Function hull_white::coupon_bond_price_t

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

Returns price of a coupon bond at some future date

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 coupon_times = vec![1.25, 1.5, 1.75]; //should be between t and bond_maturity
let bond_maturity = 2.0;
let coupon_rate = 0.05;
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_price = hull_white::coupon_bond_price_t(
    r_t, a, sigma, t,
    &coupon_times, bond_maturity,
    coupon_rate,
    &yield_curve, &forward_curve
);