QuantLib_BlackCallableFixedRateBondEngine (3) - Linux Manuals

QuantLib_BlackCallableFixedRateBondEngine: Black-formula callable fixed rate bond engine.

Command to display QuantLib_BlackCallableFixedRateBondEngine manual in Linux: $ man 3 QuantLib_BlackCallableFixedRateBondEngine

NAME

QuantLib::BlackCallableFixedRateBondEngine - Black-formula callable fixed rate bond engine.

SYNOPSIS

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

Inherits QuantLib::CallableBond::engine.

Inherited by BlackCallableZeroCouponBondEngine.

Public Member Functions

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 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.

Possible enhancements

: set additionalResults (e.g. vega, fairStrike, etc.)

Warning

: This class has yet to be tested

Author

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