ContingentClaims.Lifecycle.Util¶
This module defines a set of utility functions to extract information from claim trees.
Functions¶
- fixings
: Claim t x a o -> [t]
Return the fixing dates of a claim. This does not discriminate between optional dates which may result from a condition, and outright fixings. It also does not correctly account for malformed trees, where subtrees are orphaned due to impossible
Whenstatements, e.g.,When (t > 1) ((When t < 1) _).
- expiry
: Ord t => Claim t x a o -> Optional t
Return the time after which the claim is worthless, i.e., value = 0, if such a time exists. Also known as ‘maturity’ or ‘horizon’ in the Eber/Jones paper.
- payoffs
: (Eq t, Eq x, Eq o, Multiplicative x) => Claim t x a o -> [(Observation t x o, a)]
Return a list of possible scale-factor/payoff pairs. This does not discriminate between conditional and outright payoffs.
- pruneZeros
: Claim t x a o -> Claim t x a o
Prunes sub-trees which are
Zero.