Function hull_white::forward_libor_rate_now

pub fn forward_libor_rate_now(
    maturity: f64,
    delta: f64,
    yield_curve: &dyn Fn(f64) -> f64
) -> f64

Returns forward Libor rate at current time

Examples

let maturity = 1.5;
let delta = 0.25; //delta is the tenor of the Libor rate
let yield_curve = |t:f64|0.05*t; //yield curve returns the "raw" yield (not divided by maturity)
let forward_libor = hull_white::forward_libor_rate_now(
    maturity, delta,
    &yield_curve
);