Class BlackCallableZeroCouponBondEngine

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

The Black-formula engine for callable zero-coupon bonds with a single call or put date: QuantLib's subclass of the fixed-rate bonds' engine, which only adds constructors, so each overload is BlackCallableFixedRateBondEngine's. QuantLib notes it as yet untested.

[Experimental("NQL0001")]
public static class BlackCallableZeroCouponBondEngine

Inheritance

object

BlackCallableZeroCouponBondEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(CallableBond, EvaluationContext, CallableBondVolatilityStructure, YieldTermStructure)

Prices a callable bond with a forward yield volatility structure.

public static CallableBondResults Calculate(CallableBond bond, EvaluationContext context, CallableBondVolatilityStructure yieldVolStructure, YieldTermStructure discountCurve)

Parameters

bond CallableBond

The bond.

context EvaluationContext

The evaluation context, which gives the bond's settlement date.

yieldVolStructure CallableBondVolatilityStructure

The forward yield volatilities.

discountCurve YieldTermStructure

The discount curve.

Returns

CallableBondResults

The bond's results, as BlackCallableFixedRateBondEngine's.

Exceptions

ArgumentNullException

An argument is null.

NanoQLException

The bond's arguments are inconsistent; the bond doesn't have exactly one call or put date, or it has occurred; the forward yield can't be solved for; or the volatility is queried outside its range.

Calculate(CallableBond, EvaluationContext, double, YieldTermStructure)

Prices a callable bond with a constant forward yield volatility.

public static CallableBondResults Calculate(CallableBond bond, EvaluationContext context, double fwdYieldVol, YieldTermStructure discountCurve)

Parameters

bond CallableBond

The bond.

context EvaluationContext

The evaluation context, which gives the bond's settlement date and the volatility's reference date.

fwdYieldVol double

The forward yield volatility.

discountCurve YieldTermStructure

The discount curve.

Returns

CallableBondResults

The bond's results, as BlackCallableFixedRateBondEngine's.

Exceptions

ArgumentNullException

An argument is null.

NanoQLException

The bond's arguments are inconsistent; the bond doesn't have exactly one call or put date, or it has occurred; or the forward yield can't be solved for.