NorthAmericaCorpDefaultKey Class Reference

ISDA standard default contractual key for corporate US debt. More...

#include <ql/experimental/credit/defaultprobabilitykey.hpp>

Inheritance diagram for NorthAmericaCorpDefaultKey:

Collaboration diagram for NorthAmericaCorpDefaultKey:

Public Member Functions
	NorthAmericaCorpDefaultKey (const Currency &currency, Seniority sen, Period graceFailureToPay=Period(30, Days), Real amountFailure=1.e6, Restructuring::Type resType=Restructuring::CR)
Public Member Functions inherited from DefaultProbKey
	DefaultProbKey ()
	DefaultProbKey (std::vector< ext::shared_ptr< DefaultType > > eventTypes, Currency cur, Seniority sen)
const Currency &	currency () const
Seniority	seniority () const
const std::vector< ext::shared_ptr< DefaultType > > &	eventTypes () const
Size	size () const

Additional Inherited Members
Protected Attributes inherited from DefaultProbKey
std::vector< ext::shared_ptr< DefaultType > >	eventTypes_
	aggregation of event types for which the contract is sensitive. More...
Currency	obligationCurrency_
	Currency of the bond and protection leg payment. More...
Seniority	seniority_ = NoSeniority
	Reference bonds seniority. More...

Detailed Description

ISDA standard default contractual key for corporate US debt.

Examples

BasketLosses.cpp, and LatentModel.cpp.

Definition at line 71 of file defaultprobabilitykey.hpp.

Constructor & Destructor Documentation

NorthAmericaCorpDefaultKey()

NorthAmericaCorpDefaultKey	(	const Currency &	currency,
		Seniority	sen,
		Period	graceFailureToPay = Period(30, Days),
		Real	amountFailure = 1.e6,
		Restructuring::Type	resType = Restructuring::CR
	)

Definition at line 73 of file defaultprobabilitykey.cpp.