Hastructure-0.50.0: Cashflow modeling library for structured finance
Safe HaskellNone
LanguageHaskell2010

InterestRate

Documentation

data ARM Source #

Constructors

ARM InitPeriod InitCap PeriodicCap LifetimeCap RateFloor 
OtherARM 

Instances

Instances details
FromJSON ARM Source # 
Instance details

Defined in InterestRate

Methods

parseJSON :: Value -> Parser ARM #

parseJSONList :: Value -> Parser [ARM] #

omittedField :: Maybe ARM #

ToJSON ARM Source # 
Instance details

Defined in InterestRate

Methods

toJSON :: ARM -> Value #

toEncoding :: ARM -> Encoding #

toJSONList :: [ARM] -> Value #

toEncodingList :: [ARM] -> Encoding #

omitField :: ARM -> Bool #

Generic ARM Source # 
Instance details

Defined in InterestRate

Associated Types

type Rep ARM 
Instance details

Defined in InterestRate

type Rep ARM

Methods

from :: ARM -> Rep ARM x #

to :: Rep ARM x -> ARM #

Show ARM Source # 
Instance details

Defined in InterestRate

Methods

showsPrec :: Int -> ARM -> ShowS #

show :: ARM -> String #

showList :: [ARM] -> ShowS #

Eq ARM Source # 
Instance details

Defined in InterestRate

Methods

(==) :: ARM -> ARM -> Bool #

(/=) :: ARM -> ARM -> Bool #

Ord ARM Source # 
Instance details

Defined in InterestRate

Methods

compare :: ARM -> ARM -> Ordering #

(<) :: ARM -> ARM -> Bool #

(<=) :: ARM -> ARM -> Bool #

(>) :: ARM -> ARM -> Bool #

(>=) :: ARM -> ARM -> Bool #

max :: ARM -> ARM -> ARM #

min :: ARM -> ARM -> ARM #

ToSchema ARM Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

declareNamedSchema :: Proxy ARM -> Declare (Definitions Schema) NamedSchema #

type Rep ARM Source # 
Instance details

Defined in InterestRate

type Rep ARM

data RateType Source #

Constructors

Fix DayCount IRate 
Floater DayCount Index Spread IRate DatePattern RateFloor RateCap (Maybe (RoundingBy IRate)) 

Instances

Instances details
FromJSON RateType Source # 
Instance details

Defined in InterestRate

Methods

parseJSON :: Value -> Parser RateType #

parseJSONList :: Value -> Parser [RateType] #

omittedField :: Maybe RateType #

ToJSON RateType Source # 
Instance details

Defined in InterestRate

Methods

toJSON :: RateType -> Value #

toEncoding :: RateType -> Encoding #

toJSONList :: [RateType] -> Value #

toEncodingList :: [RateType] -> Encoding #

omitField :: RateType -> Bool #

Generic RateType Source # 
Instance details

Defined in InterestRate

Associated Types

type Rep RateType 
Instance details

Defined in InterestRate

type Rep RateType

Methods

from :: RateType -> Rep RateType x #

to :: Rep RateType x -> RateType #

Show RateType Source # 
Instance details

Defined in InterestRate

Methods

showsPrec :: Int -> RateType -> ShowS #

show :: RateType -> String #

showList :: [RateType] -> ShowS #

Eq RateType Source # 
Instance details

Defined in InterestRate

Methods

(==) :: RateType -> RateType -> Bool #

(/=) :: RateType -> RateType -> Bool #

Ord RateType Source # 
Instance details

Defined in InterestRate

Methods

compare :: RateType -> RateType -> Ordering #

(<) :: RateType -> RateType -> Bool #

(<=) :: RateType -> RateType -> Bool #

(>) :: RateType -> RateType -> Bool #

(>=) :: RateType -> RateType -> Bool #

max :: RateType -> RateType -> RateType #

min :: RateType -> RateType -> RateType #

ToSchema RateType Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

declareNamedSchema :: Proxy RateType -> Declare (Definitions Schema) NamedSchema #

type Rep RateType Source # 
Instance details

Defined in InterestRate

type Rep RateType

runInterestRate2 :: ARM -> (Date, StartRate) -> RateType -> ResetDates -> Ts -> Ts Source #

runInterestRate :: ARM -> StartRate -> RateType -> ResetDates -> Ts -> [IRate] Source #

