| Safe Haskell | None |
|---|---|
| Language | Haskell2010 |
Q.MonteCarlo
Synopsis
- type Path b = [(Time, b)]
- class PathPricer p => Summary m p | m -> p where
- sSummarize :: m -> [p] -> m
- sNorm :: m -> m -> Double
- class PathGenerator m where
- pgMkNew :: m -> IO m
- pgGenerate :: Integer -> m -> Path b
- class PathPricer m where
- type MonteCarlo s a = StateT [(Time, s)] RVar a
- trajectory :: forall a b d. (StochasticProcess a b, Discretize d b) => d -> a -> b -> [Time] -> [RVar b] -> RVar [b]
- trajectories :: forall a b d. (StochasticProcess a b, Discretize d b) => Int -> d -> a -> b -> [Time] -> [RVar b] -> RVar [[b]]
- observationTimes :: ContingentClaim a -> [Day]
- class Model a b | a -> b where
Documentation
class PathPricer p => Summary m p | m -> p where Source #
Summary type class aggregates all priced values of paths
class PathGenerator m where Source #
Path generator is a stochastic path generator
class PathPricer m where Source #
Path pricer provides a price for given path
Arguments
| :: forall a b d. (StochasticProcess a b, Discretize d b) | |
| => d | Discretization scheme |
| -> a | The stochastic process |
| -> b | \(S(0)\) |
| -> [Time] | Stopping points \(\{t_i\}_i^n \) where \(t_i > 0\) |
| -> [RVar b] | \(dW\)s. One for each stopping point. |
| -> RVar [b] | \(S(0) \cup \{S(t_i)\}_i^n \) |
Generate a single trajectory stopping at each provided time.
Arguments
| :: forall a b d. (StochasticProcess a b, Discretize d b) | |
| => Int | Num of trajectories |
| -> d | Discretization scheme |
| -> a | The stochastic process |
| -> b | \(S(0)\) |
| -> [Time] | Stopping points \(\{t_i\}_i^n \) where \(t_i > 0\) |
| -> [RVar b] | \(dW\)s. One for each stopping point. |
| -> RVar [[b]] | \(S(0) \cup \{S(t_i)\}_i^n \) |
Generate multiple trajectories. See trajectory
observationTimes :: ContingentClaim a -> [Day] Source #