BlackCallableFixedRateBondEngine (3) Linux Manual Page
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