QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
BlackCallableZeroCouponBondEngine Class Reference

Black-formula callable zero coupon bond engine. More...

#include <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.