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

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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 = Day Source


class Holiday m where Source

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

Minimal complete definition


getWeekDay :: Date -> WeekDay Source

Gets a week day

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

Generate a list of all dates inbetween

isWeekEnd :: Date -> Bool Source

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

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

Gets the next working day

class DayCounter m where Source

Day counter type class


dcName :: m -> String Source

Name of day counter

dcCount :: m -> Date -> Date -> Int Source

Number of business days inbetween

dcYearFraction :: m -> Date -> Date -> Double Source

Year fraction

data Thirty360 Source

Thirty day counters as in QuantLib