Safe Haskell	None
Language	Haskell2010

Q.Options.ImpliedVol.SVI

Synopsis

newtype Alpha = Alpha Double
newtype Beta = Beta Double
newtype Rho = Rho Double
newtype M = M Double
newtype Sigma = Sigma Double
data SVI = RSVI Alpha Beta Rho M Sigma
isValidSVI :: SVI -> Bool

Documentation

newtype Alpha Source #

Constructors

Alpha Double

Instances

Instances details

Eq Alpha Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (==) :: Alpha -> Alpha -> Bool # (/=) :: Alpha -> Alpha -> Bool #
Floating Alpha Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods pi :: Alpha # exp :: Alpha -> Alpha # log :: Alpha -> Alpha # sqrt :: Alpha -> Alpha # (**) :: Alpha -> Alpha -> Alpha # logBase :: Alpha -> Alpha -> Alpha # sin :: Alpha -> Alpha # cos :: Alpha -> Alpha # tan :: Alpha -> Alpha # asin :: Alpha -> Alpha # acos :: Alpha -> Alpha # atan :: Alpha -> Alpha # sinh :: Alpha -> Alpha # cosh :: Alpha -> Alpha # tanh :: Alpha -> Alpha # asinh :: Alpha -> Alpha # acosh :: Alpha -> Alpha # atanh :: Alpha -> Alpha # log1p :: Alpha -> Alpha # expm1 :: Alpha -> Alpha # log1pexp :: Alpha -> Alpha # log1mexp :: Alpha -> Alpha #
Fractional Alpha Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (/) :: Alpha -> Alpha -> Alpha # recip :: Alpha -> Alpha # fromRational :: Rational -> Alpha #
Num Alpha Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (+) :: Alpha -> Alpha -> Alpha # (-) :: Alpha -> Alpha -> Alpha # (*) :: Alpha -> Alpha -> Alpha # negate :: Alpha -> Alpha # abs :: Alpha -> Alpha # signum :: Alpha -> Alpha # fromInteger :: Integer -> Alpha #
Ord Alpha Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods compare :: Alpha -> Alpha -> Ordering # (<) :: Alpha -> Alpha -> Bool # (<=) :: Alpha -> Alpha -> Bool # (>) :: Alpha -> Alpha -> Bool # (>=) :: Alpha -> Alpha -> Bool # max :: Alpha -> Alpha -> Alpha # min :: Alpha -> Alpha -> Alpha #
Show Alpha Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods showsPrec :: Int -> Alpha -> ShowS # show :: Alpha -> String # showList :: [Alpha] -> ShowS #
Generic Alpha Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Associated Types type Rep Alpha :: Type -> Type # Methods from :: Alpha -> Rep Alpha x # to :: Rep Alpha x -> Alpha #
type Rep Alpha Source #
Instance details Defined in Q.Options.ImpliedVol.SVI type Rep Alpha = D1 ('MetaData "Alpha" "Q.Options.ImpliedVol.SVI" "HQu-0.0.0.3-JHSOnnZVr6N493rESVt36s" 'True) (C1 ('MetaCons "Alpha" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Double)))

newtype Beta Source #

Constructors

Beta Double

Instances

Instances details

Eq Beta Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (==) :: Beta -> Beta -> Bool # (/=) :: Beta -> Beta -> Bool #
Floating Beta Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods pi :: Beta # exp :: Beta -> Beta # log :: Beta -> Beta # sqrt :: Beta -> Beta # (**) :: Beta -> Beta -> Beta # logBase :: Beta -> Beta -> Beta # sin :: Beta -> Beta # cos :: Beta -> Beta # tan :: Beta -> Beta # asin :: Beta -> Beta # acos :: Beta -> Beta # atan :: Beta -> Beta # sinh :: Beta -> Beta # cosh :: Beta -> Beta # tanh :: Beta -> Beta # asinh :: Beta -> Beta # acosh :: Beta -> Beta # atanh :: Beta -> Beta # log1p :: Beta -> Beta # expm1 :: Beta -> Beta # log1pexp :: Beta -> Beta # log1mexp :: Beta -> Beta #
Fractional Beta Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (/) :: Beta -> Beta -> Beta # recip :: Beta -> Beta # fromRational :: Rational -> Beta #
Num Beta Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (+) :: Beta -> Beta -> Beta # (-) :: Beta -> Beta -> Beta # (*) :: Beta -> Beta -> Beta # negate :: Beta -> Beta # abs :: Beta -> Beta # signum :: Beta -> Beta # fromInteger :: Integer -> Beta #
Ord Beta Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods compare :: Beta -> Beta -> Ordering # (<) :: Beta -> Beta -> Bool # (<=) :: Beta -> Beta -> Bool # (>) :: Beta -> Beta -> Bool # (>=) :: Beta -> Beta -> Bool # max :: Beta -> Beta -> Beta # min :: Beta -> Beta -> Beta #
Show Beta Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods showsPrec :: Int -> Beta -> ShowS # show :: Beta -> String # showList :: [Beta] -> ShowS #
Generic Beta Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Associated Types type Rep Beta :: Type -> Type # Methods from :: Beta -> Rep Beta x # to :: Rep Beta x -> Beta #
type Rep Beta Source #
Instance details Defined in Q.Options.ImpliedVol.SVI type Rep Beta = D1 ('MetaData "Beta" "Q.Options.ImpliedVol.SVI" "HQu-0.0.0.3-JHSOnnZVr6N493rESVt36s" 'True) (C1 ('MetaCons "Beta" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Double)))

