
qdFpAmericanEngine :: GeneralizedBlackScholesProcess -> QdFpScheme -> FixedPointEquation -> IO PricingEngine
continuousArithmeticAsianVecerEngine :: GeneralizedBlackScholesProcess -> Maybe (GenQuote q) -> Day -> Word -> Word -> Double -> Double -> IO PricingEngine
integralCdsEngine :: (Word, TimeUnit) -> GenDefaultProbabilityTermStructure d -> Double -> GenYieldTermStructure y -> Maybe Bool -> IO PricingEngine
integralEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
isdaCdsEngine :: GenDefaultProbabilityTermStructure d -> Double -> GenYieldTermStructure y -> Maybe Bool -> NumericalFix -> AccrualBias -> ForwardsInCouponPeriod -> IO PricingEngine
jamshidianSwaptionEngine :: GenOneFactorAffineModel om -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
gaussian1dSwaptionEngine :: Gaussian1dModel -> Int -> Double -> Bool -> Bool -> Maybe (GenYieldTermStructure y) -> Probabilities -> IO PricingEngine
gaussian1dNonstandardSwaptionEngine :: Gaussian1dModel -> Int -> Double -> Bool -> Bool -> Maybe (GenQuote q) -> Maybe (GenYieldTermStructure y) -> Probabilities -> IO PricingEngine
gaussian1dFloatFloatSwaptionEngine :: Gaussian1dModel -> Int -> Double -> Bool -> Bool -> Maybe (GenQuote q) -> Maybe (GenYieldTermStructure y) -> Bool -> Probabilities -> IO PricingEngine
gaussian1dJamshidianSwaptionEngine :: Gaussian1dModel -> IO PricingEngine
juQuadraticApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine
kirkEngine :: BlackProcess -> BlackProcess -> Double -> IO PricingEngine
midPointCdsEngine :: GenDefaultProbabilityTermStructure d -> Double -> GenYieldTermStructure y -> Maybe Bool -> IO PricingEngine
midPointCdoEngine :: GenYieldTermStructure y -> IO PricingEngine
integralCdoEngine :: GenYieldTermStructure y -> (Word, TimeUnit) -> IO PricingEngine
integralNtdEngine :: (Word, TimeUnit) -> GenYieldTermStructure y -> IO PricingEngine
replicatingVarianceSwapEngine :: GeneralizedBlackScholesProcess -> Double -> NonEmpty Double -> NonEmpty Double -> IO PricingEngine
stulzEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> Double -> IO PricingEngine
bjerksundStenslandSpreadEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> Double -> IO PricingEngine
operatorSplittingSpreadEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> Double -> OperatorSplittingOrder -> IO PricingEngine
pearsonSpreadEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> Double -> Double -> Word -> Double -> IO PricingEngine
gaussianCopulaSpreadEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> Double -> Word -> IO PricingEngine
fd2dBlackScholesVanillaEngine :: GeneralizedBlackScholesProcess -> GeneralizedBlackScholesProcess -> Double -> Word -> Word -> Word -> Word -> FdmScheme -> Bool -> Double -> IO PricingEngine
choiBasketEngine :: NonEmpty GeneralizedBlackScholesProcess -> Matrix Double -> Double -> Word -> Bool -> Bool -> IO PricingEngine
dengLiZhouBasketEngine :: NonEmpty GeneralizedBlackScholesProcess -> Matrix Double -> IO PricingEngine
fdndimBlackScholesVanillaEngine :: NonEmpty GeneralizedBlackScholesProcess -> Matrix Double -> FdmGrid -> Word -> Word -> FdmScheme -> IO PricingEngine
singleFactorBsmBasketEngine :: NonEmpty GeneralizedBlackScholesProcess -> Double -> IO PricingEngine
lfmSwaptionEngine :: LiborForwardModel -> 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 -> [Dividend] -> Word -> Word -> Word -> FdmScheme -> Bool -> Double -> CashDividendModel -> IO PricingEngine
fdBlackScholesVanillaEngineQuanto :: GeneralizedBlackScholesProcess -> [Dividend] -> Maybe FdmQuantoHelper -> Word -> Word -> Word -> FdmScheme -> Bool -> Double -> CashDividendModel -> IO PricingEngine
fdmQuantoHelper :: GenYieldTermStructure y1 -> GenYieldTermStructure y2 -> GenBlackVolTermStructure bv -> Double -> Double -> IO FdmQuantoHelper
quantoAdjustment :: FdmQuantoHelper -> Double -> Double -> Double -> IO Double
fdHestonVanillaEngine :: GenHestonModel hm -> [Dividend] -> Word -> Word -> Word -> Word -> FdmScheme -> Maybe (GenLocalVolTermStructure lv) -> Double -> IO PricingEngine
cosHestonEngine :: GenHestonModel hm -> Double -> Word -> IO PricingEngine
analyticPdfHestonEngine :: GenHestonModel hm -> Double -> Word -> IO PricingEngine
fdBatesVanillaEngine :: GenBatesModel bm -> [Dividend] -> Word -> Word -> Word -> Word -> FdmScheme -> IO PricingEngine
fdBlackScholesShoutEngine :: GeneralizedBlackScholesProcess -> [Dividend] -> Word -> Word -> Word -> FdmScheme -> IO PricingEngine
fdHestonVanillaEngineQuanto :: GenHestonModel hm -> [Dividend] -> Maybe FdmQuantoHelper -> Word -> Word -> Word -> Word -> FdmScheme -> Maybe (GenLocalVolTermStructure lv) -> Double -> IO PricingEngine
fdHestonHullWhiteVanillaEngine :: GenHestonModel hm -> HullWhiteProcess -> [Dividend] -> Double -> Word -> Word -> Word -> Word -> Word -> Bool -> FdmScheme -> IO PricingEngine
binomialConvertibleEngine :: BinomialTree -> GeneralizedBlackScholesProcess -> Word -> GenQuote q -> [Dividend] -> IO PricingEngine
blackCallableFixedRateBondEngineFromVolatilityStructure :: CallableBondVolatilityStructure -> GenYieldTermStructure y -> IO PricingEngine
blackCallableFixedRateBondEngine :: GenQuote q -> GenYieldTermStructure y -> IO PricingEngine
blackCallableZeroCouponBondEngineFromVolatilityStructure :: CallableBondVolatilityStructure -> GenYieldTermStructure y -> IO PricingEngine
blackCallableZeroCouponBondEngine :: GenQuote q -> GenYieldTermStructure y -> IO PricingEngine
treeCallableFixedRateBondEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
treeCallableZeroCouponBondEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine
asBlackCalculator :: GenBlackCalculator bc -> IO BlackCalculator
blackCalculator :: StrikeSpec -> Double -> Double -> Double -> IO BlackCalculator
blackScholesCalculator :: StrikeSpec -> Double -> Double -> Double -> Double -> IO BlackScholesCalculator
bachelierCalculator :: StrikeSpec -> Double -> Double -> Double -> IO BachelierCalculator
blackDeltaCalculator :: OptionType -> DeltaType -> Double -> Double -> Double -> Double -> IO BlackDeltaCalculator
class HasOptionCalculator a where
- alpha :: a -> IO Double
- beta :: a -> IO Double
- delta :: a -> Double -> IO Double
- deltaForward :: a -> IO Double
- dividendRho :: a -> Double -> IO Double
- elasticity :: a -> Double -> IO Double
- elasticityForward :: a -> IO Double
- gamma :: a -> Double -> IO Double
- gammaForward :: a -> IO Double
- itmAssetProbability :: a -> IO Double
- itmCashProbability :: a -> IO Double
- rho :: a -> Double -> IO Double
- strikeSensitivity :: a -> IO Double
- strikeGamma :: a -> IO Double
- theta :: a -> Double -> Double -> IO Double
- thetaPerDay :: a -> Double -> Double -> IO Double
- value :: a -> IO Double
- vega :: a -> Double -> IO Double
- volga :: a -> Double -> IO Double
blackVanna :: GenBlackCalculator bc -> Double -> Double -> IO Double
blackScholesDelta :: BlackScholesCalculator -> IO Double
blackScholesElasticity :: BlackScholesCalculator -> IO Double
blackScholesGamma :: BlackScholesCalculator -> IO Double
blackScholesTheta :: BlackScholesCalculator -> Double -> IO Double
blackScholesThetaPerDay :: BlackScholesCalculator -> Double -> IO Double
bachelierVanna :: BachelierCalculator -> Double -> IO Double
deltaFromStrike :: BlackDeltaCalculator -> Double -> IO Double
strikeFromDelta :: BlackDeltaCalculator -> Double -> IO Double
atmStrike :: BlackDeltaCalculator -> AtmType -> IO Double
blackFormula :: OptionType -> Double -> Double -> Double -> Double -> Double -> IO Double
blackCashItmProbability :: OptionType -> Double -> Double -> Double -> Double -> IO Double
blackImpliedStdDev :: OptionType -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Word -> IO Double
blackImpliedStdDevApproximation :: OptionType -> Double -> Double -> Double -> Double -> Double -> IO Double
blackStdDevDerivative :: Double -> Double -> Double -> Double -> Double -> IO Double
blackVolDerivative :: Double -> Double -> Double -> Double -> Double -> Double -> IO Double
bachelierBlackFormula :: OptionType -> Double -> Double -> Double -> Double -> IO Double
blackForwardDerivative :: OptionType -> Double -> Double -> Double -> Double -> Double -> IO Double
blackImpliedStdDevChambers :: OptionType -> Double -> Double -> Double -> Double -> Double -> Double -> IO Double
blackImpliedStdDevApproximationRs :: OptionType -> Double -> Double -> Double -> Double -> Double -> IO Double
blackImpliedStdDevLiRs :: OptionType -> Double -> Double -> Double -> Double -> Double -> Maybe Double -> Double -> Double -> Word -> IO Double
blackAssetItmProbability :: OptionType -> Double -> Double -> Double -> Double -> IO Double
blackStdDevSecondDerivative :: Double -> Double -> Double -> Double -> Double -> IO Double
bachelierForwardDerivative :: OptionType -> Double -> Double -> Double -> Double -> IO Double
bachelierImpliedVol :: OptionType -> Double -> Double -> Double -> Double -> Double -> IO Double
bachelierImpliedVolChoi :: OptionType -> Double -> Double -> Double -> Double -> Double -> IO Double
bachelierStdDevDerivative :: Double -> Double -> Double -> Double -> IO Double
bachelierAssetItmProbability :: OptionType -> Double -> Double -> Double -> IO Double
defaultThetaPerDay :: Double -> IO Double
unsafeSabrLogNormalVolatility :: Double -> Double -> Double -> Double -> Double -> Double -> Double -> IO Double
unsafeShiftedSabrVolatility :: Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> VolatilityType -> IO Double
unsafeSabrNormalVolatility :: Double -> Double -> Double -> Double -> Double -> Double -> Double -> IO Double
unsafeSabrVolatility :: Double -> Double -> Double -> Double -> Double -> Double -> Double -> VolatilityType -> IO Double
sabrVolatility :: Double -> Double -> Double -> Double -> Double -> Double -> Double -> VolatilityType -> IO Double
shiftedSabrVolatility :: Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> VolatilityType -> IO Double
sabrFlochKennedyVolatility :: Double -> Double -> Double -> Double -> Double -> Double -> Double -> IO Double
validateSabrParameters :: Double -> Double -> Double -> Double -> IO ()
sabrGuess :: Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> VolatilityType -> IO [Double]

