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View Code? Open in Web Editor NEWHQuantLib, financial math in Haskell
License: GNU Lesser General Public License v3.0
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npezolano johntyree dm04806 orderthruchaos pcaspers manholo asuardia clefru silky sheganinans caiorss ozansahal-cd evgenypetrovsky afcarl isalnikovhquantlib's Issues
Volatility estimators
As it is in my book
Build failure with GHC 8.2
Error: While constructing the build plan, the following exceptions were encountered:
In the dependencies for hquantlib-0.0.4.0:
hmatrix must match >=0.17.0.0 && <0.19.0.0, but the stack configuration has no specified version
(latest applicable is 0.18.0.0)
hmatrix-gsl must match >=0.17.0.0 && <0.19.0.0, but the stack configuration has no specified version
(latest applicable is 0.18.0.1)
hmatrix-special must match >=0.4.0 && <0.5.0, but the stack configuration has no specified version
(latest applicable is 0.4.0.1)
needed since hquantlib-0.0.4.0 is a build target.
Blocked by haskell-numerics/hmatrix#232
Gaussian copula
return bivariate_normal_cdf_(invCumNormal_(x), invCumNormal_(y));
Migrate to GHC 7.4
The new GHC is out and we should migrate it to the newest one.
Copulas
Implement all copulas from QuantLib:
frankcopula.hpp
galamboscopula.hpp
gumbelcopula.hpp
independentcopula.hpp
marshallolkincopula.hpp
plackettcopula.hpp
Priceable type class
Instruments should implement a Priceable class.
The class should include net value to given date.
Copula type class
Copula to be extracted to single type class with instances of different copulas
The process directory and contents are missing from the hackage tar.gz file.
Get rid of gsl-random
GSL-random binding doesn't seem to be updated for ages.
It seems mersenne-random a good choice: http://hackage.haskell.org/package/mersenne-random
HUnit integration
QuickCheck integration
http://hackage.haskell.org/package/QuickCheck
Find appropriate pieces of code to test.
Generic GARCH framework
GHC 8.0.1 crashes compiling hquantlib-0.0.3.2 on Linux/i586
A complete build log running on openSUSE:Tumbleweed is attached below.
[ 79s] + cd hquantlib-0.0.3.2
[ 79s] ++ ghc --info
[ 79s] ++ grep '"Booter version","8.0.1"'
[ 79s] + '[' '!' ' ,("Booter version","8.0.1")' ']'
[ 79s] + '[' -x Setup ']'
[ 79s] + ghc --make -no-user-package-db Setup
[ 79s] [1 of 1] Compiling Main ( Setup.hs, Setup.o )
[ 79s]
[ 79s] Setup.hs:4:1: warning: [-Wdeprecations]
[ 79s] Module `System.Cmd' is deprecated: Use "System.Process" instead
[ 79s] Linking Setup ...
[ 85s] + LANG=en_US.utf8
[ 85s] + ./Setup configure -v --prefix=/usr --libdir=/usr/lib --docdir=/usr/share/doc/packages/ghc-hquantlib '--libsubdir=$compiler/$pkgkey' '--datasubdir=$pkgid' --ghc -p --enable-shared --htmldir=/usr/share/doc/ghc-8.0.1/html/libraries/hquantlib-0.0.3.2 --global
[ 85s] Configuring hquantlib-0.0.3.2...
