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drift_convexity

Function drift_convexity 

fn drift_convexity<R: Scalar>(params: &HullWhiteParameters<R>, t: f64) -> R
Expand 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.