QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Black-formula callable zero coupon bond engine. More...
#include <blackcallablebondengine.hpp>
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 |
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.
Definition at line 74 of file blackcallablebondengine.hpp.
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 | ( | 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.