QuantLib: BlackCallableZeroCouponBondEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | List of all members
BlackCallableZeroCouponBondEngine Class Reference

Black-formula callable zero coupon bond engine. More...

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

Inheritance diagram for BlackCallableZeroCouponBondEngine:
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## 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
Public Member Functions inherited from BlackCallableFixedRateBondEngine
| 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 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.