blackVolQuote_ (3) - Linux Manuals
blackVolQuote_: Callable bond base class.
NAME
QuantLib::CallableBond - Callable bond base class.
SYNOPSIS
#include <ql/experimental/callablebonds/callablebond.hpp>
Inherits QuantLib::Bond.
Inherited by CallableFixedRateBond.
Classes
class engine
base class for callable fixed rate bond engine
class results
results for a callable bond calculation
Public Member Functions
virtual void setupArguments (PricingEngine::arguments *args) const
Inspectors
const CallabilitySchedule & callability () const
return the bond's put/call schedule
Calculations
Volatility impliedVolatility (Real targetValue, const Handle< YieldTermStructure > &discountCurve, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
returns the Black implied forward yield volatility
Protected Member Functions
CallableBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const DayCounter &paymentDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule())
Protected Attributes
DayCounter paymentDayCounter_
Frequency frequency_
CallabilitySchedule putCallSchedule_
boost::shared_ptr< PricingEngine > blackEngine_
must be set by derived classes for impliedVolatility() to work
RelinkableHandle< Quote > blackVolQuote_
Black fwd yield volatility quote handle to internal blackEngine_.
RelinkableHandle< YieldTermStructure > blackDiscountCurve_
Black fwd yield volatility quote handle to internal blackEngine_.
Friends
Detailed Description
Callable bond base class.
Base callable bond class for fixed and zero coupon bonds. Defines commonalities between fixed and zero coupon callable bonds. At present, only European and Bermudan put/call schedules supported (no American optionality), as defined by the Callability class.
Possible enhancements
-
models/shortrate/calibrationHelpers
OAS/OAD
floating rate callable bonds ?
Member Function Documentation
Volatility impliedVolatility (Real targetValue, const Handle< YieldTermStructure > & discountCurve, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
returns the Black implied forward yield volatility
the forward yield volatility, see Hull, Fourth Edition, Chapter 20, pg 536). Relevant only to European put/call schedules
virtual void setupArguments (PricingEngine::arguments *) const [virtual]
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Bond.
Reimplemented in CallableFixedRateBond.
Author
Generated automatically by Doxygen for QuantLib from the source code.