libitofin 0.6.1

A ground-up Rust port of QuantLib: quantitative-finance primitives for pricing, risk, and numerical methods.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18

//! Short-rate models.
//!
//! Port of `ql/models/shortrate/`. Flat re-exports of the one-factor affine
//! surface and its concrete models.

pub mod calibrationhelpers;
pub mod coxingersollross;
pub mod extendedcoxingersollross;
pub mod hullwhite;
pub mod onefactormodel;
pub mod vasicek;

pub use calibrationhelpers::SwaptionHelper;
pub use coxingersollross::{CoxIngersollRoss, VolatilityConstraint};
pub use extendedcoxingersollross::ExtendedCoxIngersollRoss;
pub use hullwhite::{HullWhite, convexity_bias};
pub use onefactormodel::{AffineModel, OneFactorAffineModel, ShortRateDynamics, ShortRateTree};
pub use vasicek::Vasicek;