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Language	Haskell2010

QuantLib.TermStructure.Volatility

Synopsis

data BlackVarianceSurfaceExtrapolation
data ExtendedBlackVarianceSurfaceExtrapolation
type BlackVarianceCurve = GenBlackVolTermStructure CBlackVarianceCurve
type BlackVolTermStructure = GenBlackVolTermStructure CBlackVolTermStructure
type GenBlackVolTermStructure a = GenVolatilityTermStructure (AnyOf CBlackVolTermStructure' a)
type CallableBondVolatilityStructure = GenTermStructure CCallableBondVolatilityStructure
type CapFloorTermVolSurface = GenVolatilityTermStructure CCapFloorTermVolSurface
type LocalVolTermStructure = GenVolatilityTermStructure CLocalVolTermStructure
type OptionletVolatilityStructure = GenVolatilityTermStructure COptionletVolatilityStructure
data SmileSection
type SwaptionVolatilityStructure = GenVolatilityTermStructure CSwaptionVolatilityStructure
type VolatilityTermStructure = GenVolatilityTermStructure CVolatilityTermStructure
type GenVolatilityTermStructure a = GenTermStructure (AnyOf CVolatilityTermStructure' a)
asVolatilityTermStructure :: GenVolatilityTermStructure a -> IO VolatilityTermStructure
asBlackVolTermStructure :: GenBlackVolTermStructure a -> IO BlackVolTermStructure
localVolSurface :: GenBlackVolTermStructure v -> GenYieldTermStructure b -> GenYieldTermStructure c -> GenQuote a -> IO LocalVolTermStructure
constantOptionletVolatility :: Day -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO OptionletVolatilityStructure
constantOptionletVolatility' :: Word -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO OptionletVolatilityStructure
impliedVolTermStructure :: GenBlackVolTermStructure a -> Day -> IO BlackVolTermStructure
blackConstantVol' :: Word -> Calendar -> GenQuote a -> DayCounter -> IO BlackVolTermStructure
blackConstantVol :: Day -> Calendar -> GenQuote a -> DayCounter -> IO BlackVolTermStructure
constantSwaptionVolatility' :: Day -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO SwaptionVolatilityStructure
constantSwaptionVolatility :: Word -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO SwaptionVolatilityStructure
blackVarianceForPeriod' :: SwaptionVolatilityStructure -> Day -> (Word, TimeUnit) -> Double -> Bool -> IO Double
blackVarianceForPeriod :: SwaptionVolatilityStructure -> Double -> (Word, TimeUnit) -> Double -> Bool -> IO Double
blackVarianceForTenor :: SwaptionVolatilityStructure -> (Word, TimeUnit) -> Double -> Double -> Bool -> IO Double
blackVariance' :: SwaptionVolatilityStructure -> Day -> Double -> Double -> Bool -> IO Double
blackVariance :: SwaptionVolatilityStructure -> Double -> Double -> Double -> Bool -> IO Double
blackVarianceForPeriods :: SwaptionVolatilityStructure -> (Word, TimeUnit) -> (Word, TimeUnit) -> Double -> Bool -> IO Double
maxSwapLength :: SwaptionVolatilityStructure -> IO Double
maxSwapTenor :: SwaptionVolatilityStructure -> IO (Int, TimeUnit)
smileSectionForPeriod' :: SwaptionVolatilityStructure -> Day -> (Word, TimeUnit) -> Bool -> IO SmileSection
smileSectionForPeriod :: SwaptionVolatilityStructure -> Double -> (Word, TimeUnit) -> Bool -> IO SmileSection
smileSectionForTenor :: SwaptionVolatilityStructure -> (Word, TimeUnit) -> Double -> Bool -> IO SmileSection
smileSection' :: SwaptionVolatilityStructure -> Day -> Double -> Bool -> IO SmileSection
smileSection :: SwaptionVolatilityStructure -> Double -> Double -> Bool -> IO SmileSection
smileSectionForPeriods :: SwaptionVolatilityStructure -> (Word, TimeUnit) -> (Word, TimeUnit) -> Bool -> IO SmileSection
swapLength' :: SwaptionVolatilityStructure -> Day -> Day -> IO Double
swapLength :: SwaptionVolatilityStructure -> (Word, TimeUnit) -> IO Double
volatilityForPeriod' :: SwaptionVolatilityStructure -> Day -> (Word, TimeUnit) -> Double -> Bool -> IO Double
volatilityForPeriod :: SwaptionVolatilityStructure -> Double -> (Word, TimeUnit) -> Double -> Bool -> IO Double
volatilityForTenor :: SwaptionVolatilityStructure -> (Word, TimeUnit) -> Double -> Double -> Bool -> IO Double
volatilityForTenor' :: SwaptionVolatilityStructure -> Day -> Double -> Double -> Bool -> IO Double
volatility :: SwaptionVolatilityStructure -> Double -> Double -> Double -> Bool -> IO Double
volatilityForPeriods :: SwaptionVolatilityStructure -> (Word, TimeUnit) -> (Word, TimeUnit) -> Double -> Bool -> IO Double
callableBondConstantVolatility' :: Word -> Calendar -> GenQuote a -> DayCounter -> IO CallableBondVolatilityStructure
callableBondConstantVolatility :: Day -> GenQuote a -> DayCounter -> IO CallableBondVolatilityStructure
constantCapFloorTermVolatility' :: Day -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO VolatilityTermStructure
constantCapFloorTermVolatility :: Word -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO VolatilityTermStructure
spreadedSwaptionVolatility :: SwaptionVolatilityStructure -> GenQuote a -> IO SwaptionVolatilityStructure
localConstantVol' :: Word -> Calendar -> GenQuote a -> DayCounter -> IO LocalVolTermStructure
localConstantVol :: Day -> GenQuote a -> DayCounter -> IO LocalVolTermStructure
localVolCurve :: BlackVarianceCurve -> IO LocalVolTermStructure
capFloorTermVolCurve :: Word -> Calendar -> BusinessDayConvention -> [(Word, TimeUnit, GenQuote a)] -> DayCounter -> IO VolatilityTermStructure
capFloorTermVolCurve' :: Day -> Calendar -> BusinessDayConvention -> [(Word, TimeUnit, GenQuote a)] -> DayCounter -> IO VolatilityTermStructure
blackVarianceCurve :: Day -> [(Day, Double)] -> DayCounter -> Bool -> Maybe Interpolation -> IO BlackVarianceCurve
capFloorTermVolSurface :: Word -> Calendar -> BusinessDayConvention -> [(Word, TimeUnit)] -> [Double] -> Matrix (GenQuote a) -> DayCounter -> IO CapFloorTermVolSurface
capFloorTermVolSurface' :: Day -> Calendar -> BusinessDayConvention -> [(Word, TimeUnit)] -> [Double] -> Matrix (GenQuote a) -> DayCounter -> IO CapFloorTermVolSurface
blackVarianceSurface :: Day -> Calendar -> [Day] -> [Double] -> Matrix Double -> DayCounter -> BlackVarianceSurfaceExtrapolation -> BlackVarianceSurfaceExtrapolation -> IO BlackVolTermStructure

