QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
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:

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
 
- Public Member Functions inherited from GenericEngine< CallableBond::arguments, CallableBond::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< CallableBond::arguments, CallableBond::results >
CallableBond::arguments arguments_
 
CallableBond::results results_
 

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.