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

Safe HaskellSafe




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

Minimal complete definition

dcName, dcCount, dcYearFraction


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