diff --git a/hquantlib.cabal b/hquantlib.cabal --- a/hquantlib.cabal +++ b/hquantlib.cabal @@ -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 - diff --git a/src/QuantLib/Event.hs b/src/QuantLib/Event.hs --- a/src/QuantLib/Event.hs +++ b/src/QuantLib/Event.hs @@ -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 diff --git a/src/QuantLib/Math/Copulas.hs b/src/QuantLib/Math/Copulas.hs --- a/src/QuantLib/Math/Copulas.hs +++ b/src/QuantLib/Math/Copulas.hs @@ -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 diff --git a/src/QuantLib/Methods/MonteCarlo.hs b/src/QuantLib/Methods/MonteCarlo.hs --- a/src/QuantLib/Methods/MonteCarlo.hs +++ b/src/QuantLib/Methods/MonteCarlo.hs @@ -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 - diff --git a/src/QuantLib/Stochastic/Process.hs b/src/QuantLib/Stochastic/Process.hs --- a/src/QuantLib/Stochastic/Process.hs +++ b/src/QuantLib/Stochastic/Process.hs @@ -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