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Class BlackCallableZeroCouponBondEngine

Black-formula callable zero coupon bond engine

Callable zero coupon bond, where the embedded (European) option price is assumed to obey the Black formula. Follows "European bond option" treatment in Hull, Fourth Edition, Chapter 20.

warning

This class has yet to be tested.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

bcfrbeInit1

bcfrbeInit2

bczcbeInit1

bczcbeInit2

calculate

  • calculate(): void

getArguments

getResults

reset

  • reset(): void

update

  • update(): void