Function hull_white::mu_r [−][src]
pub fn mu_r(
r_t: f64,
a: f64,
sigma: f64,
t: f64,
t_m: f64,
forward_curve: &Fn(f64) -> f64
) -> f64
Returns expectation of the interest rate process under the risk neutral measure.
Examples
let r_t = 0.04; //current rate let a = 0.2; //speed of mean reversion for underlying Hull White process let sigma = 0.3; //volatility of underlying Hull White process let t = 1.0; //time from "now" (0) to start taking the expectation let t_m = 2.0; //horizon of the expectation let forward_curve = |t:f64|t.ln(); let expected_value = hull_white::mu_r( r_t, a, sigma, t, t_m, &forward_curve );