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QuantLib_BlackCallableZeroCouponBondEngine
Langue: en
Version: 382495 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BlackCallableZeroCouponBondEngine -Black-formula callable zero coupon bond engine.
SYNOPSIS
#include <ql/experimental/callablebonds/blackcallablebondengine.hpp>
Inherits QuantLib::BlackCallableFixedRateBondEngine.
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
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.
Author
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