Types

Engines

data PricingEngine Source #

data FdmQuantoHelper Source #

Option calculators

data GenBlackCalculator bc Source #

BlackCalculator
  BlackScholesCalculator

Instances

Instances details

HasOptionCalculator (GenBlackCalculator bc) Source #

Instance details

Defined in QuantLib.PricingEngine

Methods

alpha :: GenBlackCalculator bc -> IO Double Source #

beta :: GenBlackCalculator bc -> IO Double Source #

delta :: GenBlackCalculator bc -> Double -> IO Double Source #

deltaForward :: GenBlackCalculator bc -> IO Double Source #

dividendRho :: GenBlackCalculator bc -> Double -> IO Double Source #

elasticity :: GenBlackCalculator bc -> Double -> IO Double Source #

elasticityForward :: GenBlackCalculator bc -> IO Double Source #

gamma :: GenBlackCalculator bc -> Double -> IO Double Source #

gammaForward :: GenBlackCalculator bc -> IO Double Source #

itmAssetProbability :: GenBlackCalculator bc -> IO Double Source #

itmCashProbability :: GenBlackCalculator bc -> IO Double Source #

rho :: GenBlackCalculator bc -> Double -> IO Double Source #

strikeSensitivity :: GenBlackCalculator bc -> IO Double Source #

strikeGamma :: GenBlackCalculator bc -> IO Double Source #

theta :: GenBlackCalculator bc -> Double -> Double -> IO Double Source #

thetaPerDay :: GenBlackCalculator bc -> Double -> Double -> IO Double Source #

value :: GenBlackCalculator bc -> IO Double Source #

vega :: GenBlackCalculator bc -> Double -> IO Double Source #

volga :: GenBlackCalculator bc -> Double -> IO Double Source #

type BlackCalculator = GenBlackCalculator CBlackCalculator Source #

The root of the hierarchy shown under GenBlackCalculator.

type BlackScholesCalculator = GenBlackCalculator CBlackScholesCalculator Source #

A BlackCalculator; see the hierarchy under GenBlackCalculator.

data BachelierCalculator Source #

BachelierCalculator

Instances

Instances details

HasOptionCalculator BachelierCalculator Source #

Instance details

Defined in QuantLib.PricingEngine

Methods

alpha :: BachelierCalculator -> IO Double Source #

beta :: BachelierCalculator -> IO Double Source #

delta :: BachelierCalculator -> Double -> IO Double Source #

deltaForward :: BachelierCalculator -> IO Double Source #

dividendRho :: BachelierCalculator -> Double -> IO Double Source #

elasticity :: BachelierCalculator -> Double -> IO Double Source #

elasticityForward :: BachelierCalculator -> IO Double Source #

gamma :: BachelierCalculator -> Double -> IO Double Source #

gammaForward :: BachelierCalculator -> IO Double Source #

itmAssetProbability :: BachelierCalculator -> IO Double Source #

itmCashProbability :: BachelierCalculator -> IO Double Source #

rho :: BachelierCalculator -> Double -> IO Double Source #

strikeSensitivity :: BachelierCalculator -> IO Double Source #

strikeGamma :: BachelierCalculator -> IO Double Source #

theta :: BachelierCalculator -> Double -> Double -> IO Double Source #

thetaPerDay :: BachelierCalculator -> Double -> Double -> IO Double Source #

value :: BachelierCalculator -> IO Double Source #

vega :: BachelierCalculator -> Double -> IO Double Source #

volga :: BachelierCalculator -> Double -> IO Double Source #

data BlackDeltaCalculator Source #

Configuration

data CashAnnuityModel Source #

Constructors

SwapRate
DiscountCurve

Instances

Instances details

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

data Probabilities Source #

Constructors

None
Naive
Digital

Instances

Instances details

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

data CashDividendModel Source #

Constructors

CashDividendSpot
CashDividendEscrowed

Instances

Instances details

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

data NumericalFix Source #

Constructors

NumericalFixNone
NumericalFixTaylor

Instances

Instances details

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

data AccrualBias Source #

Constructors

HalfDayBias
NoBias

Instances

Instances details

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

data ForwardsInCouponPeriod Source #

Constructors

Flat
Piecewise

Instances

Instances details

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

data SolverType Source #

Constructors

Brent
Newton
Ridder
Halley
SuperHalley

Instances

Instances details

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

data FixedPointEquation Source #

Constructors

FP_A
FP_B
Auto

Instances

Instances details

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

data QdFpScheme Source #

Constructors

FastScheme
AccurateScheme
HighPrecisionScheme

Instances

Instances details

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

data IntegrationControl Source #

Numerical integration control for analytic Heston-family engines.

Constructors

IntegrationOrder Word
IntegrationTolerance Double Word

Instances

Instances details

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

data LatticeTime Source #

Time discretization for lattice pricing engines.

Constructors

TimeSteps Word
ExplicitTimeGrid TimeGrid

data FdmGrid Source #

Spatial discretization for an n-dimensional finite-difference engine.

Constructors

UniformGrid Word
AxisGrids (NonEmpty Word)

Instances

Instances details

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

data OperatorSplittingOrder Source #

Constructors

First
Second

Instances

Instances details

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

data PerpetualFuturesInterpolationType Source #

Constructors

PerpetualFuturesPiecewiseConstant
PerpetualFuturesLinearInterpolation
PerpetualFuturesCubicSpline

Instances

Instances details

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

data StrikeSpec Source #

An option's type and strike, given directly or carried by a striked payoff.

