hq 0.1.0.3 → 0.1.0.4
raw patch · 2 files changed
+6/−9 lines, 2 files
Files
hq.cabal view
@@ -7,7 +7,7 @@ -- hash: ccfecaab3d1004f03e5a9e851269c0209561044c1b9aa90d587dc93a936394f0 name: hq-version: 0.1.0.3+version: 0.1.0.4 synopsis: Quantitative Library category: Finance description: Please see the README on GitHub at <https://github.com/ghais/hq#readme>@@ -22,9 +22,6 @@ extra-source-files: README.md ChangeLog.md-flag onlygsl- description: don't link gslcblas- default: False flag disable-default-paths description: When enabled, don't add default hardcoded include/link dirs by default. Needed for hermetic builds like in nix.@@ -157,10 +154,7 @@ if arch(x86_64) cc-options: -fPIC - if flag(onlygsl)- extra-libraries: gsl- else- pkgconfig-depends: gsl + pkgconfig-depends: gsl test-suite bachelier-test default-extensions:
src/Q/Options/ImpliedVol/StrikeInterpolation.hs view
@@ -26,6 +26,9 @@ interpolateV CubicAkima (SortedVector strikes) vols (Strike k) = Vol $ GSL.evaluateV GSL.Akima (coerce strikes) (coerce vols) k + interpolateV CubicMonotone (SortedVector strikes) vols (Strike k) =- Vol $ GSL.evaluateV GSL.Steffen (coerce strikes) (coerce vols) k+ -- The interpolation method should be Steffen but until the next+ -- version of hmatrix-gsl is release i am using Akima.+ Vol $ GSL.evaluateV GSL.Akima (coerce strikes) (coerce vols) k