Safe Haskell	None
Language	Haskell2010

QuantLib.TermStructure.Yield

Synopsis

type YieldTermStructure = GenYieldTermStructure CYieldTermStructure
type GenYieldTermStructure a = GenTermStructure (AnyOf CYieldTermStructure' a)
type BondHelper = GenRateHelper CBondHelper
type RateHelper = GenRateHelper CRateHelper
type SwapRateHelper = GenRateHelper CSwapRateHelper
type OISRateHelper = GenRateHelper COISRateHelper
data FittingMethod
- = CubicBSplines ![Double] !Bool
- | ExponentialSplines !Bool
- | NelsonSiegel
- | SimplePolynomial !Word !Bool
- | Svensson
type FittedBondDiscountCurve = GenYieldTermStructure CFittedBondDiscountCurve
fittedBondDiscountCurve :: Word -> Calendar -> [BondHelper] -> DayCounter -> FittingMethod -> Double -> Word -> [Double] -> Double -> IO FittedBondDiscountCurve
fittedBondDiscountCurve' :: Day -> [BondHelper] -> DayCounter -> FittingMethod -> Double -> Word -> [Double] -> Double -> IO FittedBondDiscountCurve
data GenRateHelper a
data BootstrapTrait
- = Discount
- | ZeroYield
- | ForwardRate
depositRateHelper' :: GenQuote a -> GenIborIndex b -> IO RateHelper
depositRateHelper :: GenQuote a -> (Int, TimeUnit) -> Word -> Calendar -> BusinessDayConvention -> Bool -> DayCounter -> IO RateHelper
fixedRateBondHelper :: GenQuote a -> Word -> Double -> Schedule -> [Double] -> DayCounter -> BusinessDayConvention -> Double -> Maybe Day -> IO BondHelper
discount' :: GenYieldTermStructure a -> Day -> Bool -> IO Double
swapRateHelper' :: GenQuote a -> (Int, TimeUnit) -> Calendar -> Frequency -> BusinessDayConvention -> DayCounter -> GenIborIndex b -> Maybe (GenQuote s) -> (Int, TimeUnit) -> Maybe (GenYieldTermStructure d) -> IO SwapRateHelper
flatForward :: Day -> GenQuote a -> DayCounter -> Compounding -> Frequency -> IO YieldTermStructure
flatForward' :: Word -> Calendar -> GenQuote a -> DayCounter -> Compounding -> Frequency -> IO YieldTermStructure
zeroRate' :: GenYieldTermStructure a -> Day -> DayCounter -> Compounding -> Frequency -> Bool -> IO InterestRate
forwardRateForPeriod :: GenYieldTermStructure a -> Day -> (Int, TimeUnit) -> DayCounter -> Compounding -> Frequency -> Bool -> IO InterestRate
forwardRate' :: GenYieldTermStructure a -> Day -> Day -> DayCounter -> Compounding -> Frequency -> Bool -> IO InterestRate
forwardRate :: GenYieldTermStructure a -> Double -> Double -> Compounding -> Frequency -> Bool -> IO InterestRate
zeroRate :: GenYieldTermStructure a -> Double -> Compounding -> Frequency -> Bool -> IO InterestRate
discount :: GenYieldTermStructure a -> Double -> Bool -> IO Double
fraRateHelper :: GenQuote a -> Word -> Word -> Word -> Calendar -> BusinessDayConvention -> Bool -> DayCounter -> IO RateHelper
bondHelper :: GenQuote a -> Bond -> IO BondHelper
oisRateHelper :: Word -> (Int, TimeUnit) -> GenQuote a -> OvernightIborIndex -> Maybe (GenYieldTermStructure b) -> IO OISRateHelper
oisRateHelper' :: Day -> Day -> GenQuote a -> OvernightIborIndex -> Maybe (GenYieldTermStructure b) -> IO OISRateHelper
swapRateHelper :: GenQuote a -> GenSwapIndex b -> Maybe (GenQuote m) -> (Int, TimeUnit) -> Maybe (GenYieldTermStructure c) -> IO SwapRateHelper
forwardSpreadedTermStructure :: GenYieldTermStructure b -> GenQuote a -> IO YieldTermStructure
zeroSpreadedTermStructure :: GenYieldTermStructure b -> GenQuote a -> Compounding -> Frequency -> IO YieldTermStructure
bmaSwapRateHelper :: GenQuote a -> (Int, TimeUnit) -> Word -> Calendar -> (Int, TimeUnit) -> BusinessDayConvention -> DayCounter -> BMAIndex -> GenIborIndex b -> IO RateHelper
fraIborRateHelper' :: GenQuote a -> Word -> GenIborIndex b -> IO RateHelper
fraRateHelper' :: GenQuote a -> (Int, TimeUnit) -> Word -> Word -> Calendar -> BusinessDayConvention -> Bool -> DayCounter -> IO RateHelper
fraIborRateHelper :: GenQuote a -> (Int, TimeUnit) -> GenIborIndex b -> IO RateHelper
futuresRateHelper' :: GenQuote a -> Day -> Day -> DayCounter -> Maybe (GenQuote m) -> IO RateHelper
futuresIborRateHelper :: GenQuote a -> Day -> GenIborIndex b -> Maybe (GenQuote m) -> IO RateHelper
futuresRateHelper :: GenQuote a -> Day -> Word -> Calendar -> BusinessDayConvention -> Bool -> DayCounter -> Maybe (GenQuote m) -> IO RateHelper
impliedQuote :: GenRateHelper a -> IO Double
impliedTermStructure :: GenYieldTermStructure a -> Day -> IO YieldTermStructure
asYieldTermStructure :: GenYieldTermStructure a -> IO YieldTermStructure
asRateHelper :: GenRateHelper a -> IO RateHelper
piecewiseZeroSpreadedTermStructure :: GenYieldTermStructure b -> [(Day, GenQuote a)] -> Compounding -> Frequency -> IO YieldTermStructure
quantoTermStructure :: GenYieldTermStructure a -> GenYieldTermStructure b -> GenYieldTermStructure c -> GenBlackVolTermStructure d -> Double -> GenBlackVolTermStructure e -> Double -> Double -> IO YieldTermStructure
minimumCostValue :: FittedBondDiscountCurve -> IO Double
numberOfIterations :: FittedBondDiscountCurve -> IO Int
piecewiseYieldCurve :: Day -> [GenRateHelper b] -> DayCounter -> [(Day, GenQuote a)] -> BootstrapTrait -> Interpolation -> IO YieldTermStructure
piecewiseYieldCurve' :: Word -> Calendar -> [GenRateHelper b] -> DayCounter -> [(Day, GenQuote a)] -> BootstrapTrait -> Interpolation -> IO YieldTermStructure
interpolatedZeroCurve :: [(Day, Double)] -> DayCounter -> Calendar -> [(Day, GenQuote a)] -> Interpolation -> IO YieldTermStructure
interpolatedForwardCurve :: [(Day, Double)] -> DayCounter -> Calendar -> [(Day, GenQuote a)] -> Interpolation -> IO YieldTermStructure
interpolatedDiscountCurve :: [(Day, Double)] -> DayCounter -> Calendar -> [(Day, GenQuote a)] -> Interpolation -> IO YieldTermStructure
underlying :: HelperUnderlying a b => a -> IO b

