24#ifndef quantlib_catbond_hpp
25#define quantlib_catbond_hpp
47 ext::shared_ptr<NotionalRisk> notionalRisk)
98 const ext::shared_ptr<IborIndex>& iborIndex,
100 const ext::shared_ptr<NotionalRisk>& notionalRisk,
103 const std::vector<Real>& gearings = std::vector<Real>(1, 1.0),
104 const std::vector<Spread>& spreads = std::vector<Spread>(1, 0.0),
105 const std::vector<Rate>& caps = std::vector<Rate>(),
106 const std::vector<Rate>& floors = std::vector<Rate>(),
107 bool inArrears =
false,
117 const ext::shared_ptr<IborIndex>& iborIndex,
119 const ext::shared_ptr<NotionalRisk>& notionalRisk,
123 const std::vector<Real>& gearings = std::vector<Real>(1, 1.0),
124 const std::vector<Spread>& spreads = std::vector<Spread>(1, 0.0),
125 const std::vector<Rate>& caps = std::vector<Rate>(),
126 const std::vector<Rate>& floors = std::vector<Rate>(),
127 bool inArrears =
false,
132 bool endOfMonth =
false);
classes that encapsulate catastrophe risk
Natural settlementDays() const
const Calendar & calendar() const
const ext::shared_ptr< CashFlow > & redemption() const
Date maturityDate() const
ext::shared_ptr< NotionalRisk > notionalRisk
void validate() const override
base class for cat bond engine
results for a cat bond calculation
Real exhaustionProbability
~CatBond() override=default
Real lossProbability() const
void setupArguments(PricingEngine::arguments *) const override
CatBond(Natural settlementDays, const Calendar &calendar, const Date &issueDate, ext::shared_ptr< NotionalRisk > notionalRisk)
Real exhaustionProbability() const
ext::shared_ptr< NotionalRisk > notionalRisk_
Real exhaustionProbability_
void fetchResults(const PricingEngine::results *) const override
Real expectedLoss() const
floating-rate cat bond (possibly capped and/or floored)
template base class for option pricing engines
template class providing a null value for a given type.
Frequency
Frequency of events.
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
base class for Inter-Bank-Offered-Rate indexes
classes to track the notional of a cat bond