Q.Options.BlackScholes

Documentation

data BlackScholes

Parameters for a simplified black scholes equation.

Constructors

BlackScholes

Fields

• bsSpot :: Spot

  The asset's spot on the valuation date.

• bsRate :: Rate

  Risk free rate.

• bsVol :: Vol

  Volatility.

Instances

Show BlackScholes

Defined in Q.Options.BlackScholes

Methods

showsPrec :: Int -> BlackScholes -> ShowS

show :: BlackScholes -> String

showList :: [BlackScholes] -> ShowS

Model BlackScholes Double

Defined in Q.Options.BlackScholes

Methods

discountFactor :: BlackScholes -> YearFrac -> YearFrac -> RVar Rate

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

atmf :: BlackScholes -> YearFrac -> Strike

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

European option valuation with black scholes.

eucall :: BlackScholes -> YearFrac -> Strike -> Valuation

see euOption

euput :: BlackScholes -> YearFrac -> Strike -> Valuation

see euOption

module Q.Options