newtype Rho Source #

Constructors

Rho Double

Instances

Instances details

Eq Rho Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (==) :: Rho -> Rho -> Bool # (/=) :: Rho -> Rho -> Bool #
Floating Rho Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods pi :: Rho # exp :: Rho -> Rho # log :: Rho -> Rho # sqrt :: Rho -> Rho # (**) :: Rho -> Rho -> Rho # logBase :: Rho -> Rho -> Rho # sin :: Rho -> Rho # cos :: Rho -> Rho # tan :: Rho -> Rho # asin :: Rho -> Rho # acos :: Rho -> Rho # atan :: Rho -> Rho # sinh :: Rho -> Rho # cosh :: Rho -> Rho # tanh :: Rho -> Rho # asinh :: Rho -> Rho # acosh :: Rho -> Rho # atanh :: Rho -> Rho # log1p :: Rho -> Rho # expm1 :: Rho -> Rho # log1pexp :: Rho -> Rho # log1mexp :: Rho -> Rho #
Fractional Rho Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (/) :: Rho -> Rho -> Rho # recip :: Rho -> Rho # fromRational :: Rational -> Rho #
Num Rho Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (+) :: Rho -> Rho -> Rho # (-) :: Rho -> Rho -> Rho # (*) :: Rho -> Rho -> Rho # negate :: Rho -> Rho # abs :: Rho -> Rho # signum :: Rho -> Rho # fromInteger :: Integer -> Rho #
Ord Rho Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods compare :: Rho -> Rho -> Ordering # (<) :: Rho -> Rho -> Bool # (<=) :: Rho -> Rho -> Bool # (>) :: Rho -> Rho -> Bool # (>=) :: Rho -> Rho -> Bool # max :: Rho -> Rho -> Rho # min :: Rho -> Rho -> Rho #
Show Rho Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods showsPrec :: Int -> Rho -> ShowS # show :: Rho -> String # showList :: [Rho] -> ShowS #
Generic Rho Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Associated Types type Rep Rho :: Type -> Type # Methods from :: Rho -> Rep Rho x # to :: Rep Rho x -> Rho #
type Rep Rho Source #
Instance details Defined in Q.Options.ImpliedVol.SVI type Rep Rho = D1 ('MetaData "Rho" "Q.Options.ImpliedVol.SVI" "HQu-0.0.0.3-JHSOnnZVr6N493rESVt36s" 'True) (C1 ('MetaCons "Rho" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Double)))

