Safe Haskell	None
Language	Haskell2010

QuantLib.Time.Schedule

Synopsis

data DayCounterConstructor
- = Actual360
- | Actual364
- | Actual365FixedStandard
- | Actual365FixedCanadian
- | Actual365FixedNoLeap
- | ActualActualISMA
- | ActualActualBond
- | ActualActualISDA
- | ActualActualHistorical
- | ActualActualActual365
- | ActualActualAFB
- | ActualActualEuro
- | One
- | Simple
- | Thirty360USA
- | Thirty360BondBasis
- | Thirty360European
- | Thirty360EurobondBasis
- | Thirty360Italian
- | Thirty360German
- | Thirty360ISMA
- | Thirty360ISDA
- | Thirty360NASD
- | Thirty365
- | Business252 !Calendar
data DayCounter
dayCounter :: DayCounterConstructor -> IO DayCounter
days :: DayCounter -> Day -> Day -> IO Int
years :: DayCounter -> Day -> Day -> Maybe Day -> Maybe Day -> IO Double
data Schedule
schedule :: Maybe Day -> Day -> (Word, TimeUnit) -> Calendar -> BusinessDayConvention -> BusinessDayConvention -> DateGenerationRule -> Bool -> Maybe Day -> Maybe Day -> IO Schedule
fromDates :: [Day] -> Calendar -> BusinessDayConvention -> IO Schedule
until :: Schedule -> Day -> IO Schedule
dates :: Schedule -> IO [Day]
data DateGenerationRule
- = Backward
- | Forward
- | Zero
- | ThirdWednesday
- | Twentieth
- | TwentiethIMM
- | OldCDS
- | CDS
- | CDS2015
fromFrequency :: Frequency -> IO (Word, TimeUnit)
toFrequency :: (Word, TimeUnit) -> IO Frequency
parse :: String -> IO (Int, TimeUnit)
add :: (Int, TimeUnit) -> (Int, TimeUnit) -> IO (Int, TimeUnit)
divide :: (Int, TimeUnit) -> Int -> IO (Int, TimeUnit)
lessThan :: (Int, TimeUnit) -> (Int, TimeUnit) -> IO Bool
normalize :: (Int, TimeUnit) -> IO (Int, TimeUnit)
data TimeUnit
- = Days
- | Weeks
- | Months
- | Years
- | Hours
- | Minutes
- | Seconds
- | Milliseconds
- | Microseconds
data Frequency
- = NoFrequency
- | Once
- | Annual
- | Semiannual
- | EveryFourthMonth
- | Quarterly
- | Bimonthly
- | Monthly
- | EveryFourthWeek
- | Biweekly
- | Weekly
- | Daily
- | OtherFrequency

Documentation

data DayCounterConstructor #

Instances

Instances details

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

data DayCounter #

Instances

Instances details

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

dayCounter :: DayCounterConstructor -> IO DayCounter #

days :: DayCounter -> Day -> Day -> IO Int #

Returns the number of days between two dates.

years :: DayCounter -> Day -> Day -> Maybe Day -> Maybe Day -> IO Double #

Returns the period between two dates as a fraction of year.

data Schedule #

schedule #

Arguments

:: Maybe Day	effectiveDate
-> Day	terminationDate
-> (Word, TimeUnit)	tenor
-> Calendar	calendar
-> BusinessDayConvention	convention
-> BusinessDayConvention	terminationDateConvention
-> DateGenerationRule	rule
-> Bool	endOfMonth
-> Maybe Day	firstDate
-> Maybe Day	nextToLastDate
-> IO Schedule

fromDates :: [Day] -> Calendar -> BusinessDayConvention -> IO Schedule #

truncated schedule XXX Introduce another Schedule type with restricted interface? moreover, a fixed rate bond can be constructed from a full schedule only!

until :: Schedule -> Day -> IO Schedule #

returns the dates for the given Schedule object

dates :: Schedule -> IO [Day] #

returns a Period from a given Frequency (e.g. 6M from SemiAnnual)

data DateGenerationRule #

Constructors

Backward
Forward
Zero
ThirdWednesday
Twentieth
TwentiethIMM
OldCDS
CDS
CDS2015

Instances

Instances details

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

fromFrequency :: Frequency -> IO (Word, TimeUnit) #

returns a Frequency from a given Period (e.g. SemiAnnual from 6M)

toFrequency :: (Word, TimeUnit) -> IO Frequency #

parse :: String -> IO (Int, TimeUnit) #

add :: (Int, TimeUnit) -> (Int, TimeUnit) -> IO (Int, TimeUnit) #

divide :: (Int, TimeUnit) -> Int -> IO (Int, TimeUnit) #

lessThan :: (Int, TimeUnit) -> (Int, TimeUnit) -> IO Bool #

normalize :: (Int, TimeUnit) -> IO (Int, TimeUnit) #

data TimeUnit #

Constructors

Days
Weeks
Months
Years
Hours
Minutes
Seconds
Milliseconds
Microseconds

Instances

Instances details

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

data Frequency #

Constructors

NoFrequency
Once
Annual
Semiannual
EveryFourthMonth
Quarterly
Bimonthly
Monthly
EveryFourthWeek
Biweekly
Weekly
Daily
OtherFrequency

Instances

Instances details

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

Actual360
Actual364
Actual365FixedStandard
Actual365FixedCanadian
Actual365FixedNoLeap
ActualActualISMA
ActualActualBond
ActualActualISDA
ActualActualHistorical
ActualActualActual365
ActualActualAFB
ActualActualEuro
One
Simple
Thirty360USA
Thirty360BondBasis
Thirty360European
Thirty360EurobondBasis
Thirty360Italian
Thirty360German
Thirty360ISMA
Thirty360ISDA
Thirty360NASD
Thirty365
Business252 !Calendar