Safe Haskell	None
Language	Haskell2010

QuantLib.Process

Synopsis

data ProcessDiscretization
- = EulerDiscretization
- | EndEulerDiscretization
data ExtendedBlackScholesMertonProcessDiscretization
- = ExtendedBSMEuler
- | Milstein
- | PredictorCorrector
data HestonProcessDiscretization
- = HestonPartialTruncation
- | HestonFullTruncation
- | HestonReflection
- | NonCentralChiSquareVariance
- | QuadraticExponential
- | QuadraticExponentialMartingale
- | BroadieKayaExactSchemeLobatto
- | BroadieKayaExactSchemeLaguerre
- | BroadieKayaExactSchemeTrapezoidal
data GJRGARCHProcessDiscretization
- = GJRGARCHPartialTruncation
- | GJRGARCHFullTruncation
- | GJRGARCHReflection
data HybridHestonHullWhiteProcessDiscretization
- = HybridHestonHullWhiteEuler
- | BSMHullWhite
type GeneralizedBlackScholesProcess = GenGeneralizedBlackScholesProcess CGeneralizedBlackScholesProcess
type StochasticProcess1D = GenStochasticProcess1D CStochasticProcess1D
type GenStochasticProcess1D a = GenStochasticProcess (AnyOf CStochasticProcess1D' a)
type StochasticProcess = GenStochasticProcess CStochasticProcess
data GenStochasticProcess a
type BlackProcess = GenGeneralizedBlackScholesProcess CBlackProcess
type ExtOUWithJumpsProcess = GenStochasticProcess CExtOUWithJumpsProcess
type ExtendedOrnsteinUhlenbeckProcess = GenStochasticProcess1D CExtendedOrnsteinUhlenbeckProcess
type GJRGARCHProcess = GenStochasticProcess CGJRGARCHProcess
type HestonProcess = GenHestonProcess CHestonProcess
type GenHestonProcess a = GenStochasticProcess (AnyOf CHestonProcess' a)
type BatesProcess = GenHestonProcess CBatesProcess
type HybridHestonHullWhiteProcess = GenStochasticProcess CHybridHestonHullWhiteProcess
type KlugeExtOUProcess = GenStochasticProcess CKlugeExtOUProcess
type LiborForwardModelProcess = GenStochasticProcess CLiborForwardModelProcess
type StochasticProcessArray = GenStochasticProcess CStochasticProcessArray
type VarianceGammaProcess = GenStochasticProcess1D CVarianceGammaProcess
type Merton76Process = GenStochasticProcess1D CMerton76Process
type HullWhiteProcess = GenStochasticProcess1D CHullWhiteProcess
type HullWhiteForwardProcess = GenStochasticProcess1D CHullWhiteForwardProcess
asStochasticProcess :: GenStochasticProcess a -> IO StochasticProcess
asStochasticProcess1D :: GenStochasticProcess1D a -> IO StochasticProcess1D
asGeneralizedBlackScholesProcess :: GenGeneralizedBlackScholesProcess a -> IO GeneralizedBlackScholesProcess
asHestonProcess :: GenHestonProcess a -> IO HestonProcess
blackProcess :: GenQuote a -> GenYieldTermStructure b -> GenBlackVolTermStructure c -> ProcessDiscretization -> IO BlackProcess
blackScholesMertonProcess :: GenQuote a -> GenYieldTermStructure b -> GenYieldTermStructure c -> GenBlackVolTermStructure d -> ProcessDiscretization -> IO GeneralizedBlackScholesProcess
blackScholesProcess :: GenQuote a -> GenYieldTermStructure b -> GenBlackVolTermStructure c -> ProcessDiscretization -> IO GeneralizedBlackScholesProcess
extendedBlackScholesMertonProcess :: GenQuote a -> GenYieldTermStructure b -> GenYieldTermStructure c -> GenBlackVolTermStructure d -> ProcessDiscretization -> ExtendedBlackScholesMertonProcessDiscretization -> IO GeneralizedBlackScholesProcess
garmanKohlagenProcess :: GenQuote a -> GenYieldTermStructure b -> GenYieldTermStructure c -> GenBlackVolTermStructure d -> ProcessDiscretization -> IO GeneralizedBlackScholesProcess
generalizedBlackScholesProcess :: GenQuote a -> GenYieldTermStructure b -> GenYieldTermStructure c -> GenBlackVolTermStructure d -> ProcessDiscretization -> IO GeneralizedBlackScholesProcess
squareRootProcess :: Double -> Double -> Double -> Double -> ProcessDiscretization -> IO StochasticProcess1D
vegaStressedBlackScholesProcess :: GenQuote a -> GenYieldTermStructure b -> GenYieldTermStructure c -> GenBlackVolTermStructure d -> Double -> Double -> Double -> Double -> Double -> ProcessDiscretization -> IO GeneralizedBlackScholesProcess
batesProcess :: GenYieldTermStructure b -> GenYieldTermStructure c -> GenQuote a -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> HestonProcessDiscretization -> IO BatesProcess
extOUWithJumpsProcess :: ExtendedOrnsteinUhlenbeckProcess -> Double -> Double -> Double -> Double -> IO ExtOUWithJumpsProcess
g2ForwardProcess :: Double -> Double -> Double -> Double -> Double -> IO StochasticProcess
g2Process :: Double -> Double -> Double -> Double -> Double -> IO StochasticProcess
gemanRoncoroniProcess :: Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> IO StochasticProcess1D
geometricBrownianMotionProcess :: Double -> Double -> Double -> IO StochasticProcess1D
gjrGARCHProcess :: GenYieldTermStructure b -> GenYieldTermStructure c -> GenQuote a -> Double -> Double -> Double -> Double -> Double -> Double -> Double -> GJRGARCHProcessDiscretization -> IO GJRGARCHProcess
hestonProcess :: GenYieldTermStructure b -> GenYieldTermStructure c -> GenQuote a -> Double -> Double -> Double -> Double -> Double -> HestonProcessDiscretization -> IO HestonProcess
hullWhiteForwardProcess :: GenYieldTermStructure a -> Double -> Double -> IO HullWhiteForwardProcess
hullWhiteProcess :: GenYieldTermStructure a -> Double -> Double -> IO HullWhiteProcess
hybridHestonHullWhiteProcess :: GenHestonProcess a -> HullWhiteForwardProcess -> Double -> HybridHestonHullWhiteProcessDiscretization -> IO HybridHestonHullWhiteProcess
klugeExtOUProcess :: Double -> ExtOUWithJumpsProcess -> ExtendedOrnsteinUhlenbeckProcess -> IO KlugeExtOUProcess
liborForwardModelProcess :: Word -> GenIborIndex a -> IO LiborForwardModelProcess
merton76Process :: GenQuote a -> GenYieldTermStructure b -> GenYieldTermStructure c -> GenBlackVolTermStructure d -> GenQuote b -> GenQuote c -> GenQuote d -> ProcessDiscretization -> IO Merton76Process
ornsteinUhlenbeckProcess :: Double -> Double -> Double -> Double -> IO StochasticProcess1D
varianceGammaProcess :: GenQuote a -> GenYieldTermStructure b -> GenYieldTermStructure c -> Double -> Double -> Double -> IO VarianceGammaProcess
stochasticProcessArray :: [GenStochasticProcess1D p] -> Matrix Double -> IO StochasticProcessArray
blackScholesTheta :: GeneralizedBlackScholesProcess -> Double -> Double -> Double -> IO Double