[ 85s] Flags chosen: optimize=True
[ 85s] Dependency base >3 && <5: using base-4.9.0.0
[ 85s] Dependency containers >=0.5.0.0 && <0.6.0.0: using containers-0.5.7.1
[ 85s] Dependency hmatrix >=0.17.0.0 && <0.18.0.0: using hmatrix-0.17.0.2
[ 85s] Dependency hmatrix-gsl >=0.17.0.0 && <0.18.0.0: using hmatrix-gsl-0.17.0.0
[ 85s] Dependency hmatrix-special >=0.4.0 && <0.5.0: using hmatrix-special-0.4.0.0
[ 85s] Dependency hquantlib -any: using hquantlib-0.0.3.2
[ 85s] Dependency mersenne-random >=1.0.0.1 && <2.0.0.0: using
[ 85s] mersenne-random-1.0.0.1
[ 85s] Dependency parallel >=3.2.0.0 && <3.3.0.0: using parallel-3.2.1.0
[ 85s] Dependency statistics >=0.13.0.0 && <0.14.0.0: using statistics-0.13.3.0
[ 85s] Dependency time >=1.4.0.0 && <1.7.0.0: using time-1.6.0.1
[ 85s] Dependency vector >=0.11.0.0 && <0.12.0.0: using vector-0.11.0.0
[ 85s] Dependency vector-algorithms >=0.7.0.0 && <0.8.0.0: using
[ 85s] vector-algorithms-0.7.0.1
[ 85s] Using Cabal-1.24.0.0 compiled by ghc-8.0
[ 85s] Using compiler: ghc-8.0.1
[ 85s] Using install prefix: /usr
[ 85s] Binaries installed in: /usr/bin
[ 85s] Libraries installed in:
[ 85s] /usr/lib/ghc-8.0.1/hquantlib-0.0.3.2-DGOjZhUWsx7JCqVskspgqk
[ 85s] Private binaries installed in: /usr/libexec
[ 85s] Data files installed in: /usr/share/hquantlib-0.0.3.2
[ 85s] Documentation installed in: /usr/share/doc/packages/ghc-hquantlib
[ 85s] Configuration files installed in: /usr/etc
[ 85s] No alex found
[ 85s] Using ar found on system at: /usr/bin/ar
[ 85s] No c2hs found
[ 85s] No cpphs found
[ 85s] Using gcc version 6 found on system at: /usr/bin/gcc
[ 85s] Using ghc version 8.0.1 found on system at: /usr/bin/ghc
[ 85s] Using ghc-pkg version 8.0.1 found on system at: /usr/bin/ghc-pkg
[ 85s] No ghcjs found
[ 85s] No ghcjs-pkg found
[ 85s] No greencard found
[ 85s] Using haddock version 2.17.2 found on system at: /usr/bin/haddock
[ 85s] No happy found
[ 85s] Using haskell-suite found on system at: haskell-suite-dummy-location
[ 85s] Using haskell-suite-pkg found on system at: haskell-suite-pkg-dummy-location
[ 85s] No hmake found
[ 85s] Using hpc version 0.67 found on system at: /usr/bin/hpc
[ 85s] Using hsc2hs version 0.68 found on system at: /usr/bin/hsc2hs
[ 85s] No hscolour found
[ 85s] No jhc found
[ 85s] Using ld found on system at: /usr/bin/ld
[ 85s] No lhc found
[ 85s] No lhc-pkg found
[ 85s] Using pkg-config version 0.29.1 found on system at: /usr/bin/pkg-config
[ 85s] Using strip version 2.27 found on system at: /usr/bin/strip
[ 85s] Using tar found on system at: /bin/tar
[ 85s] No uhc found
[ 85s] + '[' -x Setup ']'
[ 85s] + LANG=en_US.utf8
[ 85s] + ./Setup build -j8 -v
[ 85s] Component build order: library, executable 'mctest'
[ 85s] creating dist/build
[ 85s] creating dist/build/autogen
[ 85s] Building hquantlib-0.0.3.2...
[ 85s] /usr/bin/ghc-pkg init dist/package.conf.inplace
[ 85s] Preprocessing library hquantlib-0.0.3.2...
[ 85s] Building library...