class UseRate x where Source #

Methods

isAdjustbleRate :: x -> Bool Source #

getIndex :: x -> Maybe Index Source #

getIndexes :: x -> Maybe [Index] Source #

getResetDates :: x -> Dates Source #

getSpread :: x -> Maybe Spread Source #

Instances

Instances details
UseRate Account Source # 
Instance details

Defined in Accounts

Methods

isAdjustbleRate :: Account -> Bool Source #

getIndex :: Account -> Maybe Index Source #

getIndexes :: Account -> Maybe [Index] Source #

getResetDates :: Account -> Dates Source #

getSpread :: Account -> Maybe Spread Source #

UseRate AssetUnion Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

isAdjustbleRate :: AssetUnion -> Bool Source #

getIndex :: AssetUnion -> Maybe Index Source #

getIndexes :: AssetUnion -> Maybe [Index] Source #

getResetDates :: AssetUnion -> Dates Source #

getSpread :: AssetUnion -> Maybe Spread Source #

UseRate FixedAsset Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

isAdjustbleRate :: FixedAsset -> Bool Source #

getIndex :: FixedAsset -> Maybe Index Source #

getIndexes :: FixedAsset -> Maybe [Index] Source #

getResetDates :: FixedAsset -> Dates Source #

getSpread :: FixedAsset -> Maybe Spread Source #

UseRate Installment Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

isAdjustbleRate :: Installment -> Bool Source #

getIndex :: Installment -> Maybe Index Source #

getIndexes :: Installment -> Maybe [Index] Source #

getResetDates :: Installment -> Dates Source #

getSpread :: Installment -> Maybe Spread Source #

UseRate Lease Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

isAdjustbleRate :: Lease -> Bool Source #

getIndex :: Lease -> Maybe Index Source #

getIndexes :: Lease -> Maybe [Index] Source #

getResetDates :: Lease -> Dates Source #

getSpread :: Lease -> Maybe Spread Source #

UseRate Loan Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

isAdjustbleRate :: Loan -> Bool Source #

getIndex :: Loan -> Maybe Index Source #

getIndexes :: Loan -> Maybe [Index] Source #

getResetDates :: Loan -> Dates Source #

getSpread :: Loan -> Maybe Spread Source #

UseRate Mortgage Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

isAdjustbleRate :: Mortgage -> Bool Source #

getIndex :: Mortgage -> Maybe Index Source #

getIndexes :: Mortgage -> Maybe [Index] Source #

getResetDates :: Mortgage -> Dates Source #

getSpread :: Mortgage -> Maybe Spread Source #

UseRate ProjectedCashflow Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

isAdjustbleRate :: ProjectedCashflow -> Bool Source #

getIndex :: ProjectedCashflow -> Maybe Index Source #

getIndexes :: ProjectedCashflow -> Maybe [Index] Source #

getResetDates :: ProjectedCashflow -> Dates Source #

getSpread :: ProjectedCashflow -> Maybe Spread Source #

UseRate Receivable Source # 
Instance details

Defined in AssetClass.AssetBase

Methods

isAdjustbleRate :: Receivable -> Bool Source #

getIndex :: Receivable -> Maybe Index Source #

getIndexes :: Receivable -> Maybe [Index] Source #

getResetDates :: Receivable -> Dates Source #

getSpread :: Receivable -> Maybe Spread Source #

UseRate CreditDefaultSwap Source # 
Instance details

Defined in CreditEnhancement

Methods

isAdjustbleRate :: CreditDefaultSwap -> Bool Source #

getIndex :: CreditDefaultSwap -> Maybe Index Source #

getIndexes :: CreditDefaultSwap -> Maybe [Index] Source #

getResetDates :: CreditDefaultSwap -> Dates Source #

getSpread :: CreditDefaultSwap -> Maybe Spread Source #

UseRate LiqFacility Source # 
Instance details

Defined in CreditEnhancement

Methods

isAdjustbleRate :: LiqFacility -> Bool Source #

getIndex :: LiqFacility -> Maybe Index Source #

getIndexes :: LiqFacility -> Maybe [Index] Source #

getResetDates :: LiqFacility -> Dates Source #

getSpread :: LiqFacility -> Maybe Spread Source #

UseRate Fee Source # 
Instance details

Defined in Expense

Methods

isAdjustbleRate :: Fee -> Bool Source #

getIndex :: Fee -> Maybe Index Source #

getIndexes :: Fee -> Maybe [Index] Source #

getResetDates :: Fee -> Dates Source #

getSpread :: Fee -> Maybe Spread Source #

UseRate RateCap Source # 
Instance details

Defined in Hedge

Methods

isAdjustbleRate :: RateCap -> Bool Source #

getIndex :: RateCap -> Maybe Index Source #

getIndexes :: RateCap -> Maybe [Index] Source #

getResetDates :: RateCap -> Dates Source #

getSpread :: RateCap -> Maybe Spread Source #

UseRate RateSwap Source # 
Instance details

Defined in Hedge

Methods

isAdjustbleRate :: RateSwap -> Bool Source #

getIndex :: RateSwap -> Maybe Index Source #

getIndexes :: RateSwap -> Maybe [Index] Source #

getResetDates :: RateSwap -> Dates Source #

getSpread :: RateSwap -> Maybe Spread Source #

UseRate SRT Source # 
Instance details

Defined in Hedge

Methods

isAdjustbleRate :: SRT -> Bool Source #

getIndex :: SRT -> Maybe Index Source #

getIndexes :: SRT -> Maybe [Index] Source #

getResetDates :: SRT -> Dates Source #

getSpread :: SRT -> Maybe Spread Source #

UseRate Bond Source # 
Instance details

Defined in Liability

Methods

isAdjustbleRate :: Bond -> Bool Source #

getIndex :: Bond -> Maybe Index Source #

getIndexes :: Bond -> Maybe [Index] Source #

getResetDates :: Bond -> Dates Source #

getSpread :: Bond -> Maybe Spread Source #

getRateResetDates :: Date -> Date -> Maybe RateType -> Dates Source #

getDayCount :: RateType -> DayCount Source #

calcInt :: Balance -> Date -> Date -> IRate -> DayCount -> Amount Source #

calcIntRate :: Date -> Date -> IRate -> DayCount -> IRate Source #

calcIntRateCurve :: DayCount -> IRate -> [Date] -> [IRate] Source #

getSpread :: UseRate x => x -> Maybe Spread Source #

_getSpread :: RateType -> Maybe Spread Source #