Constructors

Strike !OptionType !Double
StrikePayoff !StrikedPayoff

Constructors

Discounting and counterparty engines

discountingBondEngine Source #

Arguments

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

discounts a bond's cash flows off a yield term structure

riskyBondEngine Source #

Arguments

:: GenDefaultProbabilityTermStructure d
-> Double	recoveryRate
-> GenYieldTermStructure y
-> IO PricingEngine

discounts a bond's cash flows off a default-risky curve and a flat recovery rate

discountingSwapEngine Source #

Arguments

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

discounts a swap's legs off a single discount curve

discountingFxForwardEngine Source #

Arguments

:: GenYieldTermStructure y1	sourceCurrencyDiscountCurve
-> GenYieldTermStructure y2	targetCurrencyDiscountCurve
-> GenQuote q	spotFx
-> IO PricingEngine

discounts an FX forward's two legs off their respective currency discount curves

discountingConstNotionalCrossCurrencySwapEngine Source #

Arguments

:: Currency	domesticCcy
-> GenYieldTermStructure y1	domesticCcyDiscountCurve
-> Currency	foreignCcy
-> GenYieldTermStructure y2	foreignCcyDiscountCurve
-> GenQuote q	spotFX
-> Maybe Bool	includeSettlementDateFlows
-> Maybe Day	settlementDate
-> Maybe Day	npvDate
-> Maybe Day	spotFXSettleDate
-> IO PricingEngine

Discounts each leg of a ConstNotionalCrossCurrencySwap (or either of its two leaves) off its own currency's discount curve, converting to domesticCcy via spotFX (quoted as units of domesticCcy per unit of foreignCcy, w.r.t. a settlement equal to the npv date unless spotFXSettleDate says otherwise). Each leg's stored currency must equal domesticCcy or foreignCcy; the two discount curves must share the same reference date.

counterpartyAdjSwapEngine Source #

Arguments

:: GenYieldTermStructure y	discountCurve
-> GenQuote q	blackVol
-> GenDefaultProbabilityTermStructure d1	ctptyDTS
-> Double	ctptyRecoveryRate
-> Maybe (GenDefaultProbabilityTermStructure d2)	invstDTS
-> Double	invstRecoveryRate
-> IO PricingEngine

CVA/DVA-adjusted swap pricing engine. invstDTS/invstRecoveryRate are the own (investor-side) default probability curve and recovery rate for bilateral CVA/DVA; pass Nothing for invstDTS and 0.999 for invstRecoveryRate to match upstream's unilateral-CVA-only defaults.

discountingPerpetualFuturesEngine Source #

Arguments

:: GenYieldTermStructure y1
-> GenYieldTermStructure y2
-> GenQuote q
-> NonEmpty (Double, Double, Double)	(fundingTime, fundingRate, interestRateDiff)
-> PerpetualFuturesInterpolationType
-> Double
-> IO PricingEngine

Discounts perpetual-futures cashflows to the curves' reference date. The three funding vectors must be non-empty and have identical lengths. The engine supports only PerpetualFuturesLinear and PerpetualFuturesInverse payoffs; QuantLib rejects a Quanto payoff at pricing time.

Analytic, lattice and Monte Carlo engines

analyticBarrierEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for barrier options

analyticTwoAssetBarrierEngine Source #

Arguments

:: GeneralizedBlackScholesProcess	process1
-> GeneralizedBlackScholesProcess	process2
-> GenQuote q	rho
-> IO PricingEngine

analytic (Heynen and Kat) pricing engine for a barrier option on two assets, where the first asset's value is compared to the strike and the second's is monitored against the barrier

analyticSoftBarrierEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for soft barrier options, knocked in/out proportionally over a barrier range

analyticPartialTimeBarrierOptionEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for partial-time barrier options

analyticBinaryBarrierEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for American binary barrier options (cash-or-nothing/asset-or-nothing)

analyticSimpleChooserEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for simple chooser options

analyticComplexChooserEngine Source #

Arguments

:: GeneralizedBlackScholesProcess	process
-> IO PricingEngine

Analytic Black-Scholes engine for a complexChooserOption. Both alternatives must have European exercise.

analyticTwoAssetCorrelationEngine Source #

Arguments

:: GeneralizedBlackScholesProcess	process1
-> GeneralizedBlackScholesProcess	process2
-> GenQuote q	correlation
-> IO PricingEngine

analytic pricing engine for two-asset correlation options

analyticEuropeanMargrabeEngine Source #

Arguments

:: GeneralizedBlackScholesProcess	process1
-> GeneralizedBlackScholesProcess	process2
-> Double	correlation
-> IO PricingEngine

Analytic (Margrabe) engine for a European margrabeOption: the closed-form price of an option to exchange one asset for another, from W. Margrabe, "The Value of an Option to Exchange One Asset for Another", Journal of Finance 33 (March 1978), 177-186.

analyticAmericanMargrabeEngine Source #

Arguments

:: GeneralizedBlackScholesProcess	process1
-> GeneralizedBlackScholesProcess	process2
-> Double	correlation
-> IO PricingEngine

Analytic (Margrabe) engine for an American margrabeOption: the closed-form price of an option to exchange one asset for another with early exercise, from W. Margrabe, "The Value of an American Option to Exchange One Asset for Another", Journal of Finance 33, 177-86.

analyticWriterExtensibleOptionEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for writer-extensible options

analyticHolderExtensibleOptionEngine Source #

Arguments

:: GeneralizedBlackScholesProcess	process
-> IO PricingEngine

Analytic Black-Scholes engine for a holderExtensibleOption. The original option must have European exercise.

fdBlackScholesBarrierEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> Word	tGrid
-> Word	xGrid
-> Word	dampingSteps
-> FdmScheme
-> Bool	localVol
-> Double	illegalLocalVolOverwrite
-> IO PricingEngine

finite-differences Black-Scholes barrier-option pricing engine

fdHestonBarrierEngine :: GenHestonModel hm -> [Dividend] -> Word -> Word -> Word -> Word -> FdmScheme -> Maybe (GenLocalVolTermStructure lv) -> Double -> IO PricingEngine Source #

Finite-difference Heston barrier engine; an empty list selects the no-dividend overload.

binomialBarrierEngine Source #

Arguments

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

NB Timesteps for Cox-Ross-Rubinstein trees are adjusted using the Boyle-Lau algorithm; pass maxTimeSteps = timeSteps to disable it, or 0 to use the library's default heuristic.

vannaVolgaBarrierEngine Source #

Arguments

:: DeltaVolQuote	atmVol
-> DeltaVolQuote	vol25Put
-> DeltaVolQuote	vol25Call
-> GenQuote q	spotFX
-> GenYieldTermStructure y1	domesticTS
-> GenYieldTermStructure y2	foreignTS
-> Bool	adaptVanDelta
-> Double	bsPriceWithSmile
-> IO PricingEngine

FX barrier option engine using the vanna-volga method to account for the volatility smile

analyticDoubleBarrierEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> Int	series
-> IO PricingEngine

analytic pricing engine for double-barrier European options

fdHestonDoubleBarrierEngine Source #

Arguments

:: GenHestonModel hm
-> Word	tGrid
-> Word	xGrid
-> Word	vGrid
-> Word	dampingSteps
-> FdmScheme
-> Maybe (GenLocalVolTermStructure lv)	leverageFct
-> Double	mixingFactor, upstream default: 1.0
-> IO PricingEngine

finite-differences Heston-model double-barrier-option pricing engine

vannaVolgaDoubleBarrierEngine Source #

Arguments

:: DeltaVolQuote	atmVol
-> DeltaVolQuote	vol25Put
-> DeltaVolQuote	vol25Call
-> GenQuote q	spotFX
-> GenYieldTermStructure y1	domesticTS
-> GenYieldTermStructure y2	foreignTS
-> Bool	adaptVanDelta
-> Double	bsPriceWithSmile
-> Int	series
-> IO PricingEngine

always uses AnalyticDoubleBarrierEngine as the underlying smile-free double-barrier engine

binomialDoubleBarrierEngine Source #

Arguments

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

pricing engine for double-barrier options using binomial trees

mcDoubleBarrierEngine Source #

Arguments

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

Monte Carlo pricing engine for double-barrier options

analyticCliquetEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for Cliquet (ratchet) options

analyticCompoundOptionEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for compound options

analyticContinuousFixedLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for European continuous fixed-strike lookback options

analyticContinuousFloatingLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for European continuous floating-strike lookback options

analyticContinuousPartialFloatingLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for European continuous partial-time floating-strike lookback options

analyticContinuousPartialFixedLookbackEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for European continuous partial-time fixed-strike lookback options

analyticContinuousGeometricAveragePriceAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for European continuous geometric average-price Asian options

analyticContinuousGeometricAveragePriceAsianHestonEngine Source #

Arguments

:: GenHestonProcess hp
-> Word	summationCutoff
-> Double	xiRightLimit
-> IO PricingEngine

Analytic pricing engine for European continuous geometric average-price Asian options under the Heston stochastic-volatility model. Implements the closed-form solution of Kim & Wee, "Pricing of geometric Asian options under Heston's stochastic volatility model", Quantitative Finance 14:10 (2014). summationCutoff and xiRightLimit bound the truncated summation and integration ranges used by the closed form; QuantLib's own defaults are 50 and 100.0.

analyticDiscreteGeometricAveragePriceAsianHestonEngine Source #

Arguments

:: GenHestonProcess hp
-> Double	xiRightLimit
-> IO PricingEngine

Analytic pricing engine for European discrete geometric average-price Asian options under the Heston stochastic-volatility model. Implements the closed-form solution of Kim, Kim, Kim & Wee, "A Recursive Method for Discretely Monitored Geometric Asian Option Prices", Bull. Korean Math. Soc. 53 (2016). xiRightLimit bounds the truncated integration range; QuantLib's own default is 100.0.

