Function hull_white::bond_put_now [−][src]
pub fn bond_put_now(
a: f64,
sigma: f64,
option_maturity: f64,
bond_maturity: f64,
strike: f64,
yield_curve: &Fn(f64) -> f64
) -> f64
Returns price of a put option on zero coupon bond at current time
Examples
let a = 0.2; //speed of mean reversion for underlying Hull White process let sigma = 0.3; //volatility of underlying Hull White process let option_maturity = 1.5; let bond_maturity = 2.0; let strike = 0.98; let yield_curve = |t:f64|0.05*t; //yield curve returns the "raw" yield (not divided by maturity) let put_price = hull_white::bond_put_now( a, sigma, option_maturity, bond_maturity, strike, &yield_curve );