Safe Haskell	None
Language	Haskell2010

Q.Payoff

Synopsis

Documentation

class Payoff a where Source #

Methods

Arguments

:: Obs1 b
=> a	The instrument.
-> b	The observable at the payoff time.
-> Cash	Payoff amount.

Instances details

Payoff StrikedPayoff Source #
Instance details Defined in Q.Payoff Methods payoff :: Obs1 b => StrikedPayoff -> b -> Cash Source #

Path independent payoffs based on a fixed strike.

Constructors

PlainVanillaPayoff	Vanilla option payoff \(max (s - k, 0)\) for call and \(max (k - s, 0)\) for put
Fields OptionType Call/Put indicator Strike Strike \(k\) \| Payoff with strike expressed as percentage
PercentagePayoff
Fields OptionType Call/Put indicator Strike Strike in percentage. \| Binary asset or nothing payoff.
AssetOrNothingPayoff
Fields OptionType Call/Put indicator Strike Strike \(k\) \| Binary cash or nothing payoff.
CashOrNothingPayoff
Fields OptionType Call/Put indicator Strike Strike \(k\) Cash Cash amount.

Instances details

Payoff StrikedPayoff Source #
Instance details Defined in Q.Payoff Methods payoff :: Obs1 b => StrikedPayoff -> b -> Cash Source #