mcLookbackFixedEngine Source #

Arguments

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

Monte Carlo pricing engine for continuous fixed-strike lookback options. Exactly one of timeSteps/timeStepsPerYear must be given; the other must be Nothing.

mcLookbackFloatingEngine Source #

Arguments

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

Monte Carlo pricing engine for continuous floating-strike lookback options. Exactly one of timeSteps/timeStepsPerYear must be given; the other must be Nothing.

mcLookbackPartialFixedEngine Source #

Arguments

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

Monte Carlo pricing engine for continuous partial-time fixed-strike lookback options. Exactly one of timeSteps/timeStepsPerYear must be given; the other must be Nothing.

mcLookbackPartialFloatingEngine Source #

Arguments

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

Monte Carlo pricing engine for continuous partial-time floating-strike lookback options. Exactly one of timeSteps/timeStepsPerYear must be given; the other must be Nothing.

analyticDigitalAmericanEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for American digital (cash-or-nothing/asset-or-nothing) options

analyticDigitalAmericanKoEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for American knock-out digital (cash-or-nothing/asset-or-nothing) options

analyticDiscreteGeometricAveragePriceAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for European discrete geometric average-price Asian options

analyticDiscreteGeometricAverageStrikeAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for European discrete geometric average-strike Asian options

turnbullWakemanAsianEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

Turnbull-Wakeman moment-matching pricing engine for discrete arithmetic average-price/-strike Asian options

fdBlackScholesAsianEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> Word	tGrid
-> Word	xGrid
-> Word	aGrid
-> FdmScheme
-> IO PricingEngine

finite-differences Black-Scholes pricing engine for discrete-averaging Asian options

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

analytic pricing engine for European options with discrete dividends

analyticEuropeanEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> Maybe (GenYieldTermStructure y)	discountCurve
-> IO PricingEngine

analytic Black-Scholes pricing engine for European options

analyticPerformanceEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for performance (return) options

forwardEuropeanEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

analytic pricing engine for forward-starting European options; binds the AnalyticEuropeanEngine instantiation of upstream's ForwardVanillaEngine<Engine> template

forwardBaroneAdesiWhaleyEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

Barone-Adesi/Whaley approximation pricing engine for forward-starting American options; binds the BaroneAdesiWhaleyApproximationEngine instantiation of ForwardVanillaEngine<Engine>

forwardBjerksundStenslandEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

Bjerksund/Stensland approximation pricing engine for forward-starting American options; binds the BjerksundStenslandApproximationEngine instantiation of ForwardVanillaEngine<Engine>

forwardFdBlackScholesVanillaEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

finite-differences Black-Scholes pricing engine for forward-starting vanilla options, with the wrapped engine's grid/scheme params fixed at their QuantLib defaults; binds the FdBlackScholesVanillaEngine instantiation of ForwardVanillaEngine<Engine>

mcForwardEuropeanBsEngine Source #

Arguments

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

Monte Carlo pricing engine for forward-starting European options under a Black-Scholes process

mcForwardEuropeanHestonEngine Source #

Arguments

:: RngTrait	rng
-> StatisticsTrait	statistics
-> GenHestonProcess hp	process
-> Maybe Word	timeSteps
-> Maybe Word	timeStepsPerYear
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> Bool	controlVariate
-> IO PricingEngine

Monte Carlo engine for European forwardVanillaOptions under a Heston process. Supply either requiredSamples or requiredTolerance, and use a fixed nonzero seed for reproducible results.

analyticHestonForwardEuropeanEngine Source #

Arguments

:: GenHestonProcess hp
-> Word	integrationOrder
-> IO PricingEngine

analytic pricing engine for forward-starting European options under a Heston process

quantoEuropeanEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> GenYieldTermStructure y	foreignRiskFreeRate
-> GenBlackVolTermStructure bv	exchangeRateVolatility
-> GenQuote q	correlation
-> IO PricingEngine

quanto-adjusts a European vanilla option's price and greeks for a payoff paid in a currency other than the underlying's; binds the VanillaOption/AnalyticEuropeanEngine instantiation of upstream's QuantoEngine<Instr,Engine> template

quantoForwardEuropeanEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> GenYieldTermStructure y	foreignRiskFreeRate
-> GenBlackVolTermStructure bv	exchangeRateVolatility
-> GenQuote q	correlation
-> IO PricingEngine

quanto-adjusts a forward-starting vanilla option; binds the ForwardVanillaOption/ForwardVanillaEngine<AnalyticEuropeanEngine> instantiation of QuantoEngine<Instr,Engine>

quantoForwardPerformanceEuropeanEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> GenYieldTermStructure y	foreignRiskFreeRate
-> GenBlackVolTermStructure bv	exchangeRateVolatility
-> GenQuote q	correlation
-> IO PricingEngine

quanto-adjusts a forward-starting performance (strike-resetting, percentage-payoff) vanilla option; binds the ForwardVanillaOption/ForwardPerformanceVanillaEngine<AnalyticEuropeanEngine> instantiation of QuantoEngine<Instr,Engine>

quantoBarrierEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> GenYieldTermStructure y	foreignRiskFreeRate
-> GenBlackVolTermStructure bv	exchangeRateVolatility
-> GenQuote q	correlation
-> IO PricingEngine

quanto-adjusts a single-barrier option; binds the BarrierOption/AnalyticBarrierEngine instantiation of QuantoEngine<Instr,Engine>

quantoDoubleBarrierEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> GenYieldTermStructure y	foreignRiskFreeRate
-> GenBlackVolTermStructure bv	exchangeRateVolatility
-> GenQuote q	correlation
-> IO PricingEngine

quanto-adjusts a double-barrier option; binds the DoubleBarrierOption/AnalyticDoubleBarrierEngine instantiation of QuantoEngine<Instr,Engine>

Rates and inflation

blackCapFloorEngineFromVolatilityStructure :: GenYieldTermStructure y -> GenOptionletVolatilityStructure ov -> IO PricingEngine Source #

Black-formula cap/floor engine, taking an optionlet volatility structure

blackCapFloorEngine Source #

Arguments

:: GenYieldTermStructure y
-> GenQuote q
-> DayCounter
-> Double	displacement
-> IO PricingEngine

Black-formula cap/floor engine, taking a flat volatility quote

blackSwaptionEngine Source #

Arguments

:: GenYieldTermStructure y
-> GenQuote q
-> DayCounter
-> Double	displacement
-> CashAnnuityModel	model
-> IO PricingEngine

shifted-lognormal Black-formula swaption engine, taking a flat volatility quote

haganIrregularSwaptionEngine :: GenSwaptionVolatilityStructure sv -> Maybe (GenYieldTermStructure y) -> IO PricingEngine Source #

blackSwaptionEngineFromVolatilityStructure :: GenYieldTermStructure y -> GenSwaptionVolatilityStructure sv -> IO PricingEngine Source #

shifted-lognormal Black-formula swaption engine, taking a swaption volatility structure

bachelierCapFloorEngineFromVolatilityStructure :: GenYieldTermStructure y -> GenOptionletVolatilityStructure ov -> IO PricingEngine Source #

Bachelier (normal) cap/floor engine, taking an optionlet volatility structure

bachelierCapFloorEngine :: GenYieldTermStructure y -> GenQuote q -> DayCounter -> IO PricingEngine Source #

Bachelier (normal) cap/floor engine, taking a flat volatility quote

yoyInflationBlackCapFloorEngine Source #

Arguments

:: GenYoYInflationIndex yidx
-> YoYOptionletVolatilitySurface	vol
-> GenYieldTermStructure y	nominalTermStructure
-> IO PricingEngine

Black-formula YoY inflation cap/floor engine. The nominal discount curve and the index's own linked YoYInflationTermStructure are separate -- nominalTermStructure discounts cashflows, while the index forecasts them.

yoyInflationUnitDisplacedBlackCapFloorEngine Source #

Arguments

:: GenYoYInflationIndex yidx
-> YoYOptionletVolatilitySurface	vol
-> GenYieldTermStructure y	nominalTermStructure
-> IO PricingEngine

as yoyInflationBlackCapFloorEngine, but unit-displaced Black

yoyInflationBachelierCapFloorEngine Source #

Arguments

:: GenYoYInflationIndex yidx
-> YoYOptionletVolatilitySurface	vol
-> GenYieldTermStructure y	nominalTermStructure
-> IO PricingEngine

as yoyInflationBlackCapFloorEngine, but Bachelier (normal model)

interpolatingCpiCapFloorEngine :: CPICapFloorTermPriceSurface -> IO PricingEngine Source #

