financialkit.interest_rate_models
=================================


.. include:: /_generated/nav/interest_rate_models.rst

Equilibrium short rates: Merton's Gaussian rate, Vasicek and
Cox-Ingersoll-Ross with Feller's condition, and Duffie-Kan affine models
priced through their Riccati ODEs; curve-fitted models: Ho-Lee,
Hull-White, the two-factor G2++ and the Black-Derman-Toy tree, all taking
a :mod:`financialkit.fixed_income` yield curve; Feynman-Kac bond prices by
Monte Carlo through :mod:`financialkit.integrators`; Jamshidian's bond
options, coupon bond options and swaptions; caps, floors and swaptions by
Black's formula (:func:`financialkit.options.black76_price`); the futures
convexity adjustment; and the Heath-Jarrow-Morton drift condition with
forward-curve simulation.

.. automodule:: financialkit.interest_rate_models
   :members:
   :undoc-members: