QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
FailureToPayEvent Class Reference

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

+ Inheritance diagram for FailureToPayEvent:
+ Collaboration diagram for FailureToPayEvent:

Public Member Functions

 FailureToPayEvent (const Date &creditEventDate, const Currency &curr, Seniority bondsSen, Real defaultedAmount, const Date &settleDate, const std::map< Seniority, Real > &recoveryRates)
 
 FailureToPayEvent (const Date &creditEventDate, const Currency &curr, Seniority bondsSen, Real defaultedAmount, const Date &settleDate, Real recoveryRates)
 
Real amountDefaulted () const
 
bool matchesEventType (const ext::shared_ptr< DefaultType > &contractEvType) const override
 
- Public Member Functions inherited from DefaultEvent
 DefaultEvent (const Date &creditEventDate, const DefaultType &atomicEvType, Currency curr, Seniority bondsSen, const Date &settleDate=Null< Date >(), const std::map< Seniority, Real > &recoveryRates=rate_map())
 
 DefaultEvent (const Date &creditEventDate, const DefaultType &atomicEvType, Currency curr, Seniority bondsSen, const Date &settleDate=Null< Date >(), Real recoveryRate=0.4)
 
Date date () const override
 returns the date at which the event occurs More...
 
bool isRestructuring () const
 
bool isDefault () const
 
bool hasSettled () const
 
const DefaultSettlementsettlement () const
 
const DefaultTypedefaultType () const
 
const Currencycurrency () const
 returns the currency of the bond this event refers to. More...
 
Seniority eventSeniority () const
 returns the seniority of the bond that triggered the event. More...
 
virtual Real recoveryRate (Seniority seniority) const
 
virtual bool matchesEventType (const ext::shared_ptr< DefaultType > &contractEvType) const
 
virtual bool matchesDefaultKey (const DefaultProbKey &contractKey) const
 
void accept (AcyclicVisitor &) override
 
- Public Member Functions inherited from Event
 ~Event () override=default
 
virtual bool hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const
 returns true if an event has already occurred before a date More...
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Private Attributes

Real defaultedAmount_
 

Additional Inherited Members

- Protected Attributes inherited from DefaultEvent
Currency bondsCurrency_
 
Date defaultDate_
 
DefaultType eventType_
 
Seniority bondsSeniority_
 
DefaultSettlement defSettlement_
 

Detailed Description

Definition at line 199 of file defaultevent.hpp.

Constructor & Destructor Documentation

◆ FailureToPayEvent() [1/2]

FailureToPayEvent ( const Date creditEventDate,
const Currency curr,
Seniority  bondsSen,
Real  defaultedAmount,
const Date settleDate,
const std::map< Seniority, Real > &  recoveryRates 
)

Definition at line 161 of file defaultevent.cpp.

◆ FailureToPayEvent() [2/2]

FailureToPayEvent ( const Date creditEventDate,
const Currency curr,
Seniority  bondsSen,
Real  defaultedAmount,
const Date settleDate,
Real  recoveryRates 
)

Definition at line 178 of file defaultevent.cpp.

Member Function Documentation

◆ amountDefaulted()

Real amountDefaulted ( ) const

Definition at line 215 of file defaultevent.hpp.

◆ matchesEventType()

bool matchesEventType ( const ext::shared_ptr< DefaultType > &  contractEvType) const
overridevirtual

matches the event if this event would trigger a contract related to the requested event type. Notice the contractual event types are not neccesarily atomic. Notice it does not check seniority or currency only event type. typically used from Issuer

Reimplemented from DefaultEvent.

Definition at line 148 of file defaultevent.cpp.

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Member Data Documentation

◆ defaultedAmount_

Real defaultedAmount_
private

Definition at line 219 of file defaultevent.hpp.