Q.ContingentClaim

Documentation

data CashFlow

A cash flow is a time and amount.

Constructors

CashFlow

Fields

• cfTime :: LocalTime

  The cash flow time.

• cfAmount :: Double

  The cash flow amount.

Instances

Eq CashFlow

Defined in Q.ContingentClaim

Methods

(==) :: CashFlow -> CashFlow -> Bool

(/=) :: CashFlow -> CashFlow -> Bool

Show CashFlow

Defined in Q.ContingentClaim

Methods

showsPrec :: Int -> CashFlow -> ShowS

show :: CashFlow -> String

showList :: [CashFlow] -> ShowS

data CCProcessor a

Stop at time t and potentially apply n payouts up to the monitoring time.

Constructors

CCProcessor

Fields

• monitorTime :: LocalTime

  Stopping time.

• payouts :: [Map LocalTime a -> CashFlow]

  list of payout functions at the stopping time.

newtype ContingentClaim a

A claim contingent on some observable a.

An example of an observable is a spot driven asset, such as a stock.

Constructors

ContingentClaim

Fields

• unCC :: [CCProcessor a]

Instances

Semigroup (ContingentClaim a)

Defined in Q.ContingentClaim

Methods

(<>) :: ContingentClaim a -> ContingentClaim a -> ContingentClaim a

sconcat :: NonEmpty (ContingentClaim a) -> ContingentClaim a

stimes :: Integral b => b -> ContingentClaim a -> ContingentClaim a

Monoid (ContingentClaim a)

Defined in Q.ContingentClaim

Methods

mempty :: ContingentClaim a

mappend :: ContingentClaim a -> ContingentClaim a -> ContingentClaim a

mconcat :: [ContingentClaim a] -> ContingentClaim a

multiplier :: Double -> ContingentClaim a -> ContingentClaim a

multipley a contingent claim by its notional.

short :: ContingentClaim a -> ContingentClaim a

Change direction of the portfolio

type CCBuilder w r a = WriterT w (Reader r) a

monitor :: LocalTime -> CCBuilder (ContingentClaim a) (Map LocalTime a) a

Monitor an observable at the given time t.

pay :: forall a. LocalTime -> CCBuilder (ContingentClaim a) (Map LocalTime a) CashFlow -> ContingentClaim a

Pay an amount at a given time