rates ho lee
financepy.models.rates_ho_lee
Class
ModelRatesHoLee
ModelRatesHoLee(
sigma: float,
) -> None
No description available.
Methods
zcb
zcb(
self,
rt1: float,
t1: float,
t2: float,
discount_curve: Any,
) -> float
No description available.
option_on_zcb
option_on_zcb(
self,
t_exp: float,
t_mat: float,
strike_price: float,
face_amount: float,
df_times: numpy.ndarray,
df_values: numpy.ndarray,
) -> Dict[str, float]
Price an option on a zero coupon bond using analytical solution of
Hull-White model. User provides bond face and option strike and expiry
date and maturity date.
Generated automatically from the FinancePy source code.
Do not edit this file manually.