Crate hull_white[−][src]
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
american_payer_swaption_t |
Returns price of an American payer swaption at some future time t |
american_receiver_swaption_t |
Returns price of an American receiver swaption at some future time t |
bond_call_now |
Returns price of a call option on zero coupon bond at current time |
bond_call_t |
Returns price of a call option on zero coupon bond at some future time |
bond_price_now |
Returns price of a zero coupon bond at current date |
bond_price_t |
Returns price of a zero coupon bond at some future date |
bond_put_now |
Returns price of a put option on zero coupon bond at current time |
bond_put_t |
Returns price of a put option on zero coupon bond at some future time |
caplet_now |
Returns price of a caplet at current time |
caplet_t |
Returns price of a caplet at some future time |
coupon_bond_call_t |
Returns price of a call option on a coupon bond at some future time |
coupon_bond_price_now |
Returns price of a coupon bond at current date |
coupon_bond_price_t |
Returns price of a coupon bond at some future date |
coupon_bond_put_t |
Returns price of a put option on a coupon bond at some future time |
euro_dollar_future_now |
Returns price of a Euro Dollar Future at current time |
euro_dollar_future_t |
Returns price of a Euro Dollar Future at some future time |
european_payer_swaption_t |
Returns price of a payer swaption at some future time t |
european_receiver_swaption_t |
Returns price of a receiver swaption at some future time t |
forward_libor_rate_now |
Returns forward Libor rate at current time |
forward_libor_rate_t |
Returns forward Libor rate at some future time |
forward_swap_rate_t |
Returns forward swap rate at some future time |
libor_rate_t |
Returns Libor rate at some future time |
mu_r |
Returns expectation of the interest rate process under the risk neutral measure. |
swap_price_t |
Returns price of a swap at some future time |
swap_rate_t |
Returns swap rate at some future time |
t_forward_bond_vol |
Returns volality of bond under the t-forward measure. |
variance_r |
Returns variance of the interest rate process |