Function hull_white::t_forward_bond_vol [−][src]
pub fn t_forward_bond_vol(a: f64, sigma: f64, t: f64, t_m: f64, t_f: f64) -> f64
Returns volality of bond under the t-forward measure.
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 t = 1.0; let t_m = 2.0; let t_f = 3.0; let bond_vol = hull_white::t_forward_bond_vol( a, sigma, t, t_m, t_f );