The only CPICapFloor pricing engine in QL 1.43 -- prices purely by interpolating a market price surface, no stochastic-vol model (see that type's own haddock for the CPI/YoY asymmetry).

bachelierSwaptionEngine Source #

Arguments

:: GenYieldTermStructure y
-> GenQuote q
-> DayCounter
-> CashAnnuityModel	model
-> IO PricingEngine

Bachelier (normal) swaption engine, taking a flat volatility quote

bachelierSwaptionEngineFromVolatilityStructure :: GenYieldTermStructure y -> GenSwaptionVolatilityStructure sv -> IO PricingEngine Source #

Bachelier (normal) swaption engine, taking a swaption volatility structure

analyticBsmHullWhiteEngine :: Double -> GeneralizedBlackScholesProcess -> HullWhite -> IO PricingEngine Source #

analytic European option pricer including stochastic interest rates (Black-Scholes-Merton + Hull-White)

analyticCapFloorEngine :: AffineModel -> Maybe (GenYieldTermStructure y) -> IO PricingEngine Source #

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

gaussian1dCapFloorEngine Source #

Arguments

:: Gaussian1dModel
-> Int	integrationPoints
-> Double	stddevs
-> Bool	extrapolatePayoff
-> Bool	flatPayoffExtrapolation
-> Maybe (GenYieldTermStructure y)	discountCurve
-> IO PricingEngine

cap/floor pricing engine for any one-factor Gaussian short-rate model, evaluated by integration over the model's state variable. As gaussian1dSwaptionEngine, without Probabilities.

Equity, stochastic-volatility and exotic products

analyticGjrGarchEngine :: GJRGARCHModel -> IO PricingEngine Source #

analytic pricing engine for vanilla options under a GJR-GARCH process

analyticHestonEngine :: GenHestonModel hm -> IntegrationControl -> IO PricingEngine Source #

Semi-analytic Heston engine with either fixed-order or tolerance-based integration.

analyticHestonHullWhiteEngine :: GenHestonModel hm -> HullWhite -> IntegrationControl -> IO PricingEngine Source #

Semi-analytic Heston/Hull-White engine with fixed-order or tolerance-based integration.

batesEngine :: GenBatesModel bm -> IntegrationControl -> IO PricingEngine Source #

Semi-analytic Bates engine with either fixed-order or tolerance-based integration.

fftVanillaEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> Double	logStrikeSpacing
-> IO PricingEngine

FFT-based pricing engine for vanilla options under a Black-Scholes process

g2SwaptionEngine Source #

Arguments

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

swaption pricing engine for the G2 two-factor short-rate model, priced via the Black formula

jumpDiffusionEngine Source #

Arguments

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

jump-diffusion pricing engine for vanilla options, taking a Merton76 process

treeCapFloorEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine Source #

Numerical-lattice cap/floor engine using either a step count or an explicit grid.

treeSwaptionEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine Source #

Numerical-lattice swaption engine using either a step count or an explicit grid.

treeVanillaSwapEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine Source #

Numerical-lattice vanilla-swap engine using either a step count or an explicit grid.

varianceGammaEngine Source #

Arguments

:: VarianceGammaProcess
-> Double	absoluteError
-> IO PricingEngine

pricing engine for European vanilla options using the Variance Gamma model, integrated numerically

analyticHestonEngineOptimalControlVariate Source #

Arguments

:: Double	t
-> Double	v0
-> Double	kappa
-> Double	theta
-> Double	sigma
-> Double	rho
-> ComplexLogFormula

The complex-logarithm evaluation formula AnalyticHestonEngine would pick for the given maturity and Heston parameters when constructed with ComplexLogFormula left to default to the model's own heuristic (mirrors upstream's asymptotic-characteristic-function threshold).

mcHestonHullWhiteEngine Source #

Arguments

:: RngTrait
-> StatisticsTrait
-> 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 every Monte Carlo engine in this module is C++-templated on both an RNG policy and a statistics accumulator; all of them (bar mcAmericanBasketEngine, see its own doc comment) take an explicit StatisticsTrait argument for the latter, letting the caller pick Statistics/GaussianStatistics/GeneralStatistics/IncrementalStatistics instead of being pinned to upstream's default Statistics.

mcAmericanEngine Source #

Arguments

:: RngTrait
-> StatisticsTrait
-> 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
-> Maybe Bool	antitheticVariateCalibration
-> Maybe Word	seedCalibration
-> IO PricingEngine

Monte Carlo (least-squares) pricing engine for American options

mcBarrierEngine Source #

Arguments

:: RngTrait
-> StatisticsTrait
-> 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

Monte Carlo pricing engine for barrier options

mcDigitalEngine Source #

Arguments

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

Monte Carlo pricing engine for digital (cash-or-nothing/asset-or-nothing) options

mcDiscreteArithmeticApEngine Source #

Arguments

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

Monte Carlo pricing engine for discrete arithmetic average-price Asian options

mcDiscreteArithmeticAsEngine Source #

Arguments

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

Monte Carlo pricing engine for discrete arithmetic average-strike Asian options

mcDiscreteGeometricApEngine Source #

Arguments

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

Monte Carlo pricing engine for discrete geometric average-price Asian options

mcDiscreteArithmeticApHestonEngine Source #

Arguments

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

Monte Carlo pricing engine for discrete arithmetic average-price Asian options under the Heston stochastic-volatility model. Uses one time step per fixing date unless timeSteps or timeStepsPerYear overrides the grid. When controlVariate is true, prices the same path against analyticDiscreteGeometricAveragePriceAsianHestonEngine as a control variate.

mcDiscreteGeometricApHestonEngine Source #

Arguments

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

Monte Carlo pricing engine for discrete geometric average-price Asian options under the Heston stochastic-volatility model. Uses one time step per fixing date unless timeSteps or timeStepsPerYear overrides the grid.

mcEuropeanEngine Source #

Arguments

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

Monte Carlo pricing engine for European options under a Black-Scholes process

mcEuropeanGjrGarchEngine Source #

Arguments

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

Monte Carlo pricing engine for European options under a GJR-GARCH process

mcEuropeanHestonEngine Source #

Arguments

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

Monte Carlo pricing engine for European options under a Heston process

integralHestonVarianceOptionEngine :: GenHestonProcess hp -> IO PricingEngine Source #

Prices a VarianceOption by integrating its payoff against the Heston-model transition density.

mcHullWhiteCapFloorEngine Source #

Arguments

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

Monte Carlo Hull-White pricing engine for caps/floors

mcHimalayaEngine Source #

Arguments

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

Monte Carlo pricing engine for himalayaOption

mcPagodaEngine Source #

Arguments

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

Monte Carlo pricing engine for pagodaOption

mcEuropeanBasketEngine Source #

Arguments

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

Monte Carlo pricing engine for a European basketOption.

mcEverestEngine Source #

Arguments

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

Monte Carlo pricing engine for everestOption. Exactly one of timeSteps/timeStepsPerYear must be given.

mcAmericanBasketEngine Source #

Arguments

:: RngTrait
-> StochasticProcessArray
-> Maybe Word	timeSteps
-> Maybe Word	timeStepsPerYear
-> Bool	brownianBridge
-> Bool	antitheticVariate
-> Maybe Word	requiredSamples
-> Maybe Double	requiredTolerance
-> Maybe Word	maxSamples
-> Word	seed
-> Maybe Word	nCalibrationSamples
-> Word	polynomialOrder
-> PolynomialType	polynomialType
-> IO PricingEngine

Monte Carlo (least-squares) pricing engine for an American basketOption. NB unlike every other MC engine in this module, this one has no StatisticsTrait parameter: upstream's MCAmericanBasketEngine<RNG> is templated on RNG only -- its base MCLongstaffSchwartzEngine<BasketOption::engine,MultiVariate,RNG> never forwards a second template argument, so there is no S to expose here (a real upstream limitation, not an oversight).

mcPerformanceEngine Source #

Arguments

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

Monte Carlo pricing engine for performance (return) options

mcVarianceSwapEngine Source #

Arguments

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

variance-swap pricing engine using Monte Carlo simulation (see the note above mcHestonHullWhiteEngine for the StatisticsTrait parameter shared by every MC engine here).

baroneAdesiWhaleyApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

Barone-Adesi and Whaley (1987) quadratic-approximation engine for American options

batesDetJumpEngine :: BatesDetJumpModel -> IntegrationControl -> IO PricingEngine Source #

Semi-analytic engine for the Bates model with deterministic jumps, with fixed-order or tolerance-based integration.

batesDoubleExpDetJumpEngine :: BatesDoubleExpDetJumpModel -> IntegrationControl -> IO PricingEngine Source #

Semi-analytic engine for the double-exponential-jump Bates model with deterministic jumps, with fixed-order or tolerance-based integration.

batesDoubleExpEngine :: GenBatesDoubleExpModel bdem -> IntegrationControl -> IO PricingEngine Source #

