Black-formula callable zero coupon bond engine. More...
#include <ql/experimental/callablebonds/blackcallablebondengine.hpp>
Inheritance diagram for BlackCallableZeroCouponBondEngine:
Collaboration diagram for BlackCallableZeroCouponBondEngine:
Public Member Functions | |
| BlackCallableZeroCouponBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve) | |
| volatility is the quoted fwd yield volatility, not price vol More... | |
| BlackCallableZeroCouponBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve) | |
| volatility is the quoted fwd yield volatility, not price vol More... | |
| Public Member Functions inherited from BlackCallableFixedRateBondEngine | |
| BlackCallableFixedRateBondEngine (const Handle< Quote > &fwdYieldVol, Handle< YieldTermStructure > discountCurve) | |
| volatility is the quoted fwd yield volatility, not price vol More... | |
| BlackCallableFixedRateBondEngine (Handle< CallableBondVolatilityStructure > yieldVolStructure, Handle< YieldTermStructure > discountCurve) | |
| volatility is the quoted fwd yield volatility, not price vol More... | |
| void | calculate () const override |
Detailed Description
Black-formula callable zero coupon bond engine.
Callable zero coupon bond, where the embedded (European) option price is assumed to obey the Black formula. Follows "European bond option" treatment in Hull, Fourth Edition, Chapter 20.
- Warning:
- This class has yet to be tested.
Definition at line 74 of file blackcallablebondengine.hpp.
Constructor & Destructor Documentation
◆ BlackCallableZeroCouponBondEngine() [1/2]
| BlackCallableZeroCouponBondEngine | ( | const Handle< Quote > & | fwdYieldVol, |
| const Handle< YieldTermStructure > & | discountCurve | ||
| ) |
volatility is the quoted fwd yield volatility, not price vol
Definition at line 78 of file blackcallablebondengine.hpp.
◆ BlackCallableZeroCouponBondEngine() [2/2]
| BlackCallableZeroCouponBondEngine | ( | const Handle< CallableBondVolatilityStructure > & | yieldVolStructure, |
| const Handle< YieldTermStructure > & | discountCurve | ||
| ) |
volatility is the quoted fwd yield volatility, not price vol
Definition at line 84 of file blackcallablebondengine.hpp.