Function hull_white_convexity_exponent 

pub fn hull_white_convexity_exponent<R: Scalar>(
    t: f64,
    maturity: f64,
    sigma: R,
    mean_reversion: R,
) -> R

The exponent Λ of the Hull–White futures convexity for a term rate fixing at t and running to maturity (years from today): under the model E[1/P(t, T)] = P(0, t)/P(0, T) · e^Λ, with

Λ = σ²B²(1 − e^{−2at})/(2a) + σ²·B·B(0, t)²/2,   B = B(t, T) = (1 − e^{−a(T−t)})/a

— P(t, T) = A·e^{−B·r(t)} with r(t) Gaussian: −ln A and the variance of B·r each give half the first term, the drift the second. Its continuous-rate analogue, without the variance, is Hull’s textbook formula. Below a mean reversion of 1e-10 the limit a → 0 is taken. In the mode, so σ and a differentiate.