Semi-analytic engine for the double-exponential-jump Bates model, with fixed-order or tolerance-based integration.

bjerksundStenslandApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

Bjerksund and Stensland (1993) approximation engine for American options

qdPlusAmericanEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> Word	interpolationPoints, number of Chebyshev nodes used to interpolate the exercise boundary
-> SolverType	solverType, root-finding method used to locate the exercise boundary
-> Double	eps, solver accuracy
-> Maybe Word	maxIter, solver iteration cap; Nothing uses upstream's default
-> IO PricingEngine

American engine based on the QD+ approximation to the exercise boundary. Mainly a good initial guess for the exercise boundary of qdFpAmericanEngine; usable as a standalone (lower-accuracy) American pricer on its own.

qdFpAmericanEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> QdFpScheme	iterationScheme
-> FixedPointEquation	fpEquation, which fixed-point formulation of the exercise boundary equation to solve
-> IO PricingEngine

High performance/precision American engine based on fixed point iteration for the exercise boundary (Andersen, Lake and Offengenden 2015; Andersen and Lake 2021). QdFpScheme selects one of upstream's three built-in iterationSchemes (FastScheme, AccurateScheme, HighPrecisionScheme), trading speed for accuracy.

continuousArithmeticAsianVecerEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> Maybe (GenQuote q)	currentAverage
-> Day	startDate
-> Word	timeSteps
-> Word	assetSteps
-> Double	zMin
-> Double	zMax
-> IO PricingEngine

Vecer (2001) engine for continuous-averaging arithmetic Asian options, replicating the average by a self-financing strategy in the underlying and solving the resulting PDE on a finite [zMin,zMax] grid; requires zMin <= 0 <= zMax and startDate no earlier than the evaluation date (seasoned Asians are not supported). currentAverage is accepted for parity with upstream's constructor but is not read by the current implementation (only the not-yet-seasoned case is handled), so Nothing is fine.

Credit and spread products

integralCdsEngine Source #

Arguments

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

CDS pricing engine that integrates the default-leg payoff over the CDS's step-wise schedule

integralEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

pricing engine for European vanilla options using an integral approach

isdaCdsEngine Source #

Arguments

:: GenDefaultProbabilityTermStructure d
-> Double	recoveryRate
-> GenYieldTermStructure y
-> Maybe Bool	includeSettlementDateFlows
-> NumericalFix	numericalFix
-> AccrualBias	accrualBias
-> ForwardsInCouponPeriod	forwardsInCouponPeriod
-> IO PricingEngine

CDS pricing engine implementing the ISDA standard model

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

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

gaussian1dSwaptionEngine Source #

Arguments

:: Gaussian1dModel
-> Int	integrationPoints
-> Double	stddevs
-> Bool	extrapolatePayoff
-> Bool	flatPayoffExtrapolation
-> Maybe (GenYieldTermStructure y)	discountCurve
-> Probabilities	probabilities
-> IO PricingEngine

swaption pricing engine for any one-factor Gaussian short-rate model, evaluated by integration over the model's state variable

gaussian1dNonstandardSwaptionEngine Source #

Arguments

:: Gaussian1dModel
-> Int	integrationPoints
-> Double	stddevs
-> Bool	extrapolatePayoff
-> Bool	flatPayoffExtrapolation
-> Maybe (GenQuote q)	oas
-> Maybe (GenYieldTermStructure y)	discountCurve
-> Probabilities	probabilities
-> IO PricingEngine

As gaussian1dSwaptionEngine, for a NonstandardSwaption. Adds an optional OAS (oas, continuously compounded w.r.t. the discount curve's day counter) on top of the shared parameters.

gaussian1dFloatFloatSwaptionEngine Source #

Arguments

:: Gaussian1dModel
-> Int	integrationPoints
-> Double	stddevs
-> Bool	extrapolatePayoff
-> Bool	flatPayoffExtrapolation
-> Maybe (GenQuote q)	oas
-> Maybe (GenYieldTermStructure y)	discountCurve
-> Bool	includeTodaysExercise
-> Probabilities	probabilities
-> IO PricingEngine

As gaussian1dNonstandardSwaptionEngine, for a FloatFloatSwaption. Adds includeTodaysExercise -- whether a fixing due exactly "today" counts as part of the exercise-into leg.

gaussian1dJamshidianSwaptionEngine :: Gaussian1dModel -> IO PricingEngine Source #

swaption pricing engine using Jamshidian's decomposition, for any one-factor Gaussian short-rate model.

juQuadraticApproximationEngine :: GeneralizedBlackScholesProcess -> IO PricingEngine Source #

Ju (1999) quadratic-approximation engine for American options

kirkEngine Source #

Arguments

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

pricing engine for a spread option on two futures/assets

midPointCdsEngine Source #

Arguments

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

CDS pricing engine using the mid-point approximation, evaluating the default leg at the mid-point of each accrual period

midPointCdoEngine Source #

Arguments

:: GenYieldTermStructure y	discountCurve
-> IO PricingEngine

Synthetic CDO tranche pricing engine using the mid-point approximation, evaluating the expected tranche loss at the mid-point of each accrual/protection period. The basket must already have a DefaultLossModel attached.

integralCdoEngine Source #

Arguments

:: GenYieldTermStructure y	discountCurve
-> (Word, TimeUnit)	stepSize
-> IO PricingEngine

Synthetic CDO tranche pricing engine that integrates the expected tranche loss over stepSize-sized steps of the tranche's schedule.

integralNtdEngine Source #

Arguments

:: (Word, TimeUnit)	integrationStep
-> GenYieldTermStructure y	discountCurve
-> IO PricingEngine

Nth-to-default pricing engine that integrates the probability of at least n defaults over integrationStep-sized steps of the underlying basket's copula.

replicatingVarianceSwapEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> Double	dk
-> NonEmpty Double	callStrikes
-> NonEmpty Double	putStrikes
-> IO PricingEngine

variance-swap pricing engine using a replicating portfolio of vanilla options at the given strikes

stulzEngine Source #

Arguments

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

pricing engine for 2D European basket options (Stulz formula)

bjerksundStenslandSpreadEngine Source #

Arguments

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

Bjerksund-Stensland (2014) closed-form pricing engine for a spread option on two futures

operatorSplittingSpreadEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> GeneralizedBlackScholesProcess
-> Double	correlation
-> OperatorSplittingOrder	order, upstream default: `Second`
-> IO PricingEngine

Chi-Fai Lo (2015) operator-splitting-approximation pricing engine for a spread option

pearsonSpreadEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> GeneralizedBlackScholesProcess
-> Double	correlation
-> Double	integrationTolerance, upstream default: 1e-10
-> Word	maxIntegrationIterations, upstream default: 10000
-> Double	nStd, upstream default: 8.0
-> IO PricingEngine

Pearson (1995) 1-D-numerical-integration pricing engine for a spread option

gaussianCopulaSpreadEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> GeneralizedBlackScholesProcess
-> Double	correlation
-> Word	nPoints, upstream default: 64
-> IO PricingEngine

Gaussian-copula nested-Gauss-Hermite-quadrature pricing engine for a spread option with smile-implied marginals

fd2dBlackScholesVanillaEngine Source #

Arguments

:: GeneralizedBlackScholesProcess
-> GeneralizedBlackScholesProcess
-> Double	correlation
-> Word	xGrid, upstream default: 100
-> Word	yGrid, upstream default: 100
-> Word	tGrid, upstream default: 50
-> Word	dampingSteps, upstream default: 0
-> FdmScheme	schemeDesc, upstream default: `Hundsdorfer`
-> Bool	localVol
-> Double	illegalLocalVolOverwrite, upstream default: `-Null<Real>()`
-> IO PricingEngine

two-dimensional finite-differences Black-Scholes basket-option pricing engine

choiBasketEngine Source #

Arguments

:: NonEmpty GeneralizedBlackScholesProcess
-> Matrix Double	correlation matrix rho
-> Double	lambda, upstream default: 10.0
-> Word	maxNrIntegrationSteps, upstream default: unbounded; the C shim takes a 32-bit count
-> Bool	calcfwdDelta
-> Bool	controlVariate
-> IO PricingEngine

Choi (2018) "sum of Black-Scholes-Merton models" pricing engine for a basket option on multiple underlyings, correlated via rho

dengLiZhouBasketEngine Source #

Arguments

:: NonEmpty GeneralizedBlackScholesProcess
-> Matrix Double	correlation matrix rho
-> IO PricingEngine

Deng-Li-Zhou (2008) closed-form-approximation pricing engine for a spread option on multiple underlyings, correlated via rho

fdndimBlackScholesVanillaEngine :: NonEmpty GeneralizedBlackScholesProcess -> Matrix Double -> FdmGrid -> Word -> Word -> FdmScheme -> IO PricingEngine Source #

N-dimensional Black-Scholes finite-difference engine with uniform or per-axis grids.