Documentation

data ProcessDiscretization #

Constructors

EulerDiscretization
EndEulerDiscretization

Instances

Instances details

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

data ExtendedBlackScholesMertonProcessDiscretization #

Constructors

ExtendedBSMEuler
Milstein
PredictorCorrector

Instances

Instances details

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

data HestonProcessDiscretization #

Constructors

HestonPartialTruncation
HestonFullTruncation
HestonReflection
NonCentralChiSquareVariance
QuadraticExponential
QuadraticExponentialMartingale
BroadieKayaExactSchemeLobatto
BroadieKayaExactSchemeLaguerre
BroadieKayaExactSchemeTrapezoidal

Instances

Instances details

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

data GJRGARCHProcessDiscretization #

Constructors

GJRGARCHPartialTruncation
GJRGARCHFullTruncation
GJRGARCHReflection

Instances

Instances details

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

data HybridHestonHullWhiteProcessDiscretization #

Constructors

HybridHestonHullWhiteEuler
BSMHullWhite

Instances

Instances details

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

type GeneralizedBlackScholesProcess = GenGeneralizedBlackScholesProcess CGeneralizedBlackScholesProcess #

type StochasticProcess1D = GenStochasticProcess1D CStochasticProcess1D #

type GenStochasticProcess1D a = GenStochasticProcess (AnyOf CStochasticProcess1D' a) #

