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hquantlib: HQuantLib is a port of essencial parts of QuantLib to Haskell

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HQuantLib is intended to be a functional style port of QuantLib (http://quantlib.org)

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Versions [RSS] 0.0.1, 0.0.1.1, 0.0.1.2, 0.0.2.0, 0.0.2.1, 0.0.2.3, 0.0.2.4, 0.0.2.5, 0.0.3.0, 0.0.3.1, 0.0.3.2, 0.0.3.3, 0.0.4.0, 0.0.5.0, 0.0.5.1, 0.0.5.2
Change log changelog.md
Dependencies base (>3 && <5), containers (>=0.6.0.0 && <0.8.0.0), hmatrix (>=0.20.0.0 && <0.21.0.0), hmatrix-gsl (>=0.19.0.0 && <0.20.0.0), hmatrix-special (>=0.19.0 && <0.20.0), hquantlib, hquantlib-time (>=0.0.5.1 && <0.0.6.0), mersenne-random-pure64 (>=0.2.0.0 && <0.3.0.0), parallel (>=3.2.0.0 && <3.3.0.0), random (>=1.0 && <2.0), statistics (>=0.15.0.0 && <0.16.0.0), time (>=1.9.0.0 && <1.15.0.0), vector (>=0.11.0.0 && <0.13.0.0), vector-algorithms (>=0.8.0.0 && <0.9.0.0) [details]
License LGPL-3.0-only
Author Pavel Ryzhov
Maintainer Pavel Ryzhov <pavel.ryzhov@gmail.com>
Category Finance
Home page http://github.com/paulrzcz/hquantlib.git
Source repo head: git clone https://github.com/paulrzcz/hquantlib.git
this: git clone https://github.com/paulrzcz/hquantlib.git(tag 0.0.5.2)
Uploaded by PavelRyzhov at 2024-12-18T14:00:29Z
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Reverse Dependencies 1 direct, 0 indirect [details]
Executables mctest
Downloads 10554 total (32 in the last 30 days)
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Readme for hquantlib-0.0.5.2

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HQuantLib

HQuantLib is intended to be a port of QuantLib in Haskell. It is not one-to-one port of the library but rather it is a re-implementation of ideas leveraging current libraries available in Haskell Platform.

The latest version implements:

  1. Currencies (major only)
  2. Time: Thirty360 DayCounter
  3. Base 1D stochastic processes: Geometric Brownian, generic Ito process, square-root, Ornstein-Uhlenbeck, generalized Black-Scholes
  4. Instruments: Bonds and Stocks
  5. Monte Carlo engine for 1D processes
  6. Volatility estimators: simple local estimator, Garman-Klass simple sigma and Parkinson sigma.
  7. Copulas : Clayton, Max, Min, Ali-Mikhail-Haq and Farlie-Gumbel-Morgenstern

Version 0.0.4.0

Monte Carlo engine has been moved to new Haskell-native RNG.