- QuantLib
- CallableBond
Callable bond base class. More...
#include <ql/experimental/callablebonds/callablebond.hpp>
Classes | |
class | engine |
base class for callable fixed rate bond engine More... | |
class | results |
results for a callable bond calculation More... | |
Public Member Functions | |
virtual void | setupArguments (PricingEngine::arguments *) const |
Inspectors | |
const CallabilitySchedule & | callability () const |
return the bond's put/call schedule | |
Calculations | |
Volatility | impliedVolatility (Real targetValue, const Handle< YieldTermStructure > &discountCurve, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const |
returns the Black implied forward yield volatility | |
Protected Member Functions | |
CallableBond (Natural settlementDays, const Schedule &schedule, const DayCounter &paymentDayCounter, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) | |
Protected Attributes | |
DayCounter | paymentDayCounter_ |
Frequency | frequency_ |
CallabilitySchedule | putCallSchedule_ |
boost::shared_ptr< PricingEngine > | blackEngine_ |
must be set by derived classes for impliedVolatility() to work | |
RelinkableHandle< Quote > | blackVolQuote_ |
Black fwd yield volatility quote handle to internal blackEngine_. | |
RelinkableHandle < YieldTermStructure > | blackDiscountCurve_ |
Black fwd yield volatility quote handle to internal blackEngine_. | |
Friends | |
class | ImpliedVolHelper |
Callable bond base class.
Base callable bond class for fixed and zero coupon bonds. Defines commonalities between fixed and zero coupon callable bonds. At present, only European and Bermudan put/call schedules supported (no American optionality), as defined by the Callability class.
models/shortrate/calibrationHelpers
OAS/OAD
floating rate callable bonds ?
Volatility impliedVolatility | ( | Real | targetValue, |
const Handle< YieldTermStructure > & | discountCurve, | ||
Real | accuracy, | ||
Size | maxEvaluations, | ||
Volatility | minVol, | ||
Volatility | maxVol | ||
) | const |
returns the Black implied forward yield volatility
the forward yield volatility, see Hull, Fourth Edition, Chapter 20, pg 536). Relevant only to European put/call schedules
virtual void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Bond.
Reimplemented in CallableFixedRateBond.