[ 85s] creating dist/build
[ 86s] /usr/bin/ghc --make -fbuilding-cabal-package -O -j8 -static -dynamic-too -dynosuf dyn_o -dynhisuf dyn_hi -outputdir dist/build -odir dist/build -hidir dist/build -stubdir dist/build -i -idist/build -isrc -idist/build/autogen -Idist/build/autogen -Idist/build -optP-include -optPdist/build/autogen/cabal_macros.h -this-unit-id hquantlib-0.0.3.2-DGOjZhUWsx7JCqVskspgqk -hide-all-packages -no-user-package-db -package-db dist/package.conf.inplace -package-id base-4.9.0.0 -package-id containers-0.5.7.1 -package-id hmatrix-0.17.0.2-HoBfYSJ1dMG9PoVkmbcnW2 -package-id hmatrix-gsl-0.17.0.0-4Eh4xqEHBmz83ZPjsogqwV -package-id hmatrix-special-0.4.0.0-GLR2wIwDLUVDLrfKLLIx2A -package-id mersenne-random-1.0.0.1-I3NVEvNvCsKId8PGpN9jQk -package-id parallel-3.2.1.0-6VcN0yUHtcs831TgbJiSSi -package-id statistics-0.13.3.0-9SRGA4XmgTO9cXlxqXSCQb -package-id time-1.6.0.1 -package-id vector-0.11.0.0-BEDZb5o2QOhGbIm6ky7rl6 -package-id vector-algorithms-0.7.0.1-8R8UpWgvBC926XMxBjYPpx -XHaskell2010 QuantLib QuantLib.Event QuantLib.Instruments QuantLib.Currencies QuantLib.Stochastic QuantLib.Priceable QuantLib.PricingEngines QuantLib.PricingEngines.BlackFormula QuantLib.Quotes QuantLib.Time QuantLib.TimeSeries QuantLib.Money QuantLib.Math QuantLib.Math.Copulas QuantLib.Models QuantLib.Models.Volatility QuantLib.Prices QuantLib.Position QuantLib.Options QuantLib.Methods.MonteCarlo QuantLib.Currencies.America QuantLib.Currencies.Europe QuantLib.Instruments.Instrument QuantLib.Instruments.Stock QuantLib.Stochastic.Discretize QuantLib.Stochastic.Process QuantLib.Stochastic.Random QuantLib.Currency QuantLib.Time.Date QuantLib.Time.DayCounter QuantLib.Math.InverseNormal -Wall -funbox-strict-fields -O2 -fspec-constr -fdicts-cheap
[ 86s] [ 1 of 31] Compiling QuantLib.Math.Copulas ( src/QuantLib/Math/Copulas.hs, dist/build/QuantLib/Math/Copulas.o )
[ 99s]
[ 99s] <no location info>: error:
[ 99s] <command line>: can't load .so/.DLL for: /usr/lib/ghc-8.0.1/hmatrix-special-0.4.0.0-GLR2wIwDLUVDLrfKLLIx2A/libHShmatrix-special-0.4.0.0-GLR2wIwDLUVDLrfKLLIx2A-ghc8.0.1.so (/usr/lib/ghc-8.0.1/hmatrix-special-0.4.0.0-GLR2wIwDLUVDLrfKLLIx2A/libHShmatrix-special-0.4.0.0-GLR2wIwDLUVDLrfKLLIx2A-ghc8.0.1.so: undefined symbol: gsl_sf_legendre_array_size)
[ 99s] [ 2 of 31] Compiling QuantLib.Math.InverseNormal ( src/QuantLib/Math/InverseNormal.hs, dist/build/QuantLib/Math/InverseNormal.o )
[ 99s]
[ 99s] <no location info>: error:
[ 99s] ghc: panic! (the 'impossible' happened)
[ 99s] (GHC version 8.0.1 for i386-unknown-linux):
[ 99s] Dynamic linker not initialised
[ 99s]
[ 99s] Please report this as a GHC bug: http://www.haskell.org/ghc/reportabug
[ 99s]
[ 99s] [ 3 of 31] Compiling QuantLib.Options ( src/QuantLib/Options.hs, dist/build/QuantLib/Options.o )
[ 99s] [ 4 of 31] Compiling QuantLib.PricingEngines.BlackFormula ( src/QuantLib/PricingEngines/BlackFormula.hs, dist/build/QuantLib/PricingEngines/BlackFormula.o )
[ 99s]
[ 99s] <no location info>: error:
[ 99s] ghc: panic! (the 'impossible' happened)
[ 99s] (GHC version 8.0.1 for i386-unknown-linux):
[ 99s] Dynamic linker not initialised
[ 99s]
[ 99s] Please report this as a GHC bug: http://www.haskell.org/ghc/reportabug
[ 99s]
[ 99s] [ 6 of 31] Compiling QuantLib.Priceable ( src/QuantLib/Priceable.hs, dist/build/QuantLib/Priceable.o )
[ 99s] [11 of 31] Compiling QuantLib.Currency ( src/QuantLib/Currency.hs, dist/build/QuantLib/Currency.o )
[ 99s] [12 of 31] Compiling QuantLib.Currencies.Europe ( src/QuantLib/Currencies/Europe.hs, dist/build/QuantLib/Currencies/Europe.o )
[ 99s] [13 of 31] Compiling QuantLib.Currencies.America ( src/QuantLib/Currencies/America.hs, dist/build/QuantLib/Currencies/America.o )
[ 99s] [14 of 31] Compiling QuantLib.Currencies ( src/QuantLib/Currencies.hs, dist/build/QuantLib/Currencies.o )
