Struct HullWhite 

pub struct HullWhite {
    pub mean_reversion: f64,
    pub sigma: SigmaTerm<f64>,
}

A validated one-factor Hull-White model, passive.

The stored form of the parameters: what a calibration writes and a caller pins. Pricing reads them in the mode — lift produces the HullWhiteParameters the engines take, and when they come from the market instead they arrive already lifted, carrying the sensitivities of the inputs they were resolved from.

Fields

mean_reversion: f64

Mean-reversion speed a. Strictly positive.

sigma: SigmaTerm<f64>

Short-rate volatility: flat, or a piecewise-constant term.

Implementations

impl HullWhite

pub fn new(mean_reversion: f64, sigma: f64) -> Result<Self, CurveError>

A model with mean reversion a and a flat volatility sigma.

Errors

CurveError::Malformed if the mean reversion is not strictly positive or the volatility is negative.

pub fn with_term( mean_reversion: f64, sigma: SigmaTerm<f64>, ) -> Result<Self, CurveError>

A model with mean reversion a and the volatility term sigma — built with SigmaTerm::pieces, which validates its pieces.

Errors

CurveError::Malformed if the mean reversion is not strictly positive, or a flat volatility is negative.

pub fn lift<R: Scalar>(&self) -> HullWhiteParameters<R>

The parameters in mode R — a passive lift, carrying no derivatives.

pub fn b(&self, t: f64, maturity: f64) -> f64

B(t, T) = (1 − e^{−a(T−t)}) / a, the model’s duration factor.

pub fn bond_option_vol(&self, expiry: f64, bond_maturity: f64) -> f64

The volatility of the S-maturity discount bond seen from expiry T.

pub fn variance(&self, s: f64, t: f64) -> f64

V(s, t), the conditional variance of the Gaussian factor over [s, t].

pub fn drift_convexity(&self, t: f64) -> f64

C(t), the drift convexity Cov(∫₀ᵗ x, x_t).

pub fn integrated_variance(&self, s: f64, t: f64) -> f64

I(s, t), the variance of ∫ₛᵗ x given the state at s.

pub fn convexity_exponent(&self, t: f64, maturity: f64) -> f64

The futures convexity exponent Λ of a term rate fixing at t and running to maturity (years).

pub fn compounded_convexity_exponent(&self, start: f64, end: f64) -> f64

The compounded futures convexity exponent from start to end (years): the exponent with_hull_white_convexity applies to a compounded-in-arrears futures rate.

Trait Implementations

impl Clone for HullWhite

fn clone(&self) -> HullWhite

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for HullWhite

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PartialEq for HullWhite

fn eq(&self, other: &HullWhite) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl StructuralPartialEq for HullWhite