| Safe Haskell | None |
|---|---|
| Language | Haskell2010 |
QuantLib.TermStructure
Synopsis
- data GenTermStructure t
- type TermStructure = GenTermStructure CTermStructure
- data Reference
- data CalendarReference
- data TermPoint
- data TermInterval
- = DateInterval !Day !Day
- | TimeInterval !Double !Double
- data RatePoint
- = RateAtDate !Day !DayCounter
- | RateAtTime !Double
- asTermStructure :: GenTermStructure t -> IO TermStructure
- setExtrapolation :: GenTermStructure t -> Bool -> IO ()
- class HasHelperUnderlying h where
- type HelperUnderlying h
- helperInstrument :: h -> IO (HelperUnderlying h)
- referenceDate :: GenTermStructure t -> IO Day
- maxDate :: GenTermStructure t -> IO Day
- maxTime :: GenTermStructure t -> IO Double
- allowsExtrapolation :: GenTermStructure t -> IO Bool
- timeFromReference :: GenTermStructure t -> Day -> IO Double
Types
Term-structure hierarchy
data GenTermStructure t Source #
TermStructure = GenTermStructure t
YieldTermStructure = GenYieldTermStructure y = GenTermStructure t
FittedBondDiscountCurve = GenYieldTermStructure ...
RelinkableYieldTermStructure = GenYieldTermStructure ...
VolatilityTermStructure
OptionletVolatilityStructure
RelinkableOptionletVolatilityStructure
BlackVolTermStructure
BlackVarianceCurve
BlackVolatilitySurfaceDelta
RelinkableBlackVolTermStructure
SwaptionVolatilityStructure
RelinkableSwaptionVolatilityStructure
SabrSwaptionVolatilityCube
NoArbSabrSwaptionVolatilityCube
ZabrSwaptionVolatilityCube
InterpolatedSwaptionVolatilityCube
SwaptionVolatilityMatrix
CapFloorTermVolatilityStructure*
CapFloorTermVolCurve
CapFloorTermVolSurface
BlackAtmVolCurve*
AbcdAtmVolCurve
BlackVolSurface*
SabrVolSurface
LocalVolTermStructure
GridModelLocalVolSurface
YoYOptionletVolatilitySurface
CPIVolatilitySurface
CallableBondVolatilityStructure
DefaultProbabilityTermStructure = GenDefaultProbabilityTermStructure d = GenTermStructure t
AffineHazardRateCurve = GenDefaultProbabilityTermStructure ...
ZeroInflationTermStructure
YoYInflationTermStructure
YoYCapFloorTermPriceSurface
CPICapFloorTermPriceSurface
CommodityCurveInstances
type TermStructure = GenTermStructure CTermStructure Source #
The root of the hierarchy shown under GenTermStructure.
Coordinates
A term-structure reference point. ReferenceDate stays fixed for the object's lifetime;
SettlementDays follows the global evaluation date using the supplied calendar.
Constructors
| ReferenceDate !Day | |
| SettlementDays !Word !Calendar |
data CalendarReference Source #
Reference-point variants for constructors that take a calendar independently in both upstream overloads.
Constructors
| CalendarReferenceDate !Day | |
| CalendarSettlementDays !Word |
Instances
| Show CalendarReference Source # | |
Defined in QuantLib.TermStructure Methods showsPrec :: Int -> CalendarReference -> ShowS # show :: CalendarReference -> String # showList :: [CalendarReference] -> ShowS # | |
| Eq CalendarReference Source # | |
Defined in QuantLib.TermStructure Methods (==) :: CalendarReference -> CalendarReference -> Bool # (/=) :: CalendarReference -> CalendarReference -> Bool # | |
A date or year-fraction coordinate measured from a term structure's reference date.
data TermInterval Source #
A same-representation interval. Keeping both endpoints in one constructor prevents mixed date/time intervals that upstream does not accept.
Constructors
| DateInterval !Day !Day | |
| TimeInterval !Double !Double |
Instances
| Show TermInterval Source # | |
Defined in QuantLib.TermStructure Methods showsPrec :: Int -> TermInterval -> ShowS # show :: TermInterval -> String # showList :: [TermInterval] -> ShowS # | |
| Eq TermInterval Source # | |
Defined in QuantLib.TermStructure | |
A date or year-fraction coordinate where a date needs its day-counting rule.
Constructors
| RateAtDate !Day !DayCounter | |
| RateAtTime !Double |
Constructors
Mutators
setExtrapolation :: GenTermStructure t -> Bool -> IO () Source #
Enable or disable default extrapolation for any term structure.
Inspectors
class HasHelperUnderlying h where Source #
Bootstrap and calibration helpers that build and hold the instrument whose market quote they match. The class lives here, in the term-structure root module, because its instances span QuantLib.TermStructure.Yield, ".Inflation" and QuantLib.Model, and an instance must share a module with its class to stay non-orphan.
Associated Types
type HelperUnderlying h Source #
Methods
helperInstrument :: h -> IO (HelperUnderlying h) Source #
The instrument the helper prices. For helpers that build it internally --
fixedRateBondHelper and
cpiBondHelper among them -- this is the only way to reach it.
Instances
referenceDate :: GenTermStructure t -> IO Day Source #
the date at which discount = 1.0 and/or variance = 0.0
maxDate :: GenTermStructure t -> IO Day Source #
the latest date for which the curve can return values
maxTime :: GenTermStructure t -> IO Double Source #
maxDate expressed as a year fraction from the structure's reference date
allowsExtrapolation :: GenTermStructure t -> IO Bool Source #
Whether calls beyond the term structure's maximum date are allowed by default.
Arguments
| :: GenTermStructure t | term structure |
| -> Day | date |
| -> IO Double |
Converts a date to a time (as a fraction of year) according to the term structure's day counter.