Documentation

data BlackVarianceSurfaceExtrapolation #

Instances

Instances details

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

data ExtendedBlackVarianceSurfaceExtrapolation #

Instances

Instances details

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

type BlackVarianceCurve = GenBlackVolTermStructure CBlackVarianceCurve #

type BlackVolTermStructure = GenBlackVolTermStructure CBlackVolTermStructure #

type GenBlackVolTermStructure a = GenVolatilityTermStructure (AnyOf CBlackVolTermStructure' a) #

type CallableBondVolatilityStructure = GenTermStructure CCallableBondVolatilityStructure #

type CapFloorTermVolSurface = GenVolatilityTermStructure CCapFloorTermVolSurface #

type LocalVolTermStructure = GenVolatilityTermStructure CLocalVolTermStructure #

type OptionletVolatilityStructure = GenVolatilityTermStructure COptionletVolatilityStructure #

data SmileSection #

type SwaptionVolatilityStructure = GenVolatilityTermStructure CSwaptionVolatilityStructure #

type VolatilityTermStructure = GenVolatilityTermStructure CVolatilityTermStructure #

type GenVolatilityTermStructure a = GenTermStructure (AnyOf CVolatilityTermStructure' a) #

asVolatilityTermStructure :: GenVolatilityTermStructure a -> IO VolatilityTermStructure #

asBlackVolTermStructure :: GenBlackVolTermStructure a -> IO BlackVolTermStructure #

localVolSurface #

Arguments

:: GenBlackVolTermStructure v
-> GenYieldTermStructure b	riskFreeTS
-> GenYieldTermStructure c	dividendTS
-> GenQuote a	underlying
-> IO LocalVolTermStructure

constantOptionletVolatility :: Day -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO OptionletVolatilityStructure #

fixed reference date, floating market data

constantOptionletVolatility' :: Word -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO OptionletVolatilityStructure #

