[−][src]Function hull_white::swap_price_t
pub fn swap_price_t(
r_t: f64,
a: f64,
sigma: f64,
t: f64,
swap_maturity: f64,
delta: f64,
swap_rate: f64,
yield_curve: &dyn Fn(f64) -> f64,
forward_curve: &dyn Fn(f64) -> f64
) -> f64
Returns price of a swap 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 swap_maturity = 5.0; let delta = 0.25; //delta is the tenor of the Libor rate let swap_rate = 0.04; //at initiation, the swap rate is such that the swap has zero value 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 swap = hull_white::swap_price_t( r_t, a, sigma, t, swap_maturity, delta, swap_rate, &yield_curve, &forward_curve );