QuantLib: BlackCallableFixedRateBondEngine Class Reference

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

Public Member Functions | List of all members
BlackCallableFixedRateBondEngine Class Reference

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

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

Inheritance diagram for BlackCallableFixedRateBondEngine:
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## 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.

Warning:
  This class has yet to be tested