Q.Options.Bachelier

Documentation

data Bachelier

Constructors

Bachelier Forward Rate Vol

Instances

Show Bachelier

Defined in Q.Options.Bachelier

Methods

showsPrec :: Int -> Bachelier -> ShowS

show :: Bachelier -> String

showList :: [Bachelier] -> ShowS

Model Bachelier Double

Defined in Q.Options.Bachelier

Methods

discountFactor :: Bachelier -> YearFrac -> YearFrac -> RVar Rate

evolve :: Bachelier -> YearFrac -> StateT (YearFrac, Double) RVar Double

euOption :: Bachelier -> YearFrac -> OptionType -> Strike -> Valuation

European option valuation with bachelier model.

eucall :: Bachelier -> YearFrac -> Strike -> Valuation

see euOption

euput :: Bachelier -> YearFrac -> Strike -> Valuation

see euOption

module Q.Options