Crate hull_white[−][src]
Functions
american_payer_swaption_t | |
american_receiver_swaption_t | |
bond_call_now | |
bond_call_t | |
bond_price_now | |
bond_price_t |
Returns price of a bond at some future date |
bond_put_now | |
bond_put_t | |
caplet_now | |
caplet_t | |
coupon_bond_call_t | |
coupon_bond_price_now | |
coupon_bond_price_t | |
coupon_bond_put_t | |
euro_dollar_future_now | |
euro_dollar_future_t | |
european_payer_swaption_t | |
european_receiver_swaption_t | |
forward_libor_rate_now | |
forward_libor_rate_t | |
forward_swap_rate_t | |
libor_rate_t | |
mu_r |
Returns expectation of the interest rate process under the risk neutral measure. |
swap_price_t | |
swap_rate_t | |
t_forward_bond_vol |
Returns volality of bond under the t-forward measure. |
variance_r |
Returns variance of the interest rate process |