Black-formula callable fixed rate bond engine. More...
#include <ql/experimental/callablebonds/blackcallablebondengine.hpp>
Inheritance diagram for BlackCallableFixedRateBondEngine: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 |
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.