hquantlib 0.0.2.5 → 0.0.3.0

raw patch · 5 files changed

+77/−79 lines, 5 filesdep ~QuickCheckdep ~hmatrixdep ~hmatrix-gslPVP: major bump suggested

API removals or changes: PVP suggests a major version bump

Dependency ranges changed: QuickCheck, hmatrix, hmatrix-gsl, hmatrix-special, vector, vector-algorithms

API changes (from Hackage documentation)

Files

• hquantlib.cabal +10/−11
• src/QuantLib/Event.hs +13/−13
• src/QuantLib/Math/Copulas.hs +11/−11
• src/QuantLib/Methods/MonteCarlo.hs +21/−20
• src/QuantLib/Stochastic/Process.hs +22/−24

@@ -1,5 +1,5 @@ name:           hquantlib-version:        0.0.2.5+version:        0.0.3.0 license:        LGPL license-file:   LICENSE author:         Pavel Ryzhov@@ -48,7 +48,7 @@                 QuantLib.Position                 QuantLib.Options                 QuantLib.Methods.MonteCarlo-        +         other-modules:                 QuantLib.Currencies.America                 QuantLib.Currencies.Europe@@ -61,19 +61,19 @@                 QuantLib.Time.Date                 QuantLib.Time.DayCounter                 QuantLib.Math.InverseNormal-        -        build-depends:  ++        build-depends:                         base            >3              && <5,                         time            >= 1.4.0.0      && < 1.7.0.0,                         containers      >= 0.5.0.0      && < 0.6.0.0,-                        hmatrix         >= 0.16.0.0     && < 0.17.0.0,-                        hmatrix-gsl     >= 0.16.0.0     && < 0.17.0.0,-                        hmatrix-special >= 0.3.0        && < 0.4.0,+                        hmatrix         >= 0.17.0.0     && < 0.18.0.0,+                        hmatrix-gsl     >= 0.17.0.0     && < 0.18.0.0,+                        hmatrix-special >= 0.4.0        && < 0.5.0,                         parallel        >= 3.2.0.0      && < 3.3.0.0,                         mersenne-random >= 1.0.0.1      && < 2.0.0.0,                         statistics      >= 0.13.0.0     && < 0.14.0.0,-                        vector          >= 0.10.0.0     && < 0.11.0.0,-                        vector-algorithms >= 0.6.0.0    && < 0.7.0.0+                        vector          >= 0.11.0.0     && < 0.12.0.0,+                        vector-algorithms >= 0.7.0.0    && < 0.8.0.0          hs-source-dirs: src         ghc-options:    -Wall@@ -89,6 +89,5 @@                             test-framework  >= 0.8                && < 0.9,                             test-framework-hunit >= 0.3.0         && < 0.4.0,                             test-framework-quickcheck2 >= 0.3.0.0 && < 0.4.0,-                            QuickCheck      >= 2.5.0              && < 2.6.0,+                            QuickCheck      >= 2.8.0              && < 2.9.0,                             HUnit           >= 1.2.5.2            && < 2.0.0.0-

@@ -2,8 +2,8 @@         (module QuantLib.Event         ) where -import QuantLib.Prices-import QuantLib.Time.Date+import           QuantLib.Prices+import           QuantLib.Time.Date  class Event a where         evDate          :: a->Date@@ -14,18 +14,18 @@         evOccuredInclude event date = evDate event <= date          evCompare :: a->a->Ordering-        evCompare x y     -                | evDate x == evDate y 		= EQ-                | evDate x <= evDate y      	= LT-                | otherwise                     = GT+        evCompare x y+                | evDate x == evDate y = EQ+                | evDate x <= evDate y = LT+                | otherwise            = GT          evEqual :: a->a->Bool         evEqual x y = evDate x == evDate y  -- | Cash flows data type data CashFlow = CashFlow {-        cfDate          :: Date,-        cfAmount        :: Double+        cfDate   :: Date,+        cfAmount :: Double         } deriving (Show)  instance Event CashFlow where@@ -40,12 +40,12 @@ -- | Sequence of cash-flows type Leg        = [CashFlow] -data Callability = Call { -        cPrice  :: CallPrice,-        cDate   :: Date+data Callability = Call {+        cPrice :: CallPrice,+        cDate  :: Date         } | Put {-        cPrice  :: CallPrice,-        cDate   :: Date+        cPrice :: CallPrice,+        cDate  :: Date         } deriving (Show)  instance Event Callability where

