QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
BlackCallableZeroCouponBondEngine Class Reference

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

#include <ql/experimental/callablebonds/blackcallablebondengine.hpp>

+ Inheritance 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
 
 BlackCallableZeroCouponBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve)
 volatility is the quoted fwd yield volatility, not price vol
 
- Public Member Functions inherited from BlackCallableFixedRateBondEngine
 BlackCallableFixedRateBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve)
 volatility is the quoted fwd yield volatility, not price vol
 
 BlackCallableFixedRateBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve)
 volatility is the quoted fwd yield volatility, not price vol
 
void calculate () const
 

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.