Futures convexity bias (i.e., the difference between futures implied rate and forward rate) calculated as in G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997.
note: t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price.
Single-factor Hull-White (extended Vasicek) model class.
This class implements the standard single-factor Hull-White model defined by $$ dr_t = (\theta(t) - \alpha r_t)dt + \sigma dW_t $$ where $ \alpha $ and $ \sigma $ are constants.
test calibration results are tested against cached values
bug When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.