Function drift_convexity
fn drift_convexity<R: Scalar>(params: &HullWhiteParameters<R>, t: f64) -> RExpand description
The drift convexity C(t) the displacement carries over the forward,
α(t) = f(0, t) + C(t): (σ²/2a²)(1 − e^{−at})² for a flat volatility
(½σ²t² as a → 0), the term’s own C(t) otherwise.