blackcallablebondengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Allen Kuo
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_black_callable_bond_engine_hpp
#define quantlib_black_callable_bond_engine_hpp
 
#include <ql/experimental/callablebonds/callablebond.hpp>
#include <ql/experimental/callablebonds/callablebondvolstructure.hpp>
 
namespace QuantLib {
 
 
    class BlackCallableFixedRateBondEngine
        : public CallableFixedRateBond::engine {
      public:
        BlackCallableFixedRateBondEngine(const Handle<Quote>& fwdYieldVol,
                                         Handle<YieldTermStructure> discountCurve);
        BlackCallableFixedRateBondEngine(Handle<CallableBondVolatilityStructure> yieldVolStructure,
                                         Handle<YieldTermStructure> discountCurve);
        void calculate() const override;
 
      private:
        Handle<CallableBondVolatilityStructure> volatility_;
        Handle<YieldTermStructure> discountCurve_;
        // present value of all coupons paid during the life of option
        Real spotIncome() const;
        // converts the yield volatility into a forward price volatility
        Volatility forwardPriceVolatility() const;
    };
 
 
 
    class BlackCallableZeroCouponBondEngine :
        public BlackCallableFixedRateBondEngine {
      public:
        BlackCallableZeroCouponBondEngine(
                              const Handle<Quote>& fwdYieldVol,
                              const Handle<YieldTermStructure>& discountCurve)
        : BlackCallableFixedRateBondEngine(fwdYieldVol, discountCurve) {}
 
        BlackCallableZeroCouponBondEngine(
             const Handle<CallableBondVolatilityStructure>& yieldVolStructure,
             const Handle<YieldTermStructure>& discountCurve)
        : BlackCallableFixedRateBondEngine(yieldVolStructure, discountCurve) {}
    };
 
}
 
 
#endif