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

Black-formula callable fixed rate bond engine. More...

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

+ Inheritance diagram for BlackCallableFixedRateBondEngine:

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.

Warning:
This class has yet to be tested