hquantlib 0.0.4.0 → 0.0.5.0

raw patch · 6 files changed

+11/−139 lines, 6 filesdep +hquantlib-timedep ~hmatrixdep ~hmatrix-gsldep ~hmatrix-specialPVP: major bump suggested

API removals or changes: PVP suggests a major version bump

Dependencies added: hquantlib-time

Dependency ranges changed: hmatrix, hmatrix-gsl, hmatrix-special

API changes (from Hackage documentation)

Files

• hquantlib.cabal +9/−10
• src/QuantLib.hs +1/−0
• src/QuantLib/Time.hs +0/−8
• src/QuantLib/Time/Date.hs +0/−60
• src/QuantLib/Time/DayCounter.hs +0/−60
• src/Tests/McTest.hs +1/−1

@@ -1,12 +1,12 @@ name:           hquantlib-version:        0.0.4.0+version:        0.0.5.0 license:        LGPL license-file:   LICENSE author:         Pavel Ryzhov maintainer:     Pavel Ryzhov <pavel.ryzhov@gmail.com> category:       Finance synopsis:       HQuantLib is a port of essencial parts of QuantLib to Haskell-description:    HQuantLib is intended to be a functional style port of QuantLib (http://quantlib.org)+description:    HQuantLib is intended to be a functional style port of QuantLib (<http://quantlib.org>) build-type:     Simple stability:      alpha homepage:       http://github.com/paulrzcz/hquantlib.git@@ -37,7 +37,6 @@                 QuantLib.PricingEngines                 QuantLib.PricingEngines.BlackFormula                 QuantLib.Quotes-                QuantLib.Time                 QuantLib.TimeSeries                 QuantLib.Money                 QuantLib.Math@@ -59,24 +58,23 @@                 QuantLib.Stochastic.Process                 QuantLib.Stochastic.Random                 QuantLib.Currency-                QuantLib.Time.Date-                QuantLib.Time.DayCounter                 QuantLib.Math.InverseNormal                 QuantLib.Stochastic.PureMT          build-depends:                         base                    >3              && <5,                         random                  >= 1.0          && < 2.0,-                        time                    >= 1.4.0.0      && < 1.7.0.0,+                        time                    >= 1.4.0.0      && < 1.9.0.0,                         containers              >= 0.5.0.0      && < 0.6.0.0,-                        hmatrix                 >= 0.17.0.0     && < 0.19.0.0,-                        hmatrix-gsl             >= 0.17.0.0     && < 0.19.0.0,-                        hmatrix-special         >= 0.4.0        && < 0.5.0,+                        hmatrix                 >= 0.19.0.0     && < 0.20.0.0,+                        hmatrix-gsl             >= 0.19.0.0     && < 0.20.0.0,+                        hmatrix-special         >= 0.19.0       && < 0.20.0,                         parallel                >= 3.2.0.0      && < 3.3.0.0,                         mersenne-random-pure64  >= 0.2.0.0      && < 0.3.0.0,                         statistics              >= 0.13.0.0     && < 0.15.0.0,                         vector                  >= 0.11.0.0     && < 0.13.0.0,-                        vector-algorithms       >= 0.7.0.0    && < 0.8.0.0+                        vector-algorithms       >= 0.7.0.0      && < 0.8.0.0,+                        hquantlib-time          >= 0.0.4.0      && < 0.0.6.0          hs-source-dirs: src         ghc-options:    -Wall@@ -95,6 +93,7 @@                             QuantLib.Stochastic.Discretize                             QuantLib.Stochastic.Process                             QuantLib.Stochastic.Random+                            QuantLib.Stochastic.PureMT       build-depends   :     base,                             hquantlib,                             parallel,

@@ -6,3 +6,4 @@ import QuantLib.TimeSeries as Q import QuantLib.Prices as Q import QuantLib.Math as Q+import QuantLib.Time as Q

@@ -1,8 +0,0 @@-module QuantLib.Time-        ( module QuantLib.Time.Date-        , module QuantLib.Time.DayCounter-        ) where--import QuantLib.Time.Date-import QuantLib.Time.DayCounter-

