QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Stores a recovery rate market quote and the associated seniority. More...
#include <recoveryratequote.hpp>
Public Member Functions | |
RecoveryRateQuote (Real value=Null< Real >(), Seniority seniority=NoSeniority) | |
Quote interface | |
Real | value () const override |
returns the current value More... | |
Seniority | seniority () const |
bool | isValid () const override |
returns true if the Quote holds a valid value More... | |
Public Member Functions inherited from Quote | |
~Quote () override=default | |
virtual Real | value () const =0 |
returns the current value More... | |
virtual bool | isValid () const =0 |
returns true if the Quote holds a valid value More... | |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Static Public Member Functions | |
static Real | conventionalRecovery (Seniority sen) |
Friends | |
std::map< Seniority, Real > | makeIsdaConvMap () |
Helper function for conventional recoveries. Returns the ISDA. More... | |
Modifiers | |
static const Real | IsdaConvRecoveries [] |
Seniority | seniority_ |
Real | recoveryRate_ |
template<Size N> | |
static std::map< Seniority, Real > | makeIsdaMap (const Real(&(arrayIsdaRR))[N]) |
Real | setValue (Real value=Null< Real >()) |
returns the difference between the new value and the old value More... | |
void | reset () |
Stores a recovery rate market quote and the associated seniority.
Definition at line 30 of file recoveryratequote.hpp.
RecoveryRateQuote | ( | Real | value = Null<Real>() , |
Seniority | seniority = NoSeniority |
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Returns a map with the ISDA conventional (values by default) of the recovery rate per each ISDA seniority.
Definition at line 36 of file recoveryratequote.hpp.
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overridevirtual |
returns the current value
Implements Quote.
Definition at line 74 of file recoveryratequote.hpp.
Seniority seniority | ( | ) | const |
Definition at line 70 of file recoveryratequote.hpp.
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overridevirtual |
returns true if the Quote holds a valid value
Implements Quote.
Definition at line 79 of file recoveryratequote.hpp.
returns the difference between the new value and the old value
Definition at line 45 of file recoveryratequote.cpp.
void reset | ( | ) |
Turn a set of recoveries into a seniority-recovery map (intended to be used in an event construction)
Definition at line 94 of file recoveryratequote.hpp.
Helper function for conventional recoveries. Returns the ISDA.
Definition at line 32 of file recoveryratequote.cpp.
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staticprivate |
Definition at line 63 of file recoveryratequote.hpp.
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private |
Definition at line 65 of file recoveryratequote.hpp.
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private |
Definition at line 67 of file recoveryratequote.hpp.