- 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.