type StochasticProcess = GenStochasticProcess CStochasticProcess #

data GenStochasticProcess a #

type BlackProcess = GenGeneralizedBlackScholesProcess CBlackProcess #

type ExtOUWithJumpsProcess = GenStochasticProcess CExtOUWithJumpsProcess #

type ExtendedOrnsteinUhlenbeckProcess = GenStochasticProcess1D CExtendedOrnsteinUhlenbeckProcess #

type GJRGARCHProcess = GenStochasticProcess CGJRGARCHProcess #

type HestonProcess = GenHestonProcess CHestonProcess #

type GenHestonProcess a = GenStochasticProcess (AnyOf CHestonProcess' a) #

type BatesProcess = GenHestonProcess CBatesProcess #

type HybridHestonHullWhiteProcess = GenStochasticProcess CHybridHestonHullWhiteProcess #

type KlugeExtOUProcess = GenStochasticProcess CKlugeExtOUProcess #

type LiborForwardModelProcess = GenStochasticProcess CLiborForwardModelProcess #

type StochasticProcessArray = GenStochasticProcess CStochasticProcessArray #

type VarianceGammaProcess = GenStochasticProcess1D CVarianceGammaProcess #

type Merton76Process = GenStochasticProcess1D CMerton76Process #

type HullWhiteProcess = GenStochasticProcess1D CHullWhiteProcess #

type HullWhiteForwardProcess = GenStochasticProcess1D CHullWhiteForwardProcess #

asStochasticProcess :: GenStochasticProcess a -> IO StochasticProcess #

asStochasticProcess1D :: GenStochasticProcess1D a -> IO StochasticProcess1D #

asGeneralizedBlackScholesProcess :: GenGeneralizedBlackScholesProcess a -> IO GeneralizedBlackScholesProcess #

asHestonProcess :: GenHestonProcess a -> IO HestonProcess #

blackProcess #

Arguments

:: GenQuote a	x0
-> GenYieldTermStructure b	riskFreeTS
-> GenBlackVolTermStructure c	blackVolTS
-> ProcessDiscretization
-> IO BlackProcess

blackScholesMertonProcess #

Arguments

:: GenQuote a	x0
-> GenYieldTermStructure b	dividendTS
-> GenYieldTermStructure c	riskFreeTS
-> GenBlackVolTermStructure d	blackVolTS
-> ProcessDiscretization
-> IO GeneralizedBlackScholesProcess

blackScholesProcess #

Arguments

:: GenQuote a	x0
-> GenYieldTermStructure b	riskFreeTS
-> GenBlackVolTermStructure c	blackVolTS
-> ProcessDiscretization
-> IO GeneralizedBlackScholesProcess

extendedBlackScholesMertonProcess #

Arguments

:: GenQuote a	x0
-> GenYieldTermStructure b	dividendTS
-> GenYieldTermStructure c	rsikFreeTS
-> GenBlackVolTermStructure d	blackVolTS
-> ProcessDiscretization
-> ExtendedBlackScholesMertonProcessDiscretization
-> IO GeneralizedBlackScholesProcess

garmanKohlagenProcess #

Arguments

:: GenQuote a
-> GenYieldTermStructure b	foreignRiskFreeTS
-> GenYieldTermStructure c	domesticRiskFreeTS
-> GenBlackVolTermStructure d	blackVolTS
-> ProcessDiscretization
-> IO GeneralizedBlackScholesProcess

generalizedBlackScholesProcess #

Arguments

:: GenQuote a	x0
-> GenYieldTermStructure b	dividendTS
-> GenYieldTermStructure c	riskFreeTS
-> GenBlackVolTermStructure d	blackVolTS
-> ProcessDiscretization
-> IO GeneralizedBlackScholesProcess

squareRootProcess #

Arguments

:: Double	b
-> Double	a
-> Double	sigma
-> Double	x0
-> ProcessDiscretization
-> IO StochasticProcess1D

vegaStressedBlackScholesProcess #

Arguments

:: GenQuote a
-> GenYieldTermStructure b	dividendTS
-> GenYieldTermStructure c	riskFreeTS
-> GenBlackVolTermStructure d	blackVolTS
-> Double	lowerTimeBorderForStressTest
-> Double	upperTimeBorderForStressTest
-> Double	lowerAssetBorderForStressTest
-> Double	upperAssetBorderForStressTest
-> Double	stressLevel
-> ProcessDiscretization
-> IO GeneralizedBlackScholesProcess

