HQu-0.0.0.3: quantitative finance library

Safe Haskell	None
Language	Haskell2010

Q.Greeks

Synopsis

module Q.Types
module Q.Options
data Bump
- = Abs Double
- | Rel Double
data DiffMethod
- = ForwardDiff
- | BackwardDiff
- | CenteralDiff
class Bumpable a where
- bumpUp :: a -> Bump -> a
- bumpDown :: a -> Bump -> a
- stepSize :: a -> Bump -> Double
firstOrder :: Bumpable a => DiffMethod -> Bump -> (a -> Double) -> a -> Double

Documentation

module Q.Types

module Q.Options

data Bump Source #

A relative or an absolute bump. Used with numerical Greeks.

Constructors

Abs Double
Rel Double

data DiffMethod Source #

Constructors

ForwardDiff
BackwardDiff
CenteralDiff

class Bumpable a where Source #

Methods

bumpUp :: a -> Bump -> a Source #

bumpDown :: a -> Bump -> a Source #

stepSize :: a -> Bump -> Double Source #

Instances

Instances details

Coercible a Double => Bumpable a Source #	Things we can bump to calculate Greeks such as `Spot`, `Rate`..etc'
Instance details Defined in Q.Greeks Methods bumpUp :: a -> Bump -> a Source # bumpDown :: a -> Bump -> a Source # stepSize :: a -> Bump -> Double Source #

firstOrder :: Bumpable a => DiffMethod -> Bump -> (a -> Double) -> a -> Double Source #