Function hull_white::t_forward_bond_vol

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

Returns volality of bond under the t-forward measure.

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;
let t_m = 2.0;
let t_f = 3.0;
let bond_vol = hull_white::t_forward_bond_vol(
    a, sigma, t,
    t_m, t_f
);