Q.Greeks

Documentation

module Q.Types

module Q.Options

data Bump

A relative or an absolute bump. Used with numerical Greeks.

Constructors

Abs Double

Rel Double

data DiffMethod

Constructors

ForwardDiff

BackwardDiff

CenteralDiff

class Bumpable a where

Methods

bumpUp :: a -> Bump -> a

bumpDown :: a -> Bump -> a

stepSize :: a -> Bump -> Double

Instances

Coercible a Double => Bumpable a

Things we can bump to calculate Greeks such as Spot, Rate..etc'

Defined in Q.Greeks

Methods

bumpUp :: a -> Bump -> a

bumpDown :: a -> Bump -> a

stepSize :: a -> Bump -> Double

firstOrder :: Bumpable a => DiffMethod -> Bump -> (a -> Double) -> a -> Double