CallableBond Class Reference
[Financial instruments]
Callable bond base class.
More...
#include <ql/experimental/callablebonds/callablebond.hpp>
Inheritance diagram for CallableBond:

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 |
Detailed Description
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.
- Possible enhancements:
- models/shortrate/calibrationHelpers
- Possible enhancements:
- OAS/OAD
- Possible enhancements:
- floating rate callable bonds ?
Member Function Documentation
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.