HQu-0.0.0.3: quantitative finance library
Safe HaskellNone
LanguageHaskell2010

Q.Stochastic.Process

Synopsis

Documentation

class Num b => Discretize d b where Source #

Discretization of stochastic process over given interval

Methods

dDrift :: StochasticProcess a b => a -> d -> (Time, b) -> RVar b Source #

Discretization of the drift process.

dDiff :: StochasticProcess a b => a -> d -> (Time, b) -> RVar b Source #

Discretization of the diffusion process.

dDt :: StochasticProcess a b => a -> d -> (Time, b) -> Time Source #

dt used.

class Num b => StochasticProcess a b where Source #

A stochastic process of the form \(dX_t = \mu(X_t, t)dt + \sigma(S_t, t)dB_t \)

Minimal complete definition

pDrift, pDiff

Methods

pDrift :: a -> (Time, b) -> RVar b Source #

The process drift.

pDiff :: a -> (Time, b) -> RVar b Source #

The process diffusion.

pEvolve Source #

Arguments

:: Discretize d b 
=> a

The process

-> d

Discretization scheme

-> (Time, b)

Initial state

-> Time

Target time t.

-> RVar b

\(dB_i\).

-> RVar b

\(X(t)\).

Evolve a process from a given state to a given time.

pEvolve' :: (Discretize d b, Num b) => a -> d -> (Time, b) -> RVar b -> RVar (Time, b) Source #

Similar to evolve, but evolves the process with the discretization scheme \(dt\).

data ItoProcess Source #

Ito process

Constructors

ItoProcess 

Fields

Orphan instances

Num a => Num (RVarT m a) Source # 
Instance details

Methods

(+) :: RVarT m a -> RVarT m a -> RVarT m a #

(-) :: RVarT m a -> RVarT m a -> RVarT m a #

(*) :: RVarT m a -> RVarT m a -> RVarT m a #

negate :: RVarT m a -> RVarT m a #

abs :: RVarT m a -> RVarT m a #

signum :: RVarT m a -> RVarT m a #

fromInteger :: Integer -> RVarT m a #