[][src]Crate hull_white

This is a library of fixed income pricers using a Hull White process as the underlying process. The fundamental times here are (0, t, T, TM). 0 is the current time (and is reflective of the current yield curve) while t is some future time that we may want to price options at given the underlying at that time. T and TM are shorthands for a variety of asset times. For example, an option on a bond requires an option maturity and a bond maturity. The option maturity should be before the bond maturity, but after the future time t. Note that ALL TIMES ARE WITH RESPECT TO 0!

Functions

american_payer_swaption_t

Returns price of an American payer swaption at some future time t

american_receiver_swaption_t

Returns price of an American receiver swaption at some future time t

bond_call_now

Returns price of a call option on zero coupon bond at current time

bond_call_t

Returns price of a call option on zero coupon bond at some future time

bond_price_now

Returns price of a zero coupon bond at current date

bond_price_t

Returns price of a zero coupon bond at some future date

bond_put_now

Returns price of a put option on zero coupon bond at current time

bond_put_t

Returns price of a put option on zero coupon bond at some future time

caplet_now

Returns price of a caplet at current time

caplet_t

Returns price of a caplet at some future time

coupon_bond_call_t

Returns price of a call option on a coupon bond at some future time

coupon_bond_price_now

Returns price of a coupon bond at current date

coupon_bond_price_t

Returns price of a coupon bond at some future date

coupon_bond_put_t

Returns price of a put option on a coupon bond at some future time

euro_dollar_future_now

Returns price of a Euro Dollar Future at current time

euro_dollar_future_t

Returns price of a Euro Dollar Future at some future time

european_payer_swaption_t

Returns price of a payer swaption at some future time t

european_receiver_swaption_t

Returns price of a receiver swaption at some future time t

forward_libor_rate_now

Returns forward Libor rate at current time

forward_libor_rate_t

Returns forward Libor rate at some future time

forward_swap_rate_t

Returns forward swap rate at some future time

libor_rate_t

Returns Libor rate at some future time

mu_r

Returns expectation of the interest rate process under the risk neutral measure.

swap_price_t

Returns price of a swap at some future time

swap_rate_t

Returns swap rate at some future time

t_forward_bond_vol

Returns volality of bond under the t-forward measure.

variance_r

Returns variance of the interest rate process