[ 99s] [15 of 31] Compiling QuantLib.Instruments.Instrument ( src/QuantLib/Instruments/Instrument.hs, dist/build/QuantLib/Instruments/Instrument.o )
[ 99s] [16 of 31] Compiling QuantLib.Instruments.Stock ( src/QuantLib/Instruments/Stock.hs, dist/build/QuantLib/Instruments/Stock.o )
[ 100s] [17 of 31] Compiling QuantLib.Instruments ( src/QuantLib/Instruments.hs, dist/build/QuantLib/Instruments.o )
[ 100s] [18 of 31] Compiling QuantLib.Time.Date ( src/QuantLib/Time/Date.hs, dist/build/QuantLib/Time/Date.o )
[ 100s] [19 of 31] Compiling QuantLib.Time.DayCounter ( src/QuantLib/Time/DayCounter.hs, dist/build/QuantLib/Time/DayCounter.o )
[ 101s] [20 of 31] Compiling QuantLib.Time ( src/QuantLib/Time.hs, dist/build/QuantLib/Time.o )
[ 101s] [22 of 31] Compiling QuantLib.Prices ( src/QuantLib/Prices.hs, dist/build/QuantLib/Prices.o )
[ 101s] [23 of 31] Compiling QuantLib.Event ( src/QuantLib/Event.hs, dist/build/QuantLib/Event.o )
[ 101s] [24 of 31] Compiling QuantLib.PricingEngines ( src/QuantLib/PricingEngines.hs, dist/build/QuantLib/PricingEngines.o )
[ 101s] [25 of 31] Compiling QuantLib.TimeSeries ( src/QuantLib/TimeSeries.hs, dist/build/QuantLib/TimeSeries.o )
[ 101s] [26 of 31] Compiling QuantLib.Models.Volatility ( src/QuantLib/Models/Volatility.hs, dist/build/QuantLib/Models/Volatility.o )
[ 101s]
[ 101s] <no location info>: error:
[ 101s] ghc: panic! (the 'impossible' happened)
[ 101s] (GHC version 8.0.1 for i386-unknown-linux):
[ 101s] Dynamic linker not initialised
[ 101s]
[ 101s] Please report this as a GHC bug: http://www.haskell.org/ghc/reportabug
[ 101s]
[ 101s] [28 of 31] Compiling QuantLib.Position ( src/QuantLib/Position.hs, dist/build/QuantLib/Position.o )
[ 101s] [29 of 31] Compiling QuantLib.Money ( src/QuantLib/Money.hs, dist/build/QuantLib/Money.o )
[ 101s] error: Bad exit status from /var/tmp/rpm-tmp.SWPysm (%build)
Garch 1.1 as in quantlib
Automated unit-testing
The automated unit-test run is to be provided.
With reports, hlint etc.
Compatibility with hs-linear-algebra package
"Hello Pavel,
I just tried to install hquantlib-0.0.2.0 and it fails because because:
gsl-random-0.4.3 requires vector versions < 0.8
hmatrix-0.13.0.0 requires vector >= 0.8
When I try to install an earlier version of hmatrix without this
constraint, namely, hmatrix-0.11.1.0 (still compatible with
hquantlib constraint) it fails due to duplicate instance
declarations in lib/Numeric/Vector.hs:44:10
I suspect that there is an inconsistency with Pat Perry's
hs-linear-algebra package, which is installed on my system,
together with later versions of hmatrix.
The upper bound constraint on gsl-random seems to
be the main problem, and it is not clear why this is needed
(gsl-random is not a vector package?).
Anyway, I wonder if you know about this problem and
perhaps you have found a work-around?
Thanks,
Dominick"
GHC 7.6.3 upgrade
To be prepared for the next Haskell Platform 2013.2
Shard Quantlib.Time into it's own package?
Hi,
We frequently run into a need to compute business days with respect to various calendars. The Quantlib.Time looks great for this task but the hmatrix dependency is prohibitive for compiling to GHCJS / ARM / iOS.
Any chance you'd consider making it a separate package?
MC performance
Improve performance of Monte-Carlo engine by moving to MC monads from the package http://hackage.haskell.org/package/monte-carlo
Husler-Reiss copula
pow(x,cumNormal_(1.0/theta_+0.5_theta__log(-log(x)/-log(y))))pow(y,cumNormal(1.0/theta_+0.5_theta_*log(-log(y)/-log(x))));
Distribution type class
The probability distribution should be promoted in the package. I did not find any appropriate package with CDF supports.
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