NAME

QuantLib::BlackCallableZeroCouponBondEngine - Black-formula callable zero coupon bond engine.

SYNOPSIS


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

Inherits QuantLib::BlackCallableFixedRateBondEngine.

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

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.