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HQuantLib, financial math in Haskell
Haskell
branch: master
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src Minor documentations for #17
.gitignore gitignore for build artefacts
.hgignore Initial commit of first part of HQuantLib
LICENSE Initial commit of first part of HQuantLib
Setup.hs
build.sh Monte Carlo methods are implemented and partially tested.
hquantlib.cabal GHC 7.10 support by libraries version refresh
readme.md Version upgrade to 0.0.2.3 to keep insync with github

readme.md

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:

  1. Currencies (major only)
  2. Time: Thirty360 DayCounter
  3. Base 1D stochastic processes: Geometric Brownian, generic Ito process, square-root, Ornstein-Uhlenbeck, generalized Black-Scholes
  4. Instruments: Bonds and Stocks
  5. Monte Carlo engine for 1D processes
  6. Volatility estimators: simple local estimator, Garman-Klass simple sigma and Parkinson sigma.
  7. Copulas : Clayton, Max, Min, Ali-Mikhail-Haq and Farlie-Gumbel-Morgenstern
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