Module ContingentClaims.Core.Builders¶

Functions¶

: Int -> Int -> [Month] -> Int -> [Date]

Helper function to generate a series of fixing dates, e.g. for coupon payments in fixed. This assumes fixingMonths and fixingDates are ordered. The Daml Finance library(https://github.com/digital-asset/daml-finance) has more feature-complete date handling functions.

forward

: t -> Observation t x o -> Claim t x a o -> Claim t x a o

Forward agreement. Discounted by (potentially stochastic) interest rate r.

fra

: t -> t -> Observation t x o -> Observation t x o -> Claim t x a o -> Claim t x a o

Forward rate agreement.

zcb

: t -> x -> ccy -> Claim t x ccy o

Zero Coupon Bond.

floating

: Observation t x o -> Observation t x o -> ccy -> [t] -> Claim t x ccy o

A floating rate bond.

fixed

: x -> x -> ccy -> [t] -> Claim t x ccy o

A (fixed rate) coupon paying bond.

european

: t -> Claim t x a o -> Claim t x a o

European option on the passed claim. e.g. call option on S&P 500:

european (date 2021 05 14) (observe "SPX" - pure 4200)

bermudan

: [t] -> Claim t x a o -> Claim t x a o

Bermudan option on the passed claim. Given a pre-defined set of times {t_1, t_2, .., t_N}, it allows the holder to acquire the underlying claim on at most one of these times.

american

: t -> t -> Claim t x a o -> Claim t x a o

American option (knock-in). The lead parameter is the first possible acquisition date.

swap

: ([t] -> Claim t x a o) -> ([t] -> Claim t x a o) -> [t] -> Claim t x a o

Asset swap on specific fixing dates [t]. For example:

fixedUsdVsFloatingEur : [t] -> Serializable.Claim Text
fixedUsdVsFloatingEur =
  fixed 100.0 0.02 "USD" `swap` floating (observe "USDEUR" * pure 100.0) (observe "EUR1M") "EUR"