| Safe Haskell | None |
|---|---|
| Language | Haskell2010 |
QuantLib.Methods.MonteCarlo
Synopsis
- data ProcessGenerator sp b d = ProcessGenerator {
- pgStart :: Dot
- pgLength :: Int
- pgProcess :: sp
- pgGenerator :: b
- pgDiscretize :: d
- data PathMonteCarlo s p g = PathMonteCarlo {
- pmcSummary :: s
- pmcPricer :: p
- pmcGenerator :: g
- class PathPricer m where
- class PathGenerator m where
- class PathPricer p => Summary m p | m -> p where
- monteCarlo :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s
- monteCarloParallel :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s
Documentation
data ProcessGenerator sp b d #
Stochastic process generator
Constructors
| ProcessGenerator | |
Fields
| |
Instances
| (StochasticProcess sp, NormalGenerator b, Discretize d) => PathGenerator (ProcessGenerator sp b d) # | |
Defined in QuantLib.Methods.MonteCarlo Methods pgMkNew :: ProcessGenerator sp b d -> IO (ProcessGenerator sp b d) # pgGenerate :: Integer -> ProcessGenerator sp b d -> Path # | |
data PathMonteCarlo s p g #
Path-dependant Monte Carlo engine
Constructors
| PathMonteCarlo | |
Fields
| |
class PathPricer m where #
Path pricer provides a price for given path
Minimal complete definition
Instances
| PathPricer LogLastPointPricer # | |
Defined in QuantLib.Methods.Pricer Methods ppPrice :: LogLastPointPricer -> Path -> LogLastPointPricer # | |
| PathPricer LastPointPricer # | |
Defined in QuantLib.Methods.Pricer Methods ppPrice :: LastPointPricer -> Path -> LastPointPricer # | |
| PathPricer MaxMinClosePricer # | |
Defined in QuantLib.Methods.Pricer Methods ppPrice :: MaxMinClosePricer -> Path -> MaxMinClosePricer # | |
class PathGenerator m where #
Path generator is a stochastic path generator
Minimal complete definition
Instances
| (StochasticProcess sp, NormalGenerator b, Discretize d) => PathGenerator (ProcessGenerator sp b d) # | |
Defined in QuantLib.Methods.MonteCarlo Methods pgMkNew :: ProcessGenerator sp b d -> IO (ProcessGenerator sp b d) # pgGenerate :: Integer -> ProcessGenerator sp b d -> Path # | |
class PathPricer p => Summary m p | m -> p where #
Summary type class aggregates all priced values of paths
Minimal complete definition
Methods
sSummarize :: m -> [p] -> m #
Updates summary with given priced pathes
Defines a metric, i.e. calculate distance between 2 summaries
monteCarlo :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s #
Monte Carlo engine function
monteCarloParallel :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g -> Int -> s #
Monte Carlo engine function. Parallelized version