Crate hull_white

Functions

american_payer_swaption_t	Returns price of an American payer swaption at some future time t This function uses a tree to solve and will take longer to compute than other pricing functions.
american_receiver_swaption_t	Returns price of an American receiver swaption at some future time t This function uses a tree to solve and will take longer to compute than other pricing functions.
bond_call_now	Returns price of a call option on zero coupon bond at current time
bond_call_t	Returns price of a call option on zero coupon bond at some future time
bond_price_now	Returns price of a zero coupon bond at current date
bond_price_t	Returns price of a zero coupon bond at some future date
bond_put_now	Returns price of a put option on zero coupon bond at current time
bond_put_t	Returns price of a put option on zero coupon bond at some future time
caplet_now	Returns price of a caplet at current time
caplet_t	Returns price of a caplet at some future time
coupon_bond_call_t	Returns price of a call option on a coupon bond at some future time
coupon_bond_price_now	Returns price of a coupon bond at current date
coupon_bond_price_t	Returns price of a coupon bond at some future date
coupon_bond_put_t	Returns price of a put option on a coupon bond at some future time
euro_dollar_future_now	Returns price of a Euro Dollar Future at current time
euro_dollar_future_t	Returns price of a Euro Dollar Future at some future time
european_payer_swaption_t	Returns price of a payer swaption at some future time t
european_receiver_swaption_t	Returns price of a receiver swaption at some future time t
forward_libor_rate_now	Returns forward Libor rate at current time
forward_libor_rate_t	Returns forward Libor rate at some future time
forward_swap_rate_t	Returns forward swap rate at some future time
libor_rate_t	Returns Libor rate at some future time
mu_r	Returns expectation of the interest rate process under the risk neutral measure.
swap_price_t	Returns price of a swap at some future time
swap_rate_t	Returns swap rate at some future time
t_forward_bond_vol	Returns volality of bond under the t-forward measure.
variance_r	Returns variance of the interest rate process