singleFactorBsmBasketEngine Source #

Arguments

:: NonEmpty GeneralizedBlackScholesProcess
-> Double	xTol, upstream default: `1e4*QL_EPSILON`
-> IO PricingEngine

pricing engine for a basket where all underlyings are driven by one stochastic factor

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

Libor forward model swaption engine, priced via the Black formula

Finite-difference engines

fdG2SwaptionEngine Source #

Arguments

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

finite-differences swaption pricing engine for the G2 two-factor short-rate model

fdHullWhiteSwaptionEngine Source #

Arguments

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

finite-differences swaption pricing engine for the Hull-White short-rate model

binomialVanillaEngine Source #

Arguments

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

pricing engine for vanilla options using binomial trees

fdBlackScholesVanillaEngine :: GeneralizedBlackScholesProcess -> [Dividend] -> Word -> Word -> Word -> FdmScheme -> Bool -> Double -> CashDividendModel -> IO PricingEngine Source #

Finite-difference Black-Scholes vanilla engine; [] selects no-dividend behavior.

fdBlackScholesVanillaEngineQuanto :: GeneralizedBlackScholesProcess -> [Dividend] -> Maybe FdmQuantoHelper -> Word -> Word -> Word -> FdmScheme -> Bool -> Double -> CashDividendModel -> IO PricingEngine Source #

Quanto-adjusted Black-Scholes vanilla engine; [] selects no-dividend behavior.

fdmQuantoHelper Source #

Arguments

:: GenYieldTermStructure y1	rTS
-> GenYieldTermStructure y2	fTS
-> GenBlackVolTermStructure bv	fxVolTS
-> Double	equityFxCorrelation
-> Double	exchRateATMlevel
-> IO FdmQuantoHelper

Snapshots rTSfTSfxVolTS at construction time (their underlying shared_ptrs are copied out of their handles): a later relink of a RelinkableYieldTermStructure or RelinkableBlackVolTermStructure passed in here will not be reflected in this FdmQuantoHelper.

quantoAdjustment Source #

Arguments

:: FdmQuantoHelper
-> Double	equityVol
-> Double	t1
-> Double	t2
-> IO Double

quanto drift adjustment domesticRate - foreignRate + equityFxCorrelation*equityVol*fxVol over [t1,t2]

fdHestonVanillaEngine :: GenHestonModel hm -> [Dividend] -> Word -> Word -> Word -> Word -> FdmScheme -> Maybe (GenLocalVolTermStructure lv) -> Double -> IO PricingEngine Source #

Finite-difference Heston vanilla engine; [] selects no-dividend behavior.

cosHestonEngine Source #

Arguments

:: GenHestonModel hm	model
-> Double	L
-> Word	n
-> IO PricingEngine

Fourier-cosine-series Heston engine for European vanilla options. L controls the truncation range and n the number of cosine terms.

analyticPdfHestonEngine Source #

Arguments

:: GenHestonModel hm	model
-> Double	eps
-> Word	integrationOrder
-> IO PricingEngine

Heston transition-density integration engine for European vanilla options. eps and integrationOrder control Gauss-Lobatto integration accuracy and its iteration limit.

fdBatesVanillaEngine :: GenBatesModel bm -> [Dividend] -> Word -> Word -> Word -> Word -> FdmScheme -> IO PricingEngine Source #

Finite-difference Bates vanilla engine; [] selects no-dividend behavior.

fdBlackScholesShoutEngine :: GeneralizedBlackScholesProcess -> [Dividend] -> Word -> Word -> Word -> FdmScheme -> IO PricingEngine Source #

Finite-difference Black-Scholes shout engine; [] selects no-dividend behavior.

fdHestonVanillaEngineQuanto :: GenHestonModel hm -> [Dividend] -> Maybe FdmQuantoHelper -> Word -> Word -> Word -> Word -> FdmScheme -> Maybe (GenLocalVolTermStructure lv) -> Double -> IO PricingEngine Source #

Quanto-adjusted Heston vanilla engine; [] selects no-dividend behavior.

fdHestonHullWhiteVanillaEngine :: GenHestonModel hm -> HullWhiteProcess -> [Dividend] -> Double -> Word -> Word -> Word -> Word -> Word -> Bool -> FdmScheme -> IO PricingEngine Source #

Heston/Hull-White finite-difference engine; [] selects no-dividend behavior.

Convertible and callable bond engines

binomialConvertibleEngine Source #

Arguments

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

binomial Tsiveriotis-Fernandes pricing engine for convertible bonds

blackCallableFixedRateBondEngineFromVolatilityStructure :: CallableBondVolatilityStructure -> GenYieldTermStructure y -> IO PricingEngine Source #

volatility is the quoted fwd yield volatility, not price vol

blackCallableFixedRateBondEngine :: GenQuote q -> GenYieldTermStructure y -> IO PricingEngine Source #

volatility is the quoted fwd yield volatility, not price vol

blackCallableZeroCouponBondEngineFromVolatilityStructure :: CallableBondVolatilityStructure -> GenYieldTermStructure y -> IO PricingEngine Source #

volatility is the quoted fwd yield volatility, not price vol

blackCallableZeroCouponBondEngine :: GenQuote q -> GenYieldTermStructure y -> IO PricingEngine Source #

volatility is the quoted fwd yield volatility, not price vol

treeCallableFixedRateBondEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine Source #

Callable fixed-rate bond lattice engine using either a step count or an explicit grid.

treeCallableZeroCouponBondEngine :: GenShortRateModel sm -> LatticeTime -> Maybe (GenYieldTermStructure y) -> IO PricingEngine Source #

Callable zero-coupon bond lattice engine using either a step count or an explicit grid.

Black and Bachelier calculators

asBlackCalculator :: GenBlackCalculator bc -> IO BlackCalculator Source #

blackCalculator :: StrikeSpec -> Double -> Double -> Double -> IO BlackCalculator Source #

Black 1976 option-price calculator.

blackScholesCalculator :: StrikeSpec -> Double -> Double -> Double -> Double -> IO BlackScholesCalculator Source #

Black-Scholes-Merton option-price calculator.

bachelierCalculator :: StrikeSpec -> Double -> Double -> Double -> IO BachelierCalculator Source #

Bachelier (normal-model) option-price calculator.

blackDeltaCalculator Source #

Arguments

:: OptionType
-> DeltaType
-> Double	spot
-> Double	dDiscount (domestic discount factor)
-> Double	fDiscount (foreign discount factor)
-> Double	stdDev
-> IO BlackDeltaCalculator

computes the strike given the option's Black-Scholes delta (in an FX-style delta/vol quotation)

Inspectors

Option-calculator capability

class HasOptionCalculator a where Source #

The common Black and Bachelier option-calculator surface. Operations whose inputs differ between the models, such as vanna, remain model-qualified functions.

