quantfin-0.1.0.2: Quant finance library in pure Haskell.

Safe HaskellNone
LanguageHaskell2010

Quant.MonteCarlo

Contents

Synopsis

The MonteCarlo type.

type MonteCarlo s a = MonteCarloT Identity s a Source

Wraps the Identity monad in the MonteCarloT transformer.

type MonteCarloT m s = StateT s (RVarT m) Source

A monad transformer for Monte-Carlo calculations.

runMC Source

Arguments

:: MonadRandom (StateT b Identity) 
=> MonteCarlo s c

Monte Carlo computation.

-> b

Initial state.

-> s

Initial random-generator state.

-> c

Final result of computation.

Runs a MonteCarlo calculation and provides the result of the computation.

The discretize typeclass.

class Discretize a where Source

The Discretize class defines those models on which Monte Carlo simulations can be performed.

Minimal complete definition: initialize, discounter, forwardGen and evolve'.

Minimal complete definition

initialize, discount, forwardGen, evolve'

Methods

initialize Source

Arguments

:: Discretize a 
=> a

Model

-> MonteCarlo (MCObservables, Time) () 

Initializes a Monte Carlo simulation for a given number of runs.

evolve Source

Arguments

:: Discretize a 
=> a

Model

-> Time

time to evolve to

-> Bool 
-> MonteCarlo (MCObservables, Time) () 

Evolves the internal states of the MC variables between two times.

discountState :: Discretize a => a -> Time -> MonteCarlo (MCObservables, Time) Double Source

Stateful discounting function, takes a model and a time, and returns a vector of results.

discount :: Discretize a => a -> Time -> Double Source

Non-stateful discounting function...might need to find a better place to put this.

forwardGen :: Discretize a => a -> Time -> MonteCarlo (MCObservables, Time) Double Source

Stateful forward generator for a given model at a certain time.

evolve' Source

Arguments

:: Discretize a 
=> a

model

-> Time

time to evolve to

-> Bool

whether or not to use flipped variates

-> MonteCarlo (MCObservables, Time) ()

computation result

Internal function to evolve a model to a given time.

maxStep :: Discretize a => a -> Double Source

Determines the maximum size time-step for discretization purposes. Defaults to 1/250.

simulateState Source

Arguments

:: Discretize a 
=> a

model

-> ContingentClaim

compilied basket of claims

-> Int

number of trials

-> Bool

antithetic?

-> MonteCarlo (MCObservables, Time) Double

computation result

Perform a simulation of a compiled basket of contingent claims.

runSimulation Source

Arguments

:: (Discretize a, MonadRandom (StateT b Identity)) 
=> a

model

-> ContingentClaim

claims to value

-> b

initial random state

-> Int

trials

-> Bool

whether to use antithetic variables

-> Double

final value

Runs a simulation for a ContingentClaim.

runSimulationAnti :: (Discretize a, MonadRandom (StateT b Identity)) => a -> ContingentClaim -> b -> Int -> Double Source

Like runSimulation, but splits the trials in two and does antithetic variates.

quickSim :: Discretize a => a -> ContingentClaim -> Int -> Double Source

runSimulation with a default random number generator.

quickSimAnti :: Discretize a => a -> ContingentClaim -> Int -> Double Source

runSimulationAnti with a default random number generator.

data OptionType Source

Type for Put or Calls

Constructors

Put 
Call