Documentation

type YieldTermStructure = GenYieldTermStructure CYieldTermStructure #

type GenYieldTermStructure a = GenTermStructure (AnyOf CYieldTermStructure' a) #

type BondHelper = GenRateHelper CBondHelper #

type RateHelper = GenRateHelper CRateHelper #

type SwapRateHelper = GenRateHelper CSwapRateHelper #

type OISRateHelper = GenRateHelper COISRateHelper #

data FittingMethod #

Constructors

CubicBSplines
Fields ![Double] knotVector (year fraction) !Bool constrainAtZero
ExponentialSplines !Bool
NelsonSiegel
SimplePolynomial
Fields !Word degree !Bool constrainAtZero
Svensson

Instances

Instances details

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

type FittedBondDiscountCurve = GenYieldTermStructure CFittedBondDiscountCurve #

fittedBondDiscountCurve #

Arguments

:: Word	settlementDays
-> Calendar
-> [BondHelper]
-> DayCounter
-> FittingMethod
-> Double	accuracy
-> Word	maxEvaluations
-> [Double]	guess
-> Double	simplexLambda
-> IO FittedBondDiscountCurve

fittedBondDiscountCurve' #

Arguments

:: Day
-> [BondHelper]
-> DayCounter
-> FittingMethod
-> Double	accuracy
-> Word	maxEvaluations
-> [Double]	guess
-> Double	simplexLambda
-> IO FittedBondDiscountCurve

