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