hull_white
| Crates.io | hull_white |
| lib.rs | hull_white |
| version | 0.7.0 |
| source | src |
| created_at | 2018-08-17 20:47:05.175294 |
| updated_at | 2024-04-18 00:49:04.023493 |
| description | Pricing functions assuming a Hull White short rate |
| homepage | https://github.com/danielhstahl/hull_white_rust |
| repository | https://github.com/danielhstahl/hull_white_rust |
| max_upload_size | |
| id | 79997 |
| size | 269,504 |
Daniel Stahl (phillyfan1138)
documentation
README
| Linux | Codecov |
|---|---|
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Hull White
This library implements functions that price fixed income products assuming that short rates follow a Hull-White process.
Documentation
The Documentation holds the model documentation for the various pricing functions and assumptions. Library (API) documentation is available at docs.rs
Requirements
The documentation is written in R Sweave. The application is written in Rust.
Install
Add the following package to your Cargo.toml:
hull_white = "0.6.0"
Benchmarks
Benchmarks are at https://danielhstahl.github.io/hull_white_rust/dev/bench/.