- 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.