hquantlib-0.0.1.2: HQuantLib is a port of essencial parts of QuantLib to Haskell

QuantLib.Stochastic

Synopsis

Documentation

class Discretize b whereSource

Discretization of stochastic process over given interval

Methods

dDrift :: StochasticProcess a => a -> b -> Dot -> DoubleSource

dDiff :: StochasticProcess a => a -> b -> Dot -> DoubleSource

dDt :: StochasticProcess a => a -> b -> Dot -> DoubleSource

data Dot Source

Dot. t and x pair

Constructors

Dot 

Fields

getT :: Double
 
getX :: Double
 

Instances

type Path = [Dot]Source

Path as list of Dots

generatePath :: (StochasticProcess a, NormalGenerator b, Discretize c) => b -> c -> a -> Int -> Dot -> IO PathSource

Generates sample path for given stochastic process under discretization and normal generator for given amount of steps, starting from x0

data ItoProcess Source

Ito process

Constructors

ItoProcess 

Fields

ipDrift :: Dot -> Double
 
ipDiff :: Dot -> Double
 

data BlackScholesProcess Source

Generalized Black-Scholes process

data Euler Source

Euler discretization of stochastic processes

Constructors

Euler 

Fields

eDt :: Double
 

data EndEuler Source

Euler end-point discretization of stochastic processes

Constructors

EndEuler 

Fields

eeDt :: Double
 

data BoxMuller Source

Box-Muller method

createNormalGen :: RNG -> BoxMullerSource

Creates normally distributed generator

class NormalGenerator a whereSource

Normally distributed generator

Methods

ngGetNext :: a -> IO (Double, a)Source