Module models 

Stochastic models and their closed-form pricing / moment results.

Organised by asset-class, mirroring markets:: and derivatives:::

• common — asset-class-neutral primitives (simulation trait, Black-Scholes and Bachelier analytics, CIR moments, COS pricer).
• interestrate — short-rate and market-model IR dynamics.
• forex — cross-currency stochastic-volatility models (FX-HHW, FX-HLMM, time-dependent SABR, local-vol and SLV).

Distinct from markets::termstructures::yieldcurve, which holds static bootstrapped curves, and from math, which holds pure mathematical primitives (e.g. the normal distribution).

Modules

common

Asset-class-neutral analytics primitives used by every model family: path simulation plumbing, closed-form BS/Bachelier pricers, CIR moments, and the COS characteristic-function pricer.

forex

FX models — Grzelak–Oosterlee FX-HHW and FX-HLMM (short-rate and Libor-market-model variants of cross-currency Heston), the time-dependent SABR stack (van der Stoep et al., 2015) including effective-parameter mappings, calibration and the particle-method SLV compensator, plus the Dupire local-vol surface that feeds it.

interestrate

Interest-rate models — Hull-White today, LMM and short-rate variants as they land. Parallels crate::derivatives::interestrate and crate::markets::interestrate.