Bond Pricing Engines¶
DiscountingBondEngine¶
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ql.DiscountingBondEngine(discountCurve)¶
crv = ql.FlatForward(ql.Date().todaysDate(),0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
engine = ql.DiscountingBondEngine(yts)
BlackCallableFixedRateBondEngine¶
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ql.BlackCallableFixedRateBondEngine(fwdYieldVol, discountCurve)¶
crv = ql.FlatForward(ql.Date().todaysDate(),0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
vol = ql.QuoteHandle(ql.SimpleQuote(0.55))
engine = ql.BlackCallableFixedRateBondEngine(vol, yts)
TreeCallableFixedRateEngine¶
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ql.TreeCallableFixedRateBondEngine(shortRateModel, size, discountCurve)¶
crv = ql.FlatForward(ql.Date().todaysDate(),0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
model = ql.Vasicek()
engine = ql.TreeCallableFixedRateBondEngine(model, 10, yts)
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ql.TreeCallableFixedRateBondEngine(shortRateModel, size)¶
model = ql.Vasicek()
engine = ql.TreeCallableFixedRateBondEngine(model, 10)
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ql.TreeCallableFixedRateBondEngine(shortRateModel, TimeGrid, discountCurve)¶
crv = ql.FlatForward(ql.Date().todaysDate(),0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
model = ql.Vasicek()
grid = ql.TimeGrid(5,10)
engine = ql.TreeCallableFixedRateBondEngine(model, grid, yts)
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ql.TreeCallableFixedRateBondEngine(shortRateModel, TimeGrid)¶
crv = ql.FlatForward(ql.Date().todaysDate(),0.04875825,ql.Actual365Fixed())
yts = ql.YieldTermStructureHandle(crv)
model = ql.Vasicek()
grid = ql.TimeGrid(5,10)
engine = ql.TreeCallableFixedRateBondEngine(model, grid)