@hackage hquantlib0.0.5.2
HQuantLib is a port of essencial parts of QuantLib to Haskell
Installation
Dependencies (13)
- 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-time >=0.0.5.1 && <0.0.6.0 Show all…
Dependents (1)
@hackage/acme-everything
Package Flags
optimize
(on by default)
Enable optimizations for library and benchmarks
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:
- Currencies (major only)
- Time: Thirty360 DayCounter
- Base 1D stochastic processes: Geometric Brownian, generic Ito process, square-root, Ornstein-Uhlenbeck, generalized Black-Scholes
- Instruments: Bonds and Stocks
- Monte Carlo engine for 1D processes
- Volatility estimators: simple local estimator, Garman-Klass simple sigma and Parkinson sigma.
- 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.