QuantLib_BlackCallableZeroCouponBondEngine man page

BlackCallableZeroCouponBondEngine — Black-formula callable zero coupon bond engine.

Synopsis

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

Inherits BlackCallableFixedRateBondEngine.

Public Member Functions

BlackCallableZeroCouponBondEngine (const Handle< Quote > &fwdYieldVol, const Handle< YieldTermStructure > &discountCurve)
volatility is the quoted fwd yield volatility, not price vol
BlackCallableZeroCouponBondEngine (const Handle< CallableBondVolatilityStructure > &yieldVolStructure, const Handle< YieldTermStructure > &discountCurve)
volatility is the quoted fwd yield volatility, not price vol

Additional Inherited Members

Detailed Description

Black-formula callable zero coupon bond engine.

Callable zero coupon bond, where the embedded (European) option price is assumed to obey the Black formula. Follows '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

BlackCallableZeroCouponBondEngine(3) is an alias of QuantLib_BlackCallableZeroCouponBondEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib