Safe Haskell	None
Language	Haskell2010

QuantLib.Quote

Synopsis

type Quote = GenQuote CQuote
type SimpleQuote = GenQuote CSimpleQuote
data GenQuote a
asQuote :: GenQuote a -> IO Quote
data PriceType
- = Bid
- | Ask
- | Last
- | Close
- | Mid
- | MidEquivalent
- | MidSafe
data IntervalPriceType
data AtmType
- = AtmNull
- | AtmSpot
- | AtmFwd
- | AtmDeltaNeutral
- | AtmVegaMax
- | AtmGammaMax
- | AtmPutCall50
data DeltaType
- = Spot
- | Fwd
- | PaSpot
- | PaFwd
simpleQuote :: Double -> IO SimpleQuote
value :: GenQuote a -> IO Double
isValid :: GenQuote a -> IO Bool
setValue :: SimpleQuote -> Double -> IO Double
eurodollarFuturesImpliedStdDevQuote :: GenQuote a -> GenQuote b -> GenQuote c -> Double -> Double -> Double -> Word -> IO Quote
forwardSwapQuote :: GenSwapIndex b -> GenQuote a -> (Int, TimeUnit) -> IO Quote
forwardValueQuote :: GenIndex a -> Day -> IO Quote
futuresConvAdjustmentQuote' :: GenIborIndex i -> String -> GenQuote a -> GenQuote b -> GenQuote c -> IO Quote
futuresConvAdjustmentQuote :: GenIborIndex i -> Day -> GenQuote a -> GenQuote b -> GenQuote c -> IO Quote
impliedStdDevQuote :: OptionType -> GenQuote a -> GenQuote b -> Double -> Double -> Double -> Word -> IO Quote
lastFixingQuote :: GenIndex a -> IO Quote

Documentation

type Quote = GenQuote CQuote #

type SimpleQuote = GenQuote CSimpleQuote #

data GenQuote a #

asQuote :: GenQuote a -> IO Quote #

data PriceType #

Constructors

Bid
Ask
Last
Close
Mid
MidEquivalent
MidSafe

Instances

Instances details

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

data IntervalPriceType #

Constructors

IntervalPriceOpen
IntervalPriceClose
IntervalPriceHigh
IntervalPriceLow

Instances

Instances details

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

data AtmType #

Constructors

AtmNull
AtmSpot
AtmFwd
AtmDeltaNeutral
AtmVegaMax
AtmGammaMax
AtmPutCall50

Instances

Instances details

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

data DeltaType #

Constructors

Spot
Fwd
PaSpot
PaFwd

Instances

Instances details

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

simpleQuote :: Double -> IO SimpleQuote #

market element returning a stored value

value :: GenQuote a -> IO Double #

Returns the current value of the given Quote object

isValid :: GenQuote a -> IO Bool #

setValue :: SimpleQuote -> Double -> IO Double #

returns the difference between the new value and the old value NB The change will propagate to all users of the quote

eurodollarFuturesImpliedStdDevQuote #

Arguments

:: GenQuote a	forward
-> GenQuote b	callPrice
-> GenQuote c	putPrice
-> Double	strike
-> Double	guess
-> Double	accuracy
-> Word	maxIter
-> IO Quote

forwardSwapQuote #

Arguments

:: GenSwapIndex b
-> GenQuote a	spread
-> (Int, TimeUnit)	fwdStart
-> IO Quote

forwardValueQuote :: GenIndex a -> Day -> IO Quote #

futuresConvAdjustmentQuote' #

Arguments

:: GenIborIndex i
-> String	immCode
-> GenQuote a	futuresQuote
-> GenQuote b	volatility
-> GenQuote c	meanReversion
-> IO Quote

futuresConvAdjustmentQuote #

Arguments

:: GenIborIndex i
-> Day	futuresDate
-> GenQuote a	futuresQuote
-> GenQuote b	volatility
-> GenQuote c	meanReversion
-> IO Quote

impliedStdDevQuote #

Arguments

:: OptionType
-> GenQuote a	forward
-> GenQuote b	price
-> Double
-> Double	guess
-> Double	accuracy
-> Word	maxIter
-> IO Quote

lastFixingQuote :: GenIndex a -> IO Quote #

returns true if the Quote holds a valid value