@@ -1,9 +1,9 @@ module QuantLib.Math.Copulas-        ( Copula,-          Copulas (..) +        ( Copula (..),+          Copulas (..)         ) where -{-| Copula type class. +{-| Copula type class.  -| Normally instance should implement only copulaFunc.  -| Method copula provides a precheck for [0..1] range for x and y but real implementation is in copulaFunc  -}@@ -47,7 +47,7 @@         copulaFunc (GalambosCopula theta)                   = galambosCopula theta         copulaFunc (GaussianCopula rho)                     = gaussianCopula rho         copulaFunc (GumbelCopula theta)                     = gumbelCopula theta-        copulaFunc (HuslerReissCopula theta)                = huslerReissCopula theta +        copulaFunc (HuslerReissCopula theta)                = huslerReissCopula theta         copulaFunc IndependentCopula                        = independentCopula         copulaFunc (MarshallOlkinCopula a b)                = marshallOlkinCopula a b         copulaFunc (PlackettCopula theta)                   = plackettCopula theta@@ -69,17 +69,17 @@                 = Nothing  {-|  Original code and algorithm from the Quantlib project-     implemented in Haskell by Nicholas Pezolano +     implemented in Haskell by Nicholas Pezolano                                   npezolano "at" gmail.com -} claytonCopula :: Double -> Double -> Double -> Maybe Double claytonCopula theta x y-	|  theta ==0 -	|| theta < -1.0-	 = Nothing+  |  theta ==0+  || theta < -1.0+   = Nothing -	| otherwise -	= Just $ max( (x ** (-theta) ) +   (y ** (-theta)-1.0)  **   (-1.0/theta)) 0+   | otherwise+   = Just $ max( (x ** (-theta) ) +   (y ** (-theta)-1.0)  **   (-1.0/theta)) 0  minCopula ::  Ord a => a -> a -> Maybe a minCopula x y = Just (min x y)@@ -91,7 +91,7 @@ frankCopula theta x y     | theta     == 0.0 = Nothing     | otherwise = Just (-1.0/theta * log (1 + (exp (-theta*x) - 1.0) * (exp (-theta*y) -1.0) / (exp (-theta) - 1.0)   ))- + galambosCopula ::  (Floating a, Ord a) => a -> a -> a -> Maybe a galambosCopula theta x y     | theta <= 0.0  = Nothing

@@ -1,12 +1,14 @@-{-# LANGUAGE MultiParamTypeClasses, FunctionalDependencies, BangPatterns #-}+{-# LANGUAGE BangPatterns           #-}+{-# LANGUAGE FunctionalDependencies #-}+{-# LANGUAGE MultiParamTypeClasses  #-} module QuantLib.Methods.MonteCarlo         ( module QuantLib.Methods.MonteCarlo         ) where -import Control.Monad()-import Control.Parallel.Strategies-import QuantLib.Stochastic.Process-import QuantLib.Stochastic.Random+import           Control.Monad               ()+import           Control.Parallel.Strategies+import           QuantLib.Stochastic.Process+import           QuantLib.Stochastic.Random  -- | Summary type class aggregates all priced values of paths class PathPricer p => Summary m p | m->p where@@ -26,18 +28,18 @@   -- | Monte Carlo engine function-monteCarlo :: (Summary s p, PathPricer p, PathGenerator g) => PathMonteCarlo s p g->Int->IO s+monteCarlo :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g->Int->IO s monteCarlo (PathMonteCarlo s p g) size = do-        priced <- mapM (\_ -> pricing) [1..size]+        priced <- mapM (const pricing) [1..size]         return $ sSummarize s priced         where   pricing = do                         !path <- pgGenerate g                         return $! ppPrice p path  -- | Monte Carlo engine function. Parallelized version-monteCarloParallel :: (Summary s p, PathPricer p, PathGenerator g) => PathMonteCarlo s p g->Int->IO s+monteCarloParallel :: (Summary s p, PathGenerator g) => PathMonteCarlo s p g->Int->IO s monteCarloParallel (PathMonteCarlo s p g) size = do-        priced <- mapM (\_ -> pricing) [1..size] `using` rpar+        priced <- mapM (const pricing) [1..size] `using` rpar         return $ sSummarize s priced         where   pricing = do                         !path <- pgGenerate g@@ -46,25 +48,25 @@ -- | Path-dependant Monte Carlo engine data PathMonteCarlo s p g =         PathMonteCarlo {-                pmcSummary      :: s,-                pmcPricer       :: p,-                pmcGenerator    :: g+                pmcSummary   :: s,+                pmcPricer    :: p,+                pmcGenerator :: g         }  -- | This pricer gets the last point of path data LastPointPricer = LastPointPricer Dot  instance PathPricer LastPointPricer where-        ppPrice _ path = LastPointPricer (last path) +        ppPrice _ path = LastPointPricer (last path)  -- | Stochastic process generator-data ProcessGenerator sp b d = +data ProcessGenerator sp b d =         ProcessGenerator {-                pgStart         :: Dot,-                pgLength        :: Int,-                pgProcess       :: sp,-                pgGenerator     :: b,-                pgDiscretize    :: d+                pgStart      :: Dot,+                pgLength     :: Int,+                pgProcess    :: sp,+                pgGenerator  :: b,+                pgDiscretize :: d         }  instance (StochasticProcess sp, NormalGenerator b, Discretize d) => PathGenerator (ProcessGenerator sp b d) where@@ -72,4 +74,3 @@                 newRnd <- ngMkNew rnd                 return $! ProcessGenerator start len process newRnd d         pgGenerate (ProcessGenerator start len sp b d) = generatePath b d sp len start-

