| Safe Haskell | None |
|---|---|
| Language | Haskell2010 |
Q.ContingentClaim.Options
Synopsis
- vanillaPayout :: OptionType -> Double -> Double -> Double
- spreadPayout :: OptionType -> Double -> Double -> Double -> Double
- straddlePayout :: Double -> Double -> Double
- vanillaOption :: OptionType -> Double -> LocalTime -> ContingentClaim Double
- callOption :: Double -> LocalTime -> ContingentClaim Double
- putOption :: Double -> LocalTime -> ContingentClaim Double
- callSpread :: Double -> Double -> LocalTime -> ContingentClaim Double
- putSpread :: Double -> Double -> LocalTime -> ContingentClaim Double
- straddle :: Double -> LocalTime -> ContingentClaim Double
Documentation
Arguments
| :: OptionType | Put or call |
| -> Double | strike |
| -> Double | Observable level |
| -> Double | Payout |
Arguments
| :: OptionType | Put or call |
| -> Double | Low strike |
| -> Double | High strike |
| -> Double | Observable level |
| -> Double | Payout |
Arguments
| :: OptionType | Option type |
| -> Double | Strike |
| -> LocalTime | Expiry |
| -> ContingentClaim Double | Contingent claim |
callOption :: Double -> LocalTime -> ContingentClaim Double Source #
callSpread :: Double -> Double -> LocalTime -> ContingentClaim Double Source #
A call spread is a portfolio: \(C(K1, T) - C(K2 T) \) s.t. \( K1 < K2 \)