@@ -1,60 +0,0 @@-module QuantLib.Time.Date-        ( module QuantLib.Time.Date-        ) where--import Data.Time-import Data.Time.Calendar.WeekDate--{- | Business Day conventions- - These conventions specify the algorithm used to adjust a date in case it is not a valid business day.- -}-data BusinessDayConvention = Following -        | ModifiedFollowing -        | Preceding-        | ModifiedPreceding-        | Unadjusted-        deriving (Show, Eq, Enum)---- | Week days-data WeekDay = Monday | Tuesday | Wednesday | Thursday | Friday | Saturday | Sunday-        deriving (Show, Eq, Enum)---- | Date-type Date = Day---- | Defines a holidays for given calendar. Corresponds to calendar class in QuantLib-class Holiday m where-        isHoliday :: m->(Integer, Int, Int)->Bool-        -        isBusinessDay :: m->Date->Bool-        isBusinessDay m d = not (isHoliday m $ toGregorian d)--        hBusinessDayBetween :: m->(Date, Date)->Int-        hBusinessDayBetween m (fd, td) = foldl countDays 0 listOfDates-                where   countDays counter x     = counter + fromEnum (isBusinessDay m x)-                        listOfDates             = getDaysBetween (fd, td)---- | Gets a week day -getWeekDay :: Date->WeekDay-getWeekDay d   = toEnum (weekDay - 1)-        where   (_, _, weekDay) = toWeekDate d---- | Generate a list of all dates inbetween-getDaysBetween ::  (Day, Day) -> [Day]-getDaysBetween (fd, td) = reverse $ generator fd []-        where   generator date x-                        | date < td     = generator nextDate (nextDate : x)-                        | otherwise     = x-                        where   nextDate        = addDays 1 date---- | Checks if the day is a weekend, i.e. Saturday or Sunday-isWeekEnd :: Date->Bool-isWeekEnd d     = (weekday == Saturday) || (weekday == Sunday)-        where   weekday = getWeekDay d---- | Gets the next working day-getNextBusinessDay :: Holiday a => a->Date->Date-getNextBusinessDay m d-        | isBusinessDay m nextDay       = nextDay-        | otherwise                     = getNextBusinessDay m nextDay-        where   nextDay = addDays 1 d

@@ -1,60 +0,0 @@-module QuantLib.Time.DayCounter-        ( module QuantLib.Time.DayCounter-        ) where--import QuantLib.Time.Date-import Data.Time.Calendar---- | Day counter type class-class DayCounter m where-        -- | Name of day counter-        dcName          :: m->String-        -- | Number of business days inbetween-        dcCount         :: m->Date->Date->Int-        -- | Year fraction-        dcYearFraction  :: m->Date->Date->Double--{--data SimpleDayCounter = SimpleDayCounter--instance DayCounter SimpleDayCounter where-        dcName _        = "Simple"-        dcCount         = undefined-        dcYearFraction  = undefined--}---- | Thirty day counters as in QuantLib-data Thirty360 = ThirtyUSA | ThirtyEuropean | ThirtyItalian--instance DayCounter Thirty360 where-        dcName ThirtyUSA        = "Thirty USA"-        dcName ThirtyEuropean   = "Thirty Euro"-        dcName ThirtyItalian    = "Thirty Italian"--        dcYearFraction  dc fromDate toDate = fromIntegral (dcCount dc fromDate toDate) / 360.0--        dcCount ThirtyUSA fd td = 360*(yy2-yy1) + 30*(mm2-mm1-1) + max 0 (30-dd1) + min 30 dd2-                where   (yy1, mm1, dd1) = intGregorian fd-                        (yy2, m2, d2)   = intGregorian td-                        (dd2, mm2)      = adjust dd1 d2 m2-                        adjust x1 x2 z2-                                | x2 == 31 && x1 < 30   = (1, z2+1)-                                | otherwise             = (x2, z2)---        dcCount ThirtyEuropean fd td = 360*(yy2-yy1) + 30*(m2-m1-1) + max 0 (30-d1) + min 30 d2-                where   (yy1, m1, d1)    = intGregorian fd-                        (yy2, m2, d2)    = intGregorian td--        dcCount ThirtyItalian fd td = 360*(yy2-yy1) + 30*(mm2-mm1-1) + max 0 (30-dd1) + min 30 dd2-                where   (yy1, mm1, d1)   = intGregorian fd-                        (yy2, mm2, d2)   = intGregorian td-                        dd1              = adjust d1 mm1-                        dd2              = adjust d2 mm2-                        adjust x1 z1-                                | z1 == 2 && x1 > 27    = 30-                                | otherwise             = x1--intGregorian ::  Day -> (Int, Int, Int)-intGregorian date = (fromIntegral y, m, d)-        where   (y, m, d) = toGregorian date 

@@ -45,6 +45,6 @@         rng <- mkInverseNormal :: IO (InverseNormal PureMT)         let pg      = ProcessGenerator start 1000 sp rng discrete         let pmc     = PathMonteCarlo summary mmcp pg-        let s = monteCarlo pmc 100000+        let s = monteCarlo pmc 1000         printMap s         print (getHsSize s)