RecoveryRateQuote Class Reference

Stores a recovery rate market quote and the associated seniority. More...

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

Inheritance diagram for RecoveryRateQuote:

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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 ()

Detailed Description

Stores a recovery rate market quote and the associated seniority.

Definition at line 30 of file recoveryratequote.hpp.

Constructor & Destructor Documentation

RecoveryRateQuote()

RecoveryRateQuote	(	Real	value = Null<Real>(),
		Seniority	seniority = NoSeniority
	)

Definition at line 37 of file recoveryratequote.cpp.

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Member Function Documentation

conventionalRecovery()

static Real conventionalRecovery ( Seniority  sen )

static

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.

value()

Real value ( ) const

overridevirtual

returns the current value

Implements Quote.

Definition at line 74 of file recoveryratequote.hpp.

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seniority()

Seniority seniority

(

)

const

Definition at line 70 of file recoveryratequote.hpp.

isValid()

bool isValid ( ) const

overridevirtual

returns true if the Quote holds a valid value

Implements Quote.

Definition at line 79 of file recoveryratequote.hpp.

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setValue()

Real setValue

(

Real

value = Null<Real>()

)

returns the difference between the new value and the old value

Definition at line 45 of file recoveryratequote.cpp.

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reset()

void reset

(

)

Definition at line 54 of file recoveryratequote.cpp.

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makeIsdaMap()

std::map< Seniority, Real > makeIsdaMap ( const   Real(&(arrayIsdaRR))[N] )

static

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.

Friends And Related Function Documentation

makeIsdaConvMap

std::map< Seniority, Real > makeIsdaConvMap ( )

friend

Helper function for conventional recoveries. Returns the ISDA.

Definition at line 32 of file recoveryratequote.cpp.

Member Data Documentation

IsdaConvRecoveries

const Real IsdaConvRecoveries

staticprivate

Initial value:

=  {
        0.65,
        0.4, 
        0.2, 
        0.2, 
        0.15 
    }

Definition at line 63 of file recoveryratequote.hpp.

seniority_

Seniority seniority_

private

Definition at line 65 of file recoveryratequote.hpp.

recoveryRate_

Real recoveryRate_

private

Definition at line 67 of file recoveryratequote.hpp.