Function hull_white::swap_rate_t

pub fn swap_rate_t(
    r_t: f64, 
    a: f64, 
    sigma: f64, 
    t: f64, 
    swap_maturity: f64, 
    delta: f64, 
    yield_curve: &dyn Fn(f64) -> f64, 
    forward_curve: &dyn Fn(f64) -> f64
) -> f64

Returns swap rate 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 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_rate = hull_white::swap_rate_t(
    r_t, a, sigma, t,
    swap_maturity,
    delta,
    &yield_curve, &forward_curve
);