@@ -3,9 +3,9 @@         ( module QuantLib.Stochastic.Process )         where -import Control.Monad (foldM)-import Data.List (foldl')-import QuantLib.Stochastic.Random (NormalGenerator (..))+import           Control.Monad              (foldM)+import           Data.List                  (foldl')+import           QuantLib.Stochastic.Random (NormalGenerator (..))  -- | Discretization of stochastic process over given interval class Discretize b where@@ -21,7 +21,7 @@         evolve discr p dot dw = Dot newT newX                 where   !newT = getT dot + dDt p discr dot                         !newX = getX dot + dDrift p discr dot + dDiff p discr dot * dw- + -- | Dot. t and x pair data Dot = Dot { getT :: {-# UNPACK #-} !Double, getX :: {-# UNPACK #-} !Double }         deriving (Show, Eq)@@ -42,9 +42,9 @@   -- | Geometric Brownian motion-data GeometricBrownian = GeometricBrownian { -        gbDrift :: Double, -        gbDiff :: Double +data GeometricBrownian = GeometricBrownian {+        gbDrift :: Double,+        gbDiff  :: Double         } deriving (Show)  instance StochasticProcess GeometricBrownian where@@ -52,9 +52,9 @@         diff  p (Dot _ x) = gbDiff p  * x  -- | Ito process-data ItoProcess = ItoProcess { -        ipDrift :: Dot->Double, -        ipDiff :: Dot->Double +data ItoProcess = ItoProcess {+        ipDrift :: Dot->Double,+        ipDiff  :: Dot->Double         }  instance StochasticProcess ItoProcess where@@ -62,10 +62,10 @@         diff    = ipDiff  -- | Square-root process-data SquareRootProcess = SquareRootProcess { -        srpSpeed        :: Double, -        srpMean         :: Double,-        srpSigma        :: Double+data SquareRootProcess = SquareRootProcess {+        srpSpeed :: Double,+        srpMean  :: Double,+        srpSigma :: Double         } deriving (Show)  instance StochasticProcess SquareRootProcess where@@ -74,9 +74,9 @@  -- | Ornstein-Uhlenbeck process data OrnsteinUhlenbeckProcess = OrnsteinUhlenbeckProcess {-        oupSpeed        :: Double,-        oupLevel        :: Double,-        oupSigma        :: Double+        oupSpeed :: Double,+        oupLevel :: Double,+        oupSigma :: Double         } deriving (Show)  instance StochasticProcess OrnsteinUhlenbeckProcess where@@ -85,13 +85,11 @@  -- | Generalized Black-Scholes process data BlackScholesProcess = BlackScholesProcess {-        bspRiskFree     :: Double->Double,-        bspDividend     :: Double->Double,-        bspBlackVol     :: Dot->Double+        bspRiskFree :: Double->Double,+        bspDividend :: Double->Double,+        bspBlackVol :: Dot->Double         }  instance StochasticProcess BlackScholesProcess where-        drift (BlackScholesProcess r q v) dot 	= r (getT dot) - q ( getT dot) - 0.5 * v dot ** 2 -        diff    				= bspBlackVol--+        drift (BlackScholesProcess r q v) dot = r (getT dot) - q ( getT dot) - 0.5 * v dot ** 2+        diff = bspBlackVol