| Safe Haskell | Safe-Inferred |
|---|---|
| Language | Haskell2010 |
Quant.Models
- class CharFunc a where
- charFunc :: CharFunc a => a -> Double -> Complex Double -> Complex Double
- charFuncMart :: (CharFunc a, YieldCurve b) => a -> b -> Double -> Complex Double -> Complex Double
- charFuncOption :: (CharFunc a, YieldCurve b, YieldCurve c) => a -> b -> c -> ((Double -> Double) -> Double) -> Double -> Double -> Double -> Double
Documentation
The CharFunc class defines those
models which have closed-form characteristic
functions.
Minimal complete definition: charFunc.
Still under construction.
Minimal complete definition
Methods
charFunc :: CharFunc a => a -> Double -> Complex Double -> Complex Double Source
Creates a characteristic function for a model, without martingale adjustment.
charFuncMart :: (CharFunc a, YieldCurve b) => a -> b -> Double -> Complex Double -> Complex Double Source
Calculates characteristic function given a forward generator and yield curve.
charFuncOption :: (CharFunc a, YieldCurve b, YieldCurve c) => a -> b -> c -> ((Double -> Double) -> Double) -> Double -> Double -> Double -> Double Source