Rates Ho Lee
financepy.models.rates_ho_lee
Classes
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.