curve reference date fixed for life of curve

data GenRateHelper a #

data BootstrapTrait #

Constructors

Discount
ZeroYield
ForwardRate

Instances

Instances details

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

depositRateHelper' :: GenQuote a -> GenIborIndex b -> IO RateHelper #

depositRateHelper #

Arguments

:: GenQuote a	rate
-> (Int, TimeUnit)	tenor
-> Word	fixingDays
-> Calendar	calendar
-> BusinessDayConvention	convention
-> Bool	endOfMonth
-> DayCounter
-> IO RateHelper

fixedRateBondHelper :: GenQuote a -> Word -> Double -> Schedule -> [Double] -> DayCounter -> BusinessDayConvention -> Double -> Maybe Day -> IO BondHelper #

discount' #

Arguments

:: GenYieldTermStructure a
-> Day	d
-> Bool	extrapolate
-> IO Double

Returns a discount factor from the given YieldTermStructure object

swapRateHelper' #

Arguments

:: GenQuote a	rate
-> (Int, TimeUnit)	tenor
-> Calendar	calendar
-> Frequency	fixedFrequency
-> BusinessDayConvention	fixedConvention
-> DayCounter	fixedDayCount
-> GenIborIndex b	iborIndex
-> Maybe (GenQuote s)	spread
-> (Int, TimeUnit)	fwdStart
-> Maybe (GenYieldTermStructure d)	discountingCurve
-> IO SwapRateHelper

flatForward :: Day -> GenQuote a -> DayCounter -> Compounding -> Frequency -> IO YieldTermStructure #

flatForward' #

Arguments

:: Word	settlementDays
-> Calendar
-> GenQuote a
-> DayCounter
-> Compounding
-> Frequency
-> IO YieldTermStructure

The resulting interest rate has the required daycounting rule.

zeroRate' #

Arguments

:: GenYieldTermStructure a
-> Day
-> DayCounter
-> Compounding
-> Frequency
-> Bool	extrapolate
-> IO InterestRate

forwardRateForPeriod #

Arguments

:: GenYieldTermStructure a
-> Day
-> (Int, TimeUnit)
-> DayCounter
-> Compounding
-> Frequency
-> Bool	extrapolate
-> IO InterestRate

The resulting interest rate has the required day-counting rule. Warning dates are not adjusted for holidays

forwardRate' #

Arguments

:: GenYieldTermStructure a
-> Day
-> Day
-> DayCounter
-> Compounding
-> Frequency
-> Bool	extrapolate
-> IO InterestRate

The resulting interest rate has the required day-counting rule.

forwardRate #

Arguments

:: GenYieldTermStructure a
-> Double
-> Double
-> Compounding
-> Frequency
-> Bool	extrapolate
-> IO InterestRate

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed times t1 and t2.

zeroRate #

Arguments

:: GenYieldTermStructure a
-> Double
-> Compounding
-> Frequency
-> Bool	extrapolate
-> IO InterestRate

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t.

The same day-counting rule used by the term structure should be used for calculating the passed time t.

discount #

Arguments

:: GenYieldTermStructure a
-> Double
-> Bool	extrapolate
-> IO Double

fraRateHelper #

Arguments

:: GenQuote a	rate
-> Word	monthsToStart
-> Word	monthsToEnd
-> Word	fixingDays
-> Calendar	calendar
-> BusinessDayConvention	convention
-> Bool	endOfMonth
-> DayCounter
-> IO RateHelper

bondHelper :: GenQuote a -> Bond -> IO BondHelper #

Warning Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results. It is advised to discard the bond after creating the helper, so that the helper has sole ownership of it.

oisRateHelper :: Word -> (Int, TimeUnit) -> GenQuote a -> OvernightIborIndex -> Maybe (GenYieldTermStructure b) -> IO OISRateHelper #

oisRateHelper' :: Day -> Day -> GenQuote a -> OvernightIborIndex -> Maybe (GenYieldTermStructure b) -> IO OISRateHelper #

swapRateHelper :: GenQuote a -> GenSwapIndex b -> Maybe (GenQuote m) -> (Int, TimeUnit) -> Maybe (GenYieldTermStructure c) -> IO SwapRateHelper #

forwardSpreadedTermStructure :: GenYieldTermStructure b -> GenQuote a -> IO YieldTermStructure #

zeroSpreadedTermStructure :: GenYieldTermStructure b -> GenQuote a -> Compounding -> Frequency -> IO YieldTermStructure #

