Function step_covariance 

fn step_covariance(
    hw: &HullWhiteParameters<f64>,
    b: f64,
    eta: f64,
    rho: f64,
    s: f64,
    t: f64,
) -> [[f64; 4]; 4]

The 4×4 covariance of (x_t, y_t, ∫_s^t x, ∫_s^t y) given the state at s.