BlackCallableFixedRateBondEngine Class Reference

Black-formula callable fixed rate bond engine. More...

#include <blackcallablebondengine.hpp>

Inheritance diagram for BlackCallableFixedRateBondEngine:

Collaboration diagram for BlackCallableFixedRateBondEngine:

Public Member Functions
	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

Private Member Functions
Real	spotIncome () const
Volatility	forwardPriceVolatility () const

Private Attributes
Handle< CallableBondVolatilityStructure >	volatility_
Handle< YieldTermStructure >	discountCurve_

Detailed Description

Black-formula callable fixed rate bond engine.

Callable fixed rate bond Black engine. The embedded (European) option follows the Black "European bond option" treatment in Hull, Fourth Edition, Chapter 20.

Warning:

This class has yet to be tested

Definition at line 43 of file blackcallablebondengine.hpp.

Constructor & Destructor Documentation

BlackCallableFixedRateBondEngine() [1/2]

BlackCallableFixedRateBondEngine	(	const Handle< Quote > &	fwdYieldVol,
		Handle< YieldTermStructure >	discountCurve
	)

volatility is the quoted fwd yield volatility, not price vol

Definition at line 32 of file blackcallablebondengine.cpp.

BlackCallableFixedRateBondEngine() [2/2]

BlackCallableFixedRateBondEngine	(	Handle< CallableBondVolatilityStructure >	yieldVolStructure,
		Handle< YieldTermStructure >	discountCurve
	)

volatility is the quoted fwd yield volatility, not price vol

no vol structures implemented yet besides constant volatility

Definition at line 42 of file blackcallablebondengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 125 of file blackcallablebondengine.cpp.

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spotIncome()

Real spotIncome ( ) const

private

Definition at line 50 of file blackcallablebondengine.cpp.

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forwardPriceVolatility()

Volatility forwardPriceVolatility ( ) const

private

Definition at line 75 of file blackcallablebondengine.cpp.

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Member Data Documentation

volatility_

Handle<CallableBondVolatilityStructure> volatility_

private

Definition at line 55 of file blackcallablebondengine.hpp.

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 56 of file blackcallablebondengine.hpp.