bmaSwapRateHelper #

Arguments

:: GenQuote a	liborFraction
-> (Int, TimeUnit)	tenor
-> Word	settlementDAys
-> Calendar
-> (Int, TimeUnit)	bmpPeriod
-> BusinessDayConvention
-> DayCounter
-> BMAIndex
-> GenIborIndex b
-> IO RateHelper

fraIborRateHelper' #

Arguments

:: GenQuote a
-> Word	monthsToStart
-> GenIborIndex b
-> IO RateHelper

fraRateHelper' #

Arguments

:: GenQuote a
-> (Int, TimeUnit)	periodToStart
-> Word	lengthInMonths
-> Word	fixingDays
-> Calendar
-> BusinessDayConvention
-> Bool	endOfMonth
-> DayCounter
-> IO RateHelper

fraIborRateHelper #

Arguments

:: GenQuote a
-> (Int, TimeUnit)	periodToStart
-> GenIborIndex b
-> IO RateHelper

futuresRateHelper' #

Arguments

:: GenQuote a
-> Day	immStartDate
-> Day	endDate
-> DayCounter
-> Maybe (GenQuote m)	convexityAdjustment
-> IO RateHelper

futuresIborRateHelper #

Arguments

:: GenQuote a
-> Day	immDate
-> GenIborIndex b
-> Maybe (GenQuote m)
-> IO RateHelper

futuresRateHelper #

Arguments

:: GenQuote a
-> Day	immDate
-> Word	lengthInMonths
-> Calendar
-> BusinessDayConvention
-> Bool	endOfMonth
-> DayCounter
-> Maybe (GenQuote m)	convexityAdjustment
-> IO RateHelper

impliedQuote :: GenRateHelper a -> IO Double #

impliedTermStructure :: GenYieldTermStructure a -> Day -> IO YieldTermStructure #

asYieldTermStructure :: GenYieldTermStructure a -> IO YieldTermStructure #

asRateHelper :: GenRateHelper a -> IO RateHelper #

piecewiseZeroSpreadedTermStructure #

Arguments

:: GenYieldTermStructure b
-> [(Day, GenQuote a)]	spreads
-> Compounding
-> Frequency
-> IO YieldTermStructure

quantoTermStructure #

Arguments

:: GenYieldTermStructure a	underlyingDividendTS
-> GenYieldTermStructure b	riskFreeTS
-> GenYieldTermStructure c	foreignRsikFreeTS
-> GenBlackVolTermStructure d	underlyingBlackVolTS
-> Double	strike
-> GenBlackVolTermStructure e	exchRateBlackVolTS
-> Double	exchRateATMlevel
-> Double	underlyingExchRateCorrelation
-> IO YieldTermStructure

minimumCostValue :: FittedBondDiscountCurve -> IO Double #

final value of cost function after optimization

final number of iterations used in the optimization problem

numberOfIterations :: FittedBondDiscountCurve -> IO Int #

piecewiseYieldCurve #

Arguments

:: Day	referenceDate
-> [GenRateHelper b]	instruments
-> DayCounter	dayCounter
-> [(Day, GenQuote a)]	jumps
-> BootstrapTrait	bootstrap trait
-> Interpolation	interpolator
-> IO YieldTermStructure

piecewiseYieldCurve' #

Arguments

:: Word	settlementDays
-> Calendar	calendar
-> [GenRateHelper b]	instruments
-> DayCounter	dayCounter
-> [(Day, GenQuote a)]	jumps
-> BootstrapTrait	bootstrap trait
-> Interpolation	interpolator
-> IO YieldTermStructure

interpolatedZeroCurve #

Arguments

:: [(Day, Double)]	dates, yields
-> DayCounter	dayCounter
-> Calendar	cal
-> [(Day, GenQuote a)]	jumps, jumpDates
-> Interpolation	interpolator
-> IO YieldTermStructure

interpolatedForwardCurve #

Arguments

:: [(Day, Double)]	dates, forwards
-> DayCounter	dayCounter
-> Calendar	cal
-> [(Day, GenQuote a)]	jumps
-> Interpolation	interpolator
-> IO YieldTermStructure

interpolatedDiscountCurve #

Arguments

:: [(Day, Double)]	dates, dfs
-> DayCounter	dayCounter
-> Calendar	cal
-> [(Day, GenQuote a)]	jumps
-> Interpolation	interpolator
-> IO YieldTermStructure

underlying :: HelperUnderlying a b => a -> IO b #