Function hull_white::coupon_bond_call_t

pub fn coupon_bond_call_t(
    r_t: f64,
    a: f64,
    sigma: f64,
    t: f64,
    option_maturity: f64,
    coupon_times: &[f64],
    bond_maturity: f64,
    coupon_rate: f64,
    strike: f64,
    yield_curve: &dyn Fn(f64) -> f64,
    forward_curve: &dyn Fn(f64) -> f64
) -> f64

Returns price of a call option on a coupon bond at some future time

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 valuing the bond
let option_maturity = 1.5;
let coupon_times = vec![1.25, 1.5, 1.75, 2.0, 2.5];
let bond_maturity = 3.0;
let coupon_rate = 0.05;
let strike = 1.0;
let yield_curve = |t:f64|0.05*t; //yield curve returns the "raw" yield (not divided by maturity)
let forward_curve = |t:f64|t.ln();
let bond_call = hull_white::coupon_bond_call_t(
    r_t, a, sigma, t,
    option_maturity,
    &coupon_times, bond_maturity,
    coupon_rate, strike,
    &yield_curve, &forward_curve
);