| Safe Haskell | None |
|---|---|
| Language | Haskell2010 |
QuantLib.Time.Schedule
Synopsis
- data DayCounter
- data Schedule
- data DayCounterConstructor
- = Actual360 !Bool
- | Actual364
- | Actual365FixedStandard
- | Actual365FixedCanadian
- | Actual365FixedNoLeap
- | ActualActualISMA
- | ActualActualBond
- | ActualActualISDA
- | ActualActualHistorical
- | ActualActualActual365
- | ActualActualAFB
- | ActualActualEuro
- | One
- | Simple
- | Thirty360USA
- | Thirty360BondBasis
- | Thirty360European
- | Thirty360EurobondBasis
- | Thirty360Italian
- | Thirty360German
- | Thirty360ISMA
- | Thirty360ISDA
- | Thirty360NASD
- | Thirty365
- | Actual36525 !Bool
- | Actual366 !Bool
- | Business252 !Calendar
- | ActualActualBond' !Schedule
- | ActualActualISMA' !Schedule
- data DateGenerationRule
- data TimeUnit
- = Days
- | Weeks
- | Months
- | Years
- | Hours
- | Minutes
- | Seconds
- | Milliseconds
- | Microseconds
- data Frequency
- dayCounter :: DayCounterConstructor -> IO DayCounter
- schedule :: Maybe Day -> Day -> (Word, TimeUnit) -> Calendar -> BusinessDayConvention -> BusinessDayConvention -> DateGenerationRule -> Bool -> Maybe Day -> Maybe Day -> IO Schedule
- fromDates :: [Day] -> Calendar -> BusinessDayConvention -> Maybe BusinessDayConvention -> Maybe (Word, TimeUnit) -> Maybe DateGenerationRule -> Maybe Bool -> IO Schedule
- days :: DayCounter -> Day -> Day -> IO Int
- yearFraction :: DayCounter -> Day -> Day -> Maybe Day -> Maybe Day -> IO Double
- until :: Schedule -> Day -> IO Schedule
- 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)
- dates :: Schedule -> IO [Day]
Types
data DayCounter Source #
Instances
| Show DayCounter Source # | |
Defined in QuantLib.Internal.Type Methods showsPrec :: Int -> DayCounter -> ShowS # show :: DayCounter -> String # showList :: [DayCounter] -> ShowS # | |
| Eq DayCounter Source # | |
Defined in QuantLib.Internal.Type | |
data DayCounterConstructor Source #
Constructors
Instances
| Read DayCounterConstructor Source # | |
Defined in QuantLib.Time.Schedule Methods readsPrec :: Int -> ReadS DayCounterConstructor # readList :: ReadS [DayCounterConstructor] # | |
| Show DayCounterConstructor Source # | |
Defined in QuantLib.Internal.CalendarEnum Methods showsPrec :: Int -> DayCounterConstructor -> ShowS # show :: DayCounterConstructor -> String # showList :: [DayCounterConstructor] -> ShowS # | |
| Eq DayCounterConstructor Source # | |
Defined in QuantLib.Internal.CalendarEnum Methods (==) :: DayCounterConstructor -> DayCounterConstructor -> Bool # (/=) :: DayCounterConstructor -> DayCounterConstructor -> Bool # | |
data DateGenerationRule Source #
Constructs a day counter of the given type and (where applicable) convention.
Constructors
| Backward | |
| Forward | |
| Zero | |
| ThirdWednesday | |
| ThirdWednesdayInclusive | |
| Twentieth | |
| TwentiethIMM | |
| OldCDS | |
| CDS | |
| CDS2015 |
Instances
Constructors
| Days | |
| Weeks | |
| Months | |
| Years | |
| Hours | |
| Minutes | |
| Seconds | |
| Milliseconds | |
| Microseconds |
Instances
| Bounded TimeUnit Source # | |
| Enum TimeUnit Source # | |
Defined in QuantLib.Internal.Common | |
| Read TimeUnit Source # | |
| Show TimeUnit Source # | |
| Eq TimeUnit Source # | |
Constructors
| NoFrequency | |
| Once | |
| Annual | |
| Semiannual | |
| EveryFourthMonth | |
| Quarterly | |
| Bimonthly | |
| Monthly | |
| EveryFourthWeek | |
| Biweekly | |
| Weekly | |
| Daily | |
| OtherFrequency |
Instances
| Bounded Frequency Source # | |
| Enum Frequency Source # | |
Defined in QuantLib.Time.Schedule Methods succ :: Frequency -> Frequency # pred :: Frequency -> Frequency # fromEnum :: Frequency -> Int # enumFrom :: Frequency -> [Frequency] # enumFromThen :: Frequency -> Frequency -> [Frequency] # enumFromTo :: Frequency -> Frequency -> [Frequency] # enumFromThenTo :: Frequency -> Frequency -> Frequency -> [Frequency] # | |
| Read Frequency Source # | |
| Show Frequency Source # | |
| Eq Frequency Source # | |
Constructors
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 |
Builds a payment schedule by generating dates between effective and termination dates according to the given tenor and rule.
Arguments
| :: [Day] | |
| -> Calendar | calendar |
| -> BusinessDayConvention | convention |
| -> Maybe BusinessDayConvention | terminationDateConvention |
| -> Maybe (Word, TimeUnit) | tenor |
| -> Maybe DateGenerationRule | rule |
| -> Maybe Bool | endOfMonth |
| -> IO Schedule |
Builds a payment schedule from an explicit list of dates, without checking them for plausibility.
Inspectors
Day counts
Returns the period between two dates as a fraction of year.
Schedule and period operations
until :: Schedule -> Day -> IO Schedule Source #
truncated schedule TODO Introduce another Schedule type with restricted interface? moreover, a fixed rate bond can be constructed from a full schedule only!
fromFrequency :: Frequency -> IO (Word, TimeUnit) Source #
returns a Period from a given Frequency (e.g. 6M from SemiAnnual)
toFrequency :: (Word, TimeUnit) -> IO Frequency Source #
returns a Frequency from a given Period (e.g. SemiAnnual from 6M)
parse :: String -> IO (Int, TimeUnit) Source #
Parses a period from its short-format string representation (e.g. "6M").
divide :: (Int, TimeUnit) -> Int -> IO (Int, TimeUnit) Source #
Divides a period's length by an integer divisor.
lessThan :: (Int, TimeUnit) -> (Int, TimeUnit) -> IO Bool Source #
Compares two periods, converting to a common time unit as needed.
normalize :: (Int, TimeUnit) -> IO (Int, TimeUnit) Source #
Normalizes a period to the coarsest equivalent time unit (e.g. 12M to 1Y).