BlackCallableFixedRateBondEngine Class Reference

Black-formula callable fixed rate bond engine. More...

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

Inheritance diagram for BlackCallableFixedRateBondEngine:

List of all members.

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


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