BlackBondOptionEngine Class Reference

Black-formula bond option engine. More...

#include <qle/pricingengines/blackbondoptionengine.hpp>

Inheritance diagram for BlackBondOptionEngine:

Public Member Functions
	BlackBondOptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &volatility, const Handle< YieldTermStructure > &underlyingReferenceCurve, const Handle< DefaultProbabilityTermStructure > &defaultCurve=Handle< DefaultProbabilityTermStructure >(), const Handle< Quote > &recoveryRate=Handle< Quote >(), const Handle< Quote > &securitySpread=Handle< Quote >(), Period timestepPeriod=1 *Months)
	volatility is the quoted fwd yield volatility, not price vol
void	calculate () const override

Detailed Description

Black-formula bond option engine.