quantfin-0.2.0.0: Quant finance library in pure Haskell.

Safe HaskellNone
LanguageHaskell2010

Quant.Models.Black

Synopsis

Documentation

data Black Source

Black represents a Black-Scholes model.

Constructors

forall a b . (YieldCurve a, YieldCurve b) => Black

YieldCurve to handle discounting

Fields

blackInit :: Double

Initial asset level.

blackVol :: Double

Volatility.

blackForwardGen :: a

YieldCurve to generate forwards

blackYieldCurve :: b
 

Instances