Hastructure

Safe Haskell	None
Language	Haskell2010

Analytics

Synopsis

calcConvexity :: DayCount -> Date -> [(Date, Balance)] -> Ts -> Rate
calcDuration :: DayCount -> Date -> [(Date, Balance)] -> Ts -> Rate
pv :: Ts -> Date -> Date -> Amount -> Amount
calcWAL :: TimeHorizion -> Balance -> Date -> [(Balance, Date)] -> Balance
pv2 :: IRate -> Date -> Date -> Amount -> Amount
pv3 :: Ts -> Date -> [Date] -> [Amount] -> Balance
fv2 :: IRate -> Date -> Date -> Amount -> Amount
pv21 :: IRate -> Date -> [Date] -> [Amount] -> Balance
calcRequiredAmtForIrrAtDate :: Double -> [Date] -> [Amount] -> Date -> Maybe Amount
calcIRR :: [Date] -> [Amount] -> Either String Rate
calcSurvivorFactors :: Date -> [Date] -> Double -> [Double]

Documentation

calcConvexity :: DayCount -> Date -> [(Date, Balance)] -> Ts -> Rate Source #

calculate present value of input amount in future with given a curve and PV date

calcDuration :: DayCount -> Date -> [(Date, Balance)] -> Ts -> Rate Source #

pv :: Ts -> Date -> Date -> Amount -> Amount Source #

calculate present value in the future using constant rate

calcWAL :: TimeHorizion -> Balance -> Date -> [(Balance, Date)] -> Balance Source #

pv2 :: IRate -> Date -> Date -> Amount -> Amount Source #

calculate present value to specific date given a series of amount with dates

pv3 :: Ts -> Date -> [Date] -> [Amount] -> Balance Source #

fv2 :: IRate -> Date -> Date -> Amount -> Amount Source #

pv21 :: IRate -> Date -> [Date] -> [Amount] -> Balance Source #

using double for ridder's method

calcRequiredAmtForIrrAtDate :: Double -> [Date] -> [Amount] -> Date -> Maybe Amount Source #

calc IRR from a cashflow

calcIRR :: [Date] -> [Amount] -> Either String Rate Source #

calcSurvivorFactors :: Date -> [Date] -> Double -> [Double] Source #

calculate the Weighted Average Life of cashflow, with unit option to Monthly or Yearly