Safe Haskell | None |
---|---|
Language | Haskell2010 |
Synopsis
- data ProcessGenerator sp b d = ProcessGenerator {
- pgStart :: Dot
- pgLength :: Int
- pgProcess :: sp
- pgGenerator :: b
- pgDiscretize :: d
- data PathMonteCarlo s p g = PathMonteCarlo {
- pmcSummary :: s
- pmcPricer :: p
- pmcGenerator :: g
- class PathPricer m where
- class PathGenerator m where
- pgMkNew :: m -> IO m
- pgGenerate :: Integer -> m -> Path
- class PathPricer p => Summary m p | m -> p where
- sSummarize :: m -> [p] -> m
- sNorm :: m -> m -> Double
- monteCarlo :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s
- monteCarloParallel :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s
Documentation
data ProcessGenerator sp b d Source #
Stochastic process generator
ProcessGenerator | |
|
Instances
(StochasticProcess sp, NormalGenerator b, Discretize d) => PathGenerator (ProcessGenerator sp b d) Source # | |
Defined in QuantLib.Methods.MonteCarlo pgMkNew :: ProcessGenerator sp b d -> IO (ProcessGenerator sp b d) Source # pgGenerate :: Integer -> ProcessGenerator sp b d -> Path Source # |
data PathMonteCarlo s p g Source #
Path-dependant Monte Carlo engine
PathMonteCarlo | |
|
class PathPricer m where Source #
Path pricer provides a price for given path
Instances
PathPricer LogLastPointPricer Source # | |
Defined in QuantLib.Methods.Pricer ppPrice :: LogLastPointPricer -> Path -> LogLastPointPricer Source # | |
PathPricer LastPointPricer Source # | |
Defined in QuantLib.Methods.Pricer ppPrice :: LastPointPricer -> Path -> LastPointPricer Source # | |
PathPricer MaxMinClosePricer Source # | |
Defined in QuantLib.Methods.Pricer ppPrice :: MaxMinClosePricer -> Path -> MaxMinClosePricer Source # |
class PathGenerator m where Source #
Path generator is a stochastic path generator
Instances
(StochasticProcess sp, NormalGenerator b, Discretize d) => PathGenerator (ProcessGenerator sp b d) Source # | |
Defined in QuantLib.Methods.MonteCarlo pgMkNew :: ProcessGenerator sp b d -> IO (ProcessGenerator sp b d) Source # pgGenerate :: Integer -> ProcessGenerator sp b d -> Path Source # |
class PathPricer p => Summary m p | m -> p where Source #
Summary type class aggregates all priced values of paths
monteCarlo :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s Source #
Monte Carlo engine function
monteCarloParallel :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s Source #
Monte Carlo engine function. Parallelized version