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

Safe HaskellNone




data BusinessDayConvention Source

Business Day conventions - These conventions specify the algorithm used to adjust a date in case it is not a valid business day.

type Date = DaySource


class Holiday m whereSource

Defines a holidays for given calendar. Corresponds to calendar class in QuantLib

getWeekDay :: Date -> WeekDaySource

Gets a week day

getDaysBetween :: (Day, Day) -> [Day]Source

Generate a list of all dates inbetween

isWeekEnd :: Date -> BoolSource

Checks if the day is a weekend, i.e. Saturday or Sunday

getNextBusinessDay :: Holiday a => a -> Date -> DateSource

Gets the next working day

class DayCounter m whereSource

Day counter type class


dcName :: m -> StringSource

Name of day counter

dcCount :: m -> Date -> Date -> IntSource

Number of business days inbetween

dcYearFraction :: m -> Date -> Date -> DoubleSource

Year fraction

data Thirty360 Source

Thirty day counters as in QuantLib