Popularity
8.9
Stable
Activity
4.0
-
62
11
15
Monthly Downloads: 40
Programming language: Haskell
License: LicenseRef-LGPL
Tags:
Finance
hquantlib alternatives and similar packages
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dollaridoos
A typesafe wrapper around monetary values represented as numeric values, allowing only sensible operations.
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README
HQuantLib
HQuantLib is intended to be a port of QuantLib in Haskell. It is not one-to-one port of the library but rather it is a re-implementation of ideas leveraging current libraries available in Haskell Platform.
The latest version implements:
- Currencies (major only)
- Time: Thirty360 DayCounter
- Base 1D stochastic processes: Geometric Brownian, generic Ito process, square-root, Ornstein-Uhlenbeck, generalized Black-Scholes
- Instruments: Bonds and Stocks
- Monte Carlo engine for 1D processes
- Volatility estimators: simple local estimator, Garman-Klass simple sigma and Parkinson sigma.
- Copulas : Clayton, Max, Min, Ali-Mikhail-Haq and Farlie-Gumbel-Morgenstern
Version 0.0.4.0
Monte Carlo engine has been moved to new Haskell-native RNG.