hquantlib (empty) → 0.0.1
raw patch · 8 files changed
+312/−0 lines, 8 filesdep +containersdep +gsl-randomdep +haskell2010setup-changed
Dependencies added: containers, gsl-random, haskell2010, hmatrix, hmatrix-special, time
Files
- LICENSE +165/−0
- Setup.hs +6/−0
- hquantlib.cabal +43/−0
- src/QuantLib.hs +18/−0
- src/QuantLib/Currencies.hs +9/−0
- src/QuantLib/Event.hs +54/−0
- src/QuantLib/Instruments.hs +7/−0
- src/QuantLib/Stochastic.hs +10/−0
+ LICENSE view
@@ -0,0 +1,165 @@+ GNU LESSER GENERAL PUBLIC LICENSE+ Version 3, 29 June 2007++ Copyright (C) 2007 Free Software Foundation, Inc. <http://fsf.org/>+ Everyone is permitted to copy and distribute verbatim copies+ of this license document, but changing it is not allowed.+++ This version of the GNU Lesser General Public License incorporates+the terms and conditions of version 3 of the GNU General Public+License, supplemented by the additional permissions listed below.++ 0. Additional Definitions.++ As used herein, "this License" refers to version 3 of the GNU Lesser+General Public License, and the "GNU GPL" refers to version 3 of the GNU+General Public License.++ "The Library" refers to a covered work governed by this License,+other than an Application or a Combined Work as defined below.++ An "Application" is any work that makes use of an interface provided+by the Library, but which is not otherwise based on the Library.+Defining a subclass of a class defined by the Library is deemed a mode+of using an interface provided by the Library.++ A "Combined Work" is a work produced by combining or linking an+Application with the Library. The particular version of the Library+with which the Combined Work was made is also called the "Linked+Version".++ The "Minimal Corresponding Source" for a Combined Work means the+Corresponding Source for the Combined Work, excluding any source code+for portions of the Combined Work that, considered in isolation, are+based on the Application, and not on the Linked Version.++ The "Corresponding Application Code" for a Combined Work means the+object code and/or source code for the Application, including any data+and utility programs needed for reproducing the Combined Work from the+Application, but excluding the System Libraries of the Combined Work.++ 1. Exception to Section 3 of the GNU GPL.++ You may convey a covered work under sections 3 and 4 of this License+without being bound by section 3 of the GNU GPL.++ 2. Conveying Modified Versions.++ If you modify a copy of the Library, and, in your modifications, a+facility refers to a function or data to be supplied by an Application+that uses the facility (other than as an argument passed when the+facility is invoked), then you may convey a copy of the modified+version:++ a) under this License, provided that you make a good faith effort to+ ensure that, in the event an Application does not supply the+ function or data, the facility still operates, and performs+ whatever part of its purpose remains meaningful, or++ b) under the GNU GPL, with none of the additional permissions of+ this License applicable to that copy.++ 3. Object Code Incorporating Material from Library Header Files.++ The object code form of an Application may incorporate material from+a header file that is part of the Library. You may convey such object+code under terms of your choice, provided that, if the incorporated+material is not limited to numerical parameters, data structure+layouts and accessors, or small macros, inline functions and templates+(ten or fewer lines in length), you do both of the following:++ a) Give prominent notice with each copy of the object code that the+ Library is used in it and that the Library and its use are+ covered by this License.++ b) Accompany the object code with a copy of the GNU GPL and this license+ document.++ 4. Combined Works.++ You may convey a Combined Work under terms of your choice that,+taken together, effectively do not restrict modification of the+portions of the Library contained in the Combined Work and reverse+engineering for debugging such modifications, if you also do each of+the following:++ a) Give prominent notice with each copy of the Combined Work that+ the Library is used in it and that the Library and its use are+ covered by this License.++ b) Accompany the Combined Work with a copy of the GNU GPL and this license+ document.++ c) For a Combined Work that displays copyright notices during+ execution, include the copyright notice for the Library among+ these notices, as well as a reference directing the user to the+ copies of the GNU GPL and this license document.++ d) Do one of the following:++ 0) Convey the Minimal Corresponding Source under the terms of this+ License, and the Corresponding Application Code in a form+ suitable for, and under terms that permit, the user to+ recombine or relink the Application with a modified version of+ the Linked Version to produce a modified Combined Work, in the+ manner specified by section 6 of the GNU GPL for conveying+ Corresponding Source.++ 1) Use a suitable shared library mechanism for linking with the+ Library. A suitable mechanism is one that (a) uses at run time+ a copy of the Library already present on the user's computer+ system, and (b) will operate properly with a modified version+ of the Library that is interface-compatible with the Linked+ Version.++ e) Provide Installation Information, but only if you would otherwise+ be required to provide such information under section 6 of the+ GNU GPL, and only to the extent that such information is+ necessary to install and execute a modified version of the+ Combined Work produced by recombining or relinking the+ Application with a modified version of the Linked Version. (If+ you use option 4d0, the Installation Information must accompany+ the Minimal Corresponding Source and Corresponding Application+ Code. If you use option 4d1, you must provide the Installation+ Information in the manner specified by section 6 of the GNU GPL+ for conveying Corresponding Source.)++ 5. Combined Libraries.++ You may place library facilities that are a work based on the+Library side by side in a single library together with other library+facilities that are not Applications and are not covered by this+License, and convey such a combined library under terms of your+choice, if you do both of the following:++ a) Accompany the combined library with a copy of the same work based+ on the Library, uncombined with any other library facilities,+ conveyed under the terms of this License.++ b) Give prominent notice with the combined library that part of it+ is a work based on the Library, and explaining where to find the+ accompanying uncombined form of the same work.++ 6. Revised Versions of the GNU Lesser General Public License.++ The Free Software Foundation may publish revised and/or new versions+of the GNU Lesser General Public License from time to time. Such new+versions will be similar in spirit to the present version, but may+differ in detail to address new problems or concerns.++ Each version is given a distinguishing version number. If the+Library as you received it specifies that a certain numbered version+of the GNU Lesser General Public License "or any later version"+applies to it, you have the option of following the terms and+conditions either of that published version or of any later version+published by the Free Software Foundation. If the Library as you+received it does not specify a version number of the GNU Lesser+General Public License, you may choose any version of the GNU Lesser+General Public License ever published by the Free Software Foundation.++ If the Library as you received it specifies that a proxy can decide+whether future versions of the GNU Lesser General Public License shall+apply, that proxy's public statement of acceptance of any version is+permanent authorization for you to choose that version for the+Library.