newtype M Source #

Constructors

M Double

Instances

Instances details

Eq M Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (==) :: M -> M -> Bool # (/=) :: M -> M -> Bool #
Floating M Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods pi :: M # exp :: M -> M # log :: M -> M # sqrt :: M -> M # (**) :: M -> M -> M # logBase :: M -> M -> M # sin :: M -> M # cos :: M -> M # tan :: M -> M # asin :: M -> M # acos :: M -> M # atan :: M -> M # sinh :: M -> M # cosh :: M -> M # tanh :: M -> M # asinh :: M -> M # acosh :: M -> M # atanh :: M -> M # log1p :: M -> M # expm1 :: M -> M # log1pexp :: M -> M # log1mexp :: M -> M #
Fractional M Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (/) :: M -> M -> M # recip :: M -> M # fromRational :: Rational -> M #
Num M Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (+) :: M -> M -> M # (-) :: M -> M -> M # (*) :: M -> M -> M # negate :: M -> M # abs :: M -> M # signum :: M -> M # fromInteger :: Integer -> M #
Ord M Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods compare :: M -> M -> Ordering # (<) :: M -> M -> Bool # (<=) :: M -> M -> Bool # (>) :: M -> M -> Bool # (>=) :: M -> M -> Bool # max :: M -> M -> M # min :: M -> M -> M #
Show M Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods showsPrec :: Int -> M -> ShowS # show :: M -> String # showList :: [M] -> ShowS #
Generic M Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Associated Types type Rep M :: Type -> Type # Methods from :: M -> Rep M x # to :: Rep M x -> M #
type Rep M Source #
Instance details Defined in Q.Options.ImpliedVol.SVI type Rep M = D1 ('MetaData "M" "Q.Options.ImpliedVol.SVI" "HQu-0.0.0.3-JHSOnnZVr6N493rESVt36s" 'True) (C1 ('MetaCons "M" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Double)))

newtype Sigma Source #

Constructors

Sigma Double

Instances

Instances details

Eq Sigma Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (==) :: Sigma -> Sigma -> Bool # (/=) :: Sigma -> Sigma -> Bool #
Floating Sigma Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods pi :: Sigma # exp :: Sigma -> Sigma # log :: Sigma -> Sigma # sqrt :: Sigma -> Sigma # (**) :: Sigma -> Sigma -> Sigma # logBase :: Sigma -> Sigma -> Sigma # sin :: Sigma -> Sigma # cos :: Sigma -> Sigma # tan :: Sigma -> Sigma # asin :: Sigma -> Sigma # acos :: Sigma -> Sigma # atan :: Sigma -> Sigma # sinh :: Sigma -> Sigma # cosh :: Sigma -> Sigma # tanh :: Sigma -> Sigma # asinh :: Sigma -> Sigma # acosh :: Sigma -> Sigma # atanh :: Sigma -> Sigma # log1p :: Sigma -> Sigma # expm1 :: Sigma -> Sigma # log1pexp :: Sigma -> Sigma # log1mexp :: Sigma -> Sigma #
Fractional Sigma Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (/) :: Sigma -> Sigma -> Sigma # recip :: Sigma -> Sigma # fromRational :: Rational -> Sigma #
Num Sigma Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods (+) :: Sigma -> Sigma -> Sigma # (-) :: Sigma -> Sigma -> Sigma # (*) :: Sigma -> Sigma -> Sigma # negate :: Sigma -> Sigma # abs :: Sigma -> Sigma # signum :: Sigma -> Sigma # fromInteger :: Integer -> Sigma #
Ord Sigma Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods compare :: Sigma -> Sigma -> Ordering # (<) :: Sigma -> Sigma -> Bool # (<=) :: Sigma -> Sigma -> Bool # (>) :: Sigma -> Sigma -> Bool # (>=) :: Sigma -> Sigma -> Bool # max :: Sigma -> Sigma -> Sigma # min :: Sigma -> Sigma -> Sigma #
Show Sigma Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods showsPrec :: Int -> Sigma -> ShowS # show :: Sigma -> String # showList :: [Sigma] -> ShowS #
Generic Sigma Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Associated Types type Rep Sigma :: Type -> Type # Methods from :: Sigma -> Rep Sigma x # to :: Rep Sigma x -> Sigma #
type Rep Sigma Source #
Instance details Defined in Q.Options.ImpliedVol.SVI type Rep Sigma = D1 ('MetaData "Sigma" "Q.Options.ImpliedVol.SVI" "HQu-0.0.0.3-JHSOnnZVr6N493rESVt36s" 'True) (C1 ('MetaCons "Sigma" 'PrefixI 'False) (S1 ('MetaSel ('Nothing :: Maybe Symbol) 'NoSourceUnpackedness 'NoSourceStrictness 'DecidedLazy) (Rec0 Double)))

data SVI Source #

Stochastic volatility inspired parameterization of the vol surface.

Constructors

RSVI	The original raw SVI representation from Gatheral
Fields Alpha Corresponds to a vertical translation of the smile. Beta Slope of call and put wings. Rho A counter clock wise rotation of the smile. M translate the smile to the right Sigma ATM curviture of the smile.

Instances

Instances details

TimeSlice SVI LogRelStrike Source #
Instance details Defined in Q.Options.ImpliedVol.SVI Methods totalVar :: SVI -> LogRelStrike -> TotalVar Source #

isValidSVI :: SVI -> Bool Source #