Function hull_white::forward_libor_rate_now
source · Expand description
Returns forward Libor rate at current time
Examples
let maturity = 1.5;
let delta = 0.25; //delta is the tenor of the Libor rate
let yield_curve = |t:f64|0.05*t; //yield curve returns the "raw" yield (not divided by maturity)
let forward_libor = hull_white::forward_libor_rate_now(
maturity, delta,
&yield_curve
);