QuantLib_BlackCallableFixedRateBondEngine man page

BlackCallableFixedRateBondEngine — Black-formula callable fixed rate bond engine.

Synopsis

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

Inherits 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

Additional Inherited Members

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BlackCallableFixedRateBondEngine(3) is an alias of QuantLib_BlackCallableFixedRateBondEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib