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 &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (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_ |
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.