+ Setup.hs view
@@ -0,0 +1,6 @@+#!/usr/bin/env runhaskell++import Distribution.Simple+import System.Cmd++main = defaultMain
+ hquantlib.cabal view
@@ -0,0 +1,43 @@+name: hquantlib+version: 0.0.1+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)+build-type: Simple+stability: alpha+homepage: http://code.google.com/p/hquantlib/+cabal-version: >= 1.10.0++source-repository head+ type: hg+ location: https://hquantlib.googlecode.com/hg/++source-repository this+ type: hg+ location: https://hquantlib.googlecode.com/hg/+ tag: 0.0.1++library+ default-language: Haskell2010+ exposed-modules:+ QuantLib+ QuantLib.Event+ QuantLib.Instruments+ QuantLib.Currencies+ QuantLib.Stochastic+ + build-depends: + haskell2010 == 1.0.0.0,+ time >= 1.2.0.0,+ containers >= 0.4.0.0,+ hmatrix >= 0.11.0.0,+ hmatrix-special >= 0.1.1,+ gsl-random >= 0.4.0++ hs-source-dirs: src+ ghc-options: -Wall+
+ src/QuantLib.hs view
@@ -0,0 +1,18 @@+module QuantLib+ ( module QuantLib.Stochastic+ , module QuantLib.Money+ , module QuantLib.Currencies+ , module QuantLib.Position+ , module QuantLib.TimeSeries+ , module QuantLib.Prices+ , module QuantLib.VolatilityModel+ )+ where++import QuantLib.Stochastic+import QuantLib.Money+import QuantLib.Currencies+import QuantLib.Position+import QuantLib.TimeSeries+import QuantLib.Prices+import QuantLib.VolatilityModel
+ src/QuantLib/Currencies.hs view
@@ -0,0 +1,9 @@+module QuantLib.Currencies+ ( module QuantLib.Currency+ , module QuantLib.Currencies.Europe+ , module QuantLib.Currencies.America+ ) where++import QuantLib.Currency+import QuantLib.Currencies.Europe+import QuantLib.Currencies.America
+ src/QuantLib/Event.hs view
@@ -0,0 +1,54 @@+module QuantLib.Event+ (module QuantLib.Event+ ) where++import Data.Time.LocalTime+import QuantLib.Prices++class Event a where+ evDate :: a->LocalTime+ evOccured :: a->LocalTime->Bool+ evOccured event date = (evDate event) < date++ evOccuredInclude:: a->LocalTime->Bool+ 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++ evEqual :: a->a->Bool+ evEqual x y = (evDate x) == (evDate y)++data CashFlow = CashFlow {+ cfDate :: LocalTime,+ cfAmount :: Double+ } deriving (Show)++instance Event CashFlow where+ evDate (CashFlow date _) = date++instance Eq CashFlow where+ (==) = evEqual++instance Ord CashFlow where+ compare = evCompare++data Callability = Call { + cPrice :: CallPrice,+ cDate :: LocalTime+ } | Put {+ cPrice :: CallPrice,+ cDate :: LocalTime+ } deriving (Show)++instance Event Callability where+ evDate = cDate++instance Eq Callability where+ (==) = evEqual++instance Ord Callability where+ compare = evCompare
+ src/QuantLib/Instruments.hs view
@@ -0,0 +1,7 @@+module QuantLib.Instruments+ ( module QuantLib.Instruments.Instrument+ , module QuantLib.Instruments.Stock+ ) where++import QuantLib.Instruments.Instrument+import QuantLib.Instruments.Stock
+ src/QuantLib/Stochastic.hs view
@@ -0,0 +1,10 @@+module QuantLib.Stochastic+ ( module QuantLib.Stochastic.Process+ , module QuantLib.Stochastic.Discretize+ , module QuantLib.Stochastic.Random+ )+ where++import QuantLib.Stochastic.Process+import QuantLib.Stochastic.Discretize+import QuantLib.Stochastic.Random