Crate hull_white

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This is a library of fixed income pricers using a Hull White process as the underlying process. The fundamental times here are (0, t, T, TM). 0 is the current time (and is reflective of the current yield curve) while t is some future time that we may want to price options at given the underlying at that time. T and TM are shorthands for a variety of asset times. For example, an option on a bond requires an option maturity and a bond maturity. The option maturity should be before the bond maturity, but after the future time t. Note that ALL TIMES ARE WITH RESPECT TO 0!

Functions

Returns price of an American payer swaption at some future time t
Returns price of an American receiver swaption at some future time t
Returns price of a call option on zero coupon bond at current time
Returns price of a call option on zero coupon bond at some future time
Returns price of a zero coupon bond at current date
Returns price of a zero coupon bond at some future date
Returns price of a put option on zero coupon bond at current time
Returns price of a put option on zero coupon bond at some future time
Returns price of a caplet at current time
Returns price of a caplet at some future time
Returns price of a call option on a coupon bond at some future time
Returns price of a coupon bond at current date
Returns price of a coupon bond at some future date
Returns price of a put option on a coupon bond at some future time
Returns price of a Euro Dollar Future at current time
Returns price of a Euro Dollar Future at some future time
Returns price of a payer swaption at some future time t
Returns price of a receiver swaption at some future time t
Returns forward Libor rate at current time
Returns forward Libor rate at some future time
Returns forward swap rate at some future time
Returns Libor rate at some future time
Returns expectation of the interest rate process under the risk neutral measure.
Returns price of a swap at some future time
Returns swap rate at some future time
Returns volality of bond under the t-forward measure.
Returns variance of the interest rate process