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
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< CallableBond::arguments, CallableBond::results >
CallableBond::arguments arguments_
 
CallableBond::results results_
 

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