batesProcess #

Arguments

:: GenYieldTermStructure b	riskFreeTS
-> GenYieldTermStructure c	dividendYield
-> GenQuote a	s0
-> Double	v0
-> Double	kappa
-> Double	theta
-> Double	sigma
-> Double	rho
-> Double	lambda
-> Double	nu
-> Double	delta
-> HestonProcessDiscretization
-> IO BatesProcess

extOUWithJumpsProcess #

Arguments

:: ExtendedOrnsteinUhlenbeckProcess
-> Double	Y0
-> Double	beta
-> Double	jumpIntensity
-> Double	eta
-> IO ExtOUWithJumpsProcess

g2ForwardProcess #

Arguments

:: Double	a
-> Double	sigma
-> Double	b
-> Double	eta
-> Double	rho
-> IO StochasticProcess

g2Process #

Arguments

:: Double	a
-> Double	sigma
-> Double	b
-> Double	eta
-> Double	rho
-> IO StochasticProcess

gemanRoncoroniProcess #

Arguments

:: Double	x0
-> Double	alpha
-> Double	beta
-> Double	gamma
-> Double	delta
-> Double	eps
-> Double	zeta
-> Double	d
-> Double	d
-> Double	tau
-> Double	sig2
-> Double	a
-> Double	b
-> Double	theta1
-> Double	theta2
-> Double	theta3
-> Double	psi
-> IO StochasticProcess1D

geometricBrownianMotionProcess #

Arguments

:: Double	initialValue
-> Double	mue
-> Double	sigma
-> IO StochasticProcess1D

gjrGARCHProcess #

Arguments

:: GenYieldTermStructure b	riskFreeRate
-> GenYieldTermStructure c	dividendYield
-> GenQuote a	s0
-> Double	v0
-> Double
-> Double	alpha
-> Double	beta
-> Double	gamma
-> Double	lambda
-> Double	daysPerYear
-> GJRGARCHProcessDiscretization
-> IO GJRGARCHProcess

hestonProcess #

Arguments

:: GenYieldTermStructure b	riskFreeRate
-> GenYieldTermStructure c
-> GenQuote a	s0
-> Double	v0
-> Double	kappa
-> Double	theta
-> Double	sigma
-> Double	rho
-> HestonProcessDiscretization
-> IO HestonProcess

hullWhiteForwardProcess #

Arguments

:: GenYieldTermStructure a	h
-> Double	a
-> Double	sigma
-> IO HullWhiteForwardProcess

hullWhiteProcess #

Arguments

:: GenYieldTermStructure a	h
-> Double	a
-> Double	sigma
-> IO HullWhiteProcess

hybridHestonHullWhiteProcess #

Arguments

:: GenHestonProcess a
-> HullWhiteForwardProcess
-> Double	corrEquityShortRate
-> HybridHestonHullWhiteProcessDiscretization
-> IO HybridHestonHullWhiteProcess

klugeExtOUProcess #

Arguments

:: Double	rho
-> ExtOUWithJumpsProcess
-> ExtendedOrnsteinUhlenbeckProcess
-> IO KlugeExtOUProcess

liborForwardModelProcess #

Arguments

:: Word	size
-> GenIborIndex a
-> IO LiborForwardModelProcess

merton76Process #

Arguments

:: GenQuote a	stateVariable
-> GenYieldTermStructure b	dividendTS
-> GenYieldTermStructure c	riskFreeTS
-> GenBlackVolTermStructure d	blackVolTS
-> GenQuote b	jumpInt
-> GenQuote c	logJMean
-> GenQuote d	logJVol
-> ProcessDiscretization
-> IO Merton76Process

ornsteinUhlenbeckProcess #

Arguments

:: Double	speed
-> Double	vol
-> Double	x0
-> Double	vol
-> IO StochasticProcess1D

varianceGammaProcess #

Arguments

:: GenQuote a	s0
-> GenYieldTermStructure b	dividendYield
-> GenYieldTermStructure c	riskFreeRate
-> Double	sigma
-> Double	nu
-> Double	theta
-> IO VarianceGammaProcess

stochasticProcessArray #

Arguments

:: [GenStochasticProcess1D p]
-> Matrix Double	correlation
-> IO StochasticProcessArray

blackScholesTheta #

Arguments

:: GeneralizedBlackScholesProcess
-> Double	value
-> Double	delta
-> Double	gamma
-> IO Double

default theta calculation for Black-Scholes options