Q.Options.Bachelier
data Bachelier Source #
Constructors
Defined in Q.Options.Bachelier
Methods
showsPrec :: Int -> Bachelier -> ShowS #
show :: Bachelier -> String #
showList :: [Bachelier] -> ShowS #
discountFactor :: Bachelier -> YearFrac -> YearFrac -> RVar Rate Source #
evolve :: Bachelier -> YearFrac -> StateT (YearFrac, Double) RVar Double Source #
euOption :: Bachelier -> YearFrac -> OptionType -> Strike -> Valuation Source #
European option valuation with bachelier model.
eucall :: Bachelier -> YearFrac -> Strike -> Valuation Source #
see euOption
euOption
euput :: Bachelier -> YearFrac -> Strike -> Valuation Source #
module Q.Options