Constant caplet volatility, no time-strike dependence floating reference date, floating market data

impliedVolTermStructure :: GenBlackVolTermStructure a -> Day -> IO BlackVolTermStructure #

blackConstantVol' :: Word -> Calendar -> GenQuote a -> DayCounter -> IO BlackVolTermStructure #

blackConstantVol :: Day -> Calendar -> GenQuote a -> DayCounter -> IO BlackVolTermStructure #

constantSwaptionVolatility' :: Day -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO SwaptionVolatilityStructure #

fixed reference date, floating market data

floating reference date, floating market data

constantSwaptionVolatility :: Word -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO SwaptionVolatilityStructure #

blackVarianceForPeriod' #

Arguments

:: SwaptionVolatilityStructure
-> Day	optionDate
-> (Word, TimeUnit)	swapTenor
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the Black variance for a given option date and swap tenor

blackVarianceForPeriod #

Arguments

:: SwaptionVolatilityStructure
-> Double
-> (Word, TimeUnit)
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the Black variance for a given option time and swap tenor

blackVarianceForTenor #

Arguments

:: SwaptionVolatilityStructure
-> (Word, TimeUnit)	optionTenor
-> Double	swapLength
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the Black variance for a given option tenor and swap length

blackVariance' #

Arguments

:: SwaptionVolatilityStructure
-> Day	optionDate
-> Double	swapLength
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the Black variance for a given option date and swap length

blackVariance #

Arguments

:: SwaptionVolatilityStructure
-> Double	optionTime
-> Double	swapLength
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the Black variance for a given option time and swap length

blackVarianceForPeriods #

Arguments

:: SwaptionVolatilityStructure
-> (Word, TimeUnit)	optionTenor
-> (Word, TimeUnit)	swapTenor
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the Black variance for a given option tenor and swap tenor

maxSwapLength :: SwaptionVolatilityStructure -> IO Double #

the largest swapLength for which the term structure can return vols

the largest length for which the term structure can return vols

maxSwapTenor :: SwaptionVolatilityStructure -> IO (Int, TimeUnit) #

returns the smile for a given option date and swap tenor

smileSectionForPeriod' #

Arguments

:: SwaptionVolatilityStructure
-> Day	optionDate
-> (Word, TimeUnit)	swapTenor
-> Bool	extrapolate
-> IO SmileSection

smileSectionForPeriod #

Arguments

:: SwaptionVolatilityStructure
-> Double	optionTime
-> (Word, TimeUnit)	swapTenor
-> Bool	extrapolate
-> IO SmileSection

returns the smile for a given option time and swap tenor

smileSectionForTenor #

Arguments

:: SwaptionVolatilityStructure
-> (Word, TimeUnit)	optionTenor
-> Double	swapLength
-> Bool	extrapolate
-> IO SmileSection

returns the smile for a given option tenor and swap length

smileSection' #

Arguments

:: SwaptionVolatilityStructure
-> Day	optionDate
-> Double	swapLength
-> Bool	extr
-> IO SmileSection

returns the smile for a given option date and swap length

smileSection #

Arguments

:: SwaptionVolatilityStructure
-> Double	optionTime
-> Double	swapLength
-> Bool	extr
-> IO SmileSection

returns the smile for a given option time and swap length

smileSectionForPeriods #

Arguments

:: SwaptionVolatilityStructure
-> (Word, TimeUnit)	optionTenor
-> (Word, TimeUnit)	swapTenor
-> Bool	extr
-> IO SmileSection

