Function hull_white::variance_r

pub fn variance_r(a: f64, sigma: f64, t: f64, t_m: f64) -> f64

Returns variance of the interest rate process

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; //time from "now" (0) to start taking the variance
let t_m = 2.0; //horizon of the variance
let variance = hull_white::variance_r(a, sigma, t, t_m);