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 |
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< std::set< boost::shared_ptr< Observable > >::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 | |
Protected Attributes inherited from GenericEngine< CallableBond::arguments, CallableBond::results > | |
| CallableBond::arguments | arguments_ |
| CallableBond::results | results_ |
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.