Methods

alpha :: a -> IO Double Source #

beta :: a -> IO Double Source #

delta :: a -> Double -> IO Double Source #

deltaForward :: a -> IO Double Source #

dividendRho :: a -> Double -> IO Double Source #

elasticity :: a -> Double -> IO Double Source #

elasticityForward :: a -> IO Double Source #

gamma :: a -> Double -> IO Double Source #

gammaForward :: a -> IO Double Source #

itmAssetProbability :: a -> IO Double Source #

itmCashProbability :: a -> IO Double Source #

rho :: a -> Double -> IO Double Source #

strikeSensitivity :: a -> IO Double Source #

strikeGamma :: a -> IO Double Source #

theta :: a -> Double -> Double -> IO Double Source #

thetaPerDay :: a -> Double -> Double -> IO Double Source #

value :: a -> IO Double Source #

vega :: a -> Double -> IO Double Source #

volga :: a -> Double -> IO Double Source #

Instances

Instances details

HasOptionCalculator BachelierCalculator Source #
Instance details Defined in QuantLib.PricingEngine Methods alpha :: BachelierCalculator -> IO Double Source # beta :: BachelierCalculator -> IO Double Source # delta :: BachelierCalculator -> Double -> IO Double Source # deltaForward :: BachelierCalculator -> IO Double Source # dividendRho :: BachelierCalculator -> Double -> IO Double Source # elasticity :: BachelierCalculator -> Double -> IO Double Source # elasticityForward :: BachelierCalculator -> IO Double Source # gamma :: BachelierCalculator -> Double -> IO Double Source # gammaForward :: BachelierCalculator -> IO Double Source # itmAssetProbability :: BachelierCalculator -> IO Double Source # itmCashProbability :: BachelierCalculator -> IO Double Source # rho :: BachelierCalculator -> Double -> IO Double Source # strikeSensitivity :: BachelierCalculator -> IO Double Source # strikeGamma :: BachelierCalculator -> IO Double Source # theta :: BachelierCalculator -> Double -> Double -> IO Double Source # thetaPerDay :: BachelierCalculator -> Double -> Double -> IO Double Source # value :: BachelierCalculator -> IO Double Source # vega :: BachelierCalculator -> Double -> IO Double Source # volga :: BachelierCalculator -> Double -> IO Double Source #
HasOptionCalculator (GenBlackCalculator bc) Source #
Instance details Defined in QuantLib.PricingEngine Methods alpha :: GenBlackCalculator bc -> IO Double Source # beta :: GenBlackCalculator bc -> IO Double Source # delta :: GenBlackCalculator bc -> Double -> IO Double Source # deltaForward :: GenBlackCalculator bc -> IO Double Source # dividendRho :: GenBlackCalculator bc -> Double -> IO Double Source # elasticity :: GenBlackCalculator bc -> Double -> IO Double Source # elasticityForward :: GenBlackCalculator bc -> IO Double Source # gamma :: GenBlackCalculator bc -> Double -> IO Double Source # gammaForward :: GenBlackCalculator bc -> IO Double Source # itmAssetProbability :: GenBlackCalculator bc -> IO Double Source # itmCashProbability :: GenBlackCalculator bc -> IO Double Source # rho :: GenBlackCalculator bc -> Double -> IO Double Source # strikeSensitivity :: GenBlackCalculator bc -> IO Double Source # strikeGamma :: GenBlackCalculator bc -> IO Double Source # theta :: GenBlackCalculator bc -> Double -> Double -> IO Double Source # thetaPerDay :: GenBlackCalculator bc -> Double -> Double -> IO Double Source # value :: GenBlackCalculator bc -> IO Double Source # vega :: GenBlackCalculator bc -> Double -> IO Double Source # volga :: GenBlackCalculator bc -> Double -> IO Double Source #

Calculator sensitivities

blackVanna Source #

Arguments

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

Sensitivity of vega to spot (Vanna).

blackScholesDelta :: BlackScholesCalculator -> IO Double Source #

Sensitivity to change in the underlying spot price.

blackScholesElasticity :: BlackScholesCalculator -> IO Double Source #

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

blackScholesGamma :: BlackScholesCalculator -> IO Double Source #

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

blackScholesTheta Source #

Arguments

:: BlackScholesCalculator
-> Double	maturity
-> IO Double

Sensitivity to time to maturity.

blackScholesThetaPerDay Source #

Arguments

:: BlackScholesCalculator
-> Double	maturity
-> IO Double

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

bachelierVanna Source #

Arguments

:: BachelierCalculator
-> Double	maturity
-> IO Double

Sensitivity of vega to spot (Vanna).

Formulae, probabilities and SABR helpers

deltaFromStrike Source #

Arguments

:: BlackDeltaCalculator
-> Double	strike
-> IO Double

the option delta under the calculator's chosen convention, for the given strike

strikeFromDelta Source #

Arguments

:: BlackDeltaCalculator
-> Double	delta
-> IO Double

the strike price corresponding to the given option delta (under the calculator's chosen convention)

atmStrike :: BlackDeltaCalculator -> AtmType -> IO Double Source #

the at-the-money strike under the given ATM convention, independent of the strike passed at construction

blackFormula Source #

Arguments

:: OptionType
-> Double	strike
-> 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)

blackCashItmProbability Source #

Arguments

:: OptionType
-> Double
-> 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)

blackImpliedStdDev Source #

Arguments

:: OptionType
-> Double	strike
-> 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)

blackImpliedStdDevApproximation Source #

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 Source #

Arguments

:: Double	strike
-> Double	forward
-> Double	stdDev
-> 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)

blackVolDerivative Source #

Arguments

:: Double	strike
-> Double	forward
-> Double	stdDev
-> Double	expiry
-> 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%

bachelierBlackFormula Source #

Arguments

:: OptionType
-> Double	strike
-> 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)

blackForwardDerivative Source #

Arguments

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

Black 1976 formula for the derivative with respect to the forward. Warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackImpliedStdDevChambers Source #

Arguments

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

Approximated Black 1976 implied standard deviation following Chambers and Nawalkha, The Financial Review 2001, 89-100. The at-the-money option price must be known to use this method.

blackImpliedStdDevApproximationRs Source #

Arguments

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

Approximated Black 1976 implied standard deviation following Radoicic and Stefanica, An Explicit Implicit Volatility Formula

blackImpliedStdDevLiRs Source #

Arguments

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

Black 1976 implied standard deviation by the Li-Rational-Substitution solver, started from the Radoicic-Stefanica approximation. Pass Nothing for the guess to let QuantLib pick the starting point.

blackAssetItmProbability Source #

Arguments

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

Black 1976 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.

blackStdDevSecondDerivative Source #

Arguments

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

Black 1976 formula for the second derivative with respect to the standard deviation. Warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

bachelierForwardDerivative Source #

Arguments

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

Bachelier formula for the derivative with respect to the forward. Warning the Bachelier model needs absolute volatility, not percentage volatility; standard deviation is absoluteVolatility*sqrt(timeToMaturity)

bachelierImpliedVol Source #

Arguments

:: OptionType
-> Double	strike
-> Double	forward
-> Double	tte
-> Double	bachelierPrice
-> Double	discount
-> IO Double

Bachelier implied (absolute) volatility by the analytic formula of Jaeckel (2017), Implied Normal Volatility. Unlike the Black implied-standard-deviation functions this takes the time to expiry and returns a volatility, not a standard deviation.

bachelierImpliedVolChoi Source #

Arguments

:: OptionType
-> Double	strike
-> Double	forward
-> Double	tte
-> Double	bachelierPrice
-> Double	discount
-> IO Double

Bachelier implied (absolute) volatility by the analytic approximation of Choi, Kim and Kwak (2009). Unlike the Black implied-standard-deviation functions this takes the time to expiry and returns a volatility, not a standard deviation.

bachelierStdDevDerivative Source #

Arguments

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

Bachelier formula for the standard deviation derivative. Warning it returns the derivative with respect to the standard deviation; Bachelier vega is this times sqrt(T).

bachelierAssetItmProbability Source #

Arguments

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

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

defaultThetaPerDay Source #

Arguments

:: Double	theta
-> IO Double

default theta-per-day calculation

unsafeSabrLogNormalVolatility Source #

Arguments

:: Double	strike
-> Double	forward
-> Double	expiryTime
-> Double	alpha
-> Double	beta
-> Double	nu
-> Double	rho
-> IO Double

lognormal SABR volatility, no validity checks on the parameters

unsafeShiftedSabrVolatility Source #

Arguments

:: Double	strike
-> Double	forward
-> Double	expiryTime
-> Double	alpha
-> Double	beta
-> Double	nu
-> Double	rho
-> Double	shift
-> VolatilityType	volatilityType
-> IO Double

shifted SABR volatility (lognormal or normal), no validity checks on the parameters

unsafeSabrNormalVolatility Source #

Arguments

:: Double	strike
-> Double	forward
-> Double	expiryTime
-> Double	alpha
-> Double	beta
-> Double	nu
-> Double	rho
-> IO Double

normal SABR volatility, no validity checks on the parameters

unsafeSabrVolatility Source #

Arguments

:: Double	strike
-> Double	forward
-> Double	expiryTime
-> Double	alpha
-> Double	beta
-> Double	nu
-> Double	rho
-> VolatilityType	volatilityType
-> IO Double

SABR volatility (lognormal or normal), no validity checks on the parameters

sabrVolatility Source #

Arguments

:: Double	strike
-> Double	forward
-> Double	expiryTime
-> Double	alpha
-> Double	beta
-> Double	nu
-> Double	rho
-> VolatilityType	volatilityType
-> IO Double

SABR volatility (lognormal or normal), with validity checks on the parameters

shiftedSabrVolatility Source #

Arguments

:: Double	strike
-> Double	forward
-> Double	expiryTime
-> Double	alpha
-> Double	beta
-> Double	nu
-> Double	rho
-> Double	shift
-> VolatilityType	volatilityType
-> IO Double

shifted SABR volatility (lognormal or normal), with validity checks on the parameters

sabrFlochKennedyVolatility Source #

Arguments

:: Double	strike
-> Double	forward
-> Double	expiryTime
-> Double	alpha
-> Double	beta
-> Double	nu
-> Double	rho
-> IO Double

lognormal SABR volatility using the Floc'h-Kennedy formula, with validity checks on the parameters

validateSabrParameters Source #

Arguments

:: Double	alpha
-> Double	beta
-> Double	nu
-> Double	rho
-> IO ()

validate SABR parameters, throwing if they are not acceptable

sabrGuess Source #

Arguments

:: Double	k_m
-> Double	vol_m
-> Double	k_0
-> Double	vol_0
-> Double	k_p
-> Double	vol_p
-> Double	forward
-> Double	expiryTime
-> Double	beta
-> Double	shift
-> VolatilityType	volatilityType
-> IO [Double]

initial guess (alpha, beta, nu, rho) for SABR calibration, per Le Floc'h and Kennedy