returns the smile for a given option tenor and swap tenor

swapLength' #

Arguments

:: SwaptionVolatilityStructure
-> Day	start
-> Day	end
-> IO Double

implements the conversion between swap dates and swap (time) length

swapLength :: SwaptionVolatilityStructure -> (Word, TimeUnit) -> IO Double #

implements the conversion between swap tenor and swap (time) length

returns the volatility for a given option date and swap tenor

volatilityForPeriod' #

Arguments

:: SwaptionVolatilityStructure
-> Day	optionDate
-> (Word, TimeUnit)	swapTenor
-> Double	strike
-> Bool	extrapolate
-> IO Double

volatilityForPeriod #

Arguments

:: SwaptionVolatilityStructure
-> Double	optionTime
-> (Word, TimeUnit)	swapTenor
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the volatility for a given option time and swap tenor

volatilityForTenor #

Arguments

:: SwaptionVolatilityStructure
-> (Word, TimeUnit)	optionTenor
-> Double	swapLength
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the volatility for a given option tenor and swap length

volatilityForTenor' #

Arguments

:: SwaptionVolatilityStructure
-> Day	optionDate
-> Double	swapLength
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the volatility for a given option date and swap length

volatility #

Arguments

:: SwaptionVolatilityStructure
-> Double	optionTime
-> Double	swapLength
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the volatility for a given option time and swap length

volatilityForPeriods #

Arguments

:: SwaptionVolatilityStructure
-> (Word, TimeUnit)	optionTenor
-> (Word, TimeUnit)	swapTenor
-> Double	strike
-> Bool	extrapolate
-> IO Double

returns the volatility for a given option tenor and swap tenor

callableBondConstantVolatility' :: Word -> Calendar -> GenQuote a -> DayCounter -> IO CallableBondVolatilityStructure #

callableBondConstantVolatility :: Day -> GenQuote a -> DayCounter -> IO CallableBondVolatilityStructure #

fixed reference date, floating market data

constantCapFloorTermVolatility' :: Day -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO VolatilityTermStructure #

floating reference date, floating market data

constantCapFloorTermVolatility :: Word -> Calendar -> BusinessDayConvention -> GenQuote a -> DayCounter -> IO VolatilityTermStructure #

spreadedSwaptionVolatility :: SwaptionVolatilityStructure -> GenQuote a -> IO SwaptionVolatilityStructure #

localConstantVol' :: Word -> Calendar -> GenQuote a -> DayCounter -> IO LocalVolTermStructure #

localConstantVol :: Day -> GenQuote a -> DayCounter -> IO LocalVolTermStructure #

localVolCurve :: BlackVarianceCurve -> IO LocalVolTermStructure #

capFloorTermVolCurve :: Word -> Calendar -> BusinessDayConvention -> [(Word, TimeUnit, GenQuote a)] -> DayCounter -> IO VolatilityTermStructure #

floating reference date, floating market data

capFloorTermVolCurve' :: Day -> Calendar -> BusinessDayConvention -> [(Word, TimeUnit, GenQuote a)] -> DayCounter -> IO VolatilityTermStructure #

fixed reference date, floating market data

blackVarianceCurve #

Arguments

:: Day
-> [(Day, Double)]
-> DayCounter
-> Bool	forceMonotoneVariance
-> Maybe Interpolation
-> IO BlackVarianceCurve

capFloorTermVolSurface #

Arguments

:: Word
-> Calendar
-> BusinessDayConvention
-> [(Word, TimeUnit)]	optionTenors
-> [Double]	strikes
-> Matrix (GenQuote a)	volatilities
-> DayCounter
-> IO CapFloorTermVolSurface

floating reference date, floating market data

capFloorTermVolSurface' #

Arguments

:: Day
-> Calendar
-> BusinessDayConvention
-> [(Word, TimeUnit)]	optionTenors
-> [Double]	strikes
-> Matrix (GenQuote a)	volatilities
-> DayCounter
-> IO CapFloorTermVolSurface

fixed reference date, floating market data

blackVarianceSurface #

Arguments

:: Day
-> Calendar
-> [Day]	dates
-> [Double]	strikes
-> Matrix Double	blackVolMatrix
-> DayCounter
-> BlackVarianceSurfaceExtrapolation	lowerExtrapolation
-> BlackVarianceSurfaceExtrapolation	upperExtrapolation
-> IO BlackVolTermStructure