| Safe Haskell | None |
|---|---|
| Language | Haskell2010 |
Quant.Models.Dupire
- data Dupire = forall a b . (YieldCurve a, YieldCurve b) => Dupire {
- dupireInitial :: Double
- dupireFunc :: Double -> Double -> Double
- mertonForwardGen :: a
- mertonDiscounter :: b
Documentation
Dupire represents a Dupire-style local vol model.
Constructors
| forall a b . (YieldCurve a, YieldCurve b) => Dupire |
|
Fields
| |
Instances