QuantLib.Methods.MonteCarlo

Documentation

class PathPricer p => Summary m p | m -> p where

Summary type class aggregates all priced values of paths

Minimal complete definition

sSummarize, sNorm

Methods

sSummarize :: m -> [p] -> m

Updates summary with given priced pathes

sNorm :: m -> m -> Double

Defines a metric, i.e. calculate distance between 2 summaries

class PathGenerator m where

Path generator is a stochastic path generator

Minimal complete definition

pgMkNew, pgGenerate

Methods

pgMkNew :: m -> IO m

pgGenerate :: Integer -> m -> Path

Instances

(StochasticProcess sp, NormalGenerator b, Discretize d) => PathGenerator (ProcessGenerator sp b d)

Methods

pgMkNew :: ProcessGenerator sp b d -> IO (ProcessGenerator sp b d)

pgGenerate :: Integer -> ProcessGenerator sp b d -> Path

class PathPricer m where

Path pricer provides a price for given path

Minimal complete definition

ppPrice

Methods

ppPrice :: m -> Path -> m

Instances

PathPricer LogLastPointPricer

Methods

ppPrice :: LogLastPointPricer -> Path -> LogLastPointPricer

PathPricer LastPointPricer

Methods

ppPrice :: LastPointPricer -> Path -> LastPointPricer

PathPricer MaxMinClosePricer

Methods

ppPrice :: MaxMinClosePricer -> Path -> MaxMinClosePricer

monteCarlo :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s

Monte Carlo engine function

monteCarloParallel :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s

Monte Carlo engine function. Parallelized version

data PathMonteCarlo s p g

Path-dependant Monte Carlo engine

Constructors

PathMonteCarlo

Fields

• pmcSummary :: s
• pmcPricer :: p
• pmcGenerator :: g

data ProcessGenerator sp b d

Stochastic process generator

Constructors

ProcessGenerator

Fields

• pgStart :: Dot
• pgLength :: Int
• pgProcess :: sp
• pgGenerator :: b
• pgDiscretize :: d

Instances

(StochasticProcess sp, NormalGenerator b, Discretize d) => PathGenerator (ProcessGenerator sp b d)

Methods

pgMkNew :: ProcessGenerator sp b d -> IO (ProcessGenerator sp b d)

pgGenerate :: Integer -> ProcessGenerator sp b d -> Path