diff --git a/hquantlib.cabal b/hquantlib.cabal --- a/hquantlib.cabal +++ b/hquantlib.cabal @@ -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 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 () 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, diff --git a/src/QuantLib.hs b/src/QuantLib.hs --- a/src/QuantLib.hs +++ b/src/QuantLib.hs @@ -6,3 +6,4 @@ import QuantLib.TimeSeries as Q import QuantLib.Prices as Q import QuantLib.Math as Q +import QuantLib.Time as Q diff --git a/src/QuantLib/Time.hs b/src/QuantLib/Time.hs deleted file mode 100644 --- a/src/QuantLib/Time.hs +++ /dev/null @@ -1,8 +0,0 @@ -module QuantLib.Time - ( module QuantLib.Time.Date - , module QuantLib.Time.DayCounter - ) where - -import QuantLib.Time.Date -import QuantLib.Time.DayCounter - diff --git a/src/QuantLib/Time/Date.hs b/src/QuantLib/Time/Date.hs deleted file mode 100644 --- a/src/QuantLib/Time/Date.hs +++ /dev/null @@ -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 diff --git a/src/QuantLib/Time/DayCounter.hs b/src/QuantLib/Time/DayCounter.hs deleted file mode 100644 --- a/src/QuantLib/Time/DayCounter.hs +++ /dev/null @@ -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 diff --git a/src/Tests/McTest.hs b/src/Tests/McTest.hs --- a/src/Tests/McTest.hs +++ b/src/Tests/McTest.hs @@ -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)