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
19
20
21
22

//! Swaption pricing engines.
//!
//! Port of `ql/pricingengines/swaption/`: the shared
//! [`BlackStyleSwaptionEngine`] template with its shifted-lognormal
//! ([`BlackSwaptionEngine`]) and normal ([`BachelierSwaptionEngine`])
//! instantiations, plus the model-based [`JamshidianSwaptionEngine`] (European
//! swaption pricing under Hull-White via the Jamshidian decomposition).

mod blackswaptionengine;
mod discretizedswap;
mod discretizedswaption;
mod jamshidianswaptionengine;
mod treeswaptionengine;

pub use blackswaptionengine::{
    BachelierSpec, BachelierSwaptionEngine, Black76Spec, BlackStyleSpec, BlackStyleSwaptionEngine,
    BlackSwaptionEngine, CashAnnuityModel,
};
pub use discretizedswap::DiscretizedSwap;
pub use discretizedswaption::DiscretizedSwaption;
pub use jamshidianswaptionengine::JamshidianSwaptionEngine;
pub use treeswaptionengine::TreeSwaptionEngine;