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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/.