Black-formula callable fixed rate bond engine. More...
#include <ql/experimental/callablebonds/blackcallablebondengine.hpp>
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 |
Additional Inherited Members | |
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CallableBond::arguments | arguments_ |
CallableBond::results | results_ |
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.