QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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claim.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 StatPro Italia srl
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21
22namespace QuantLib {
23
25 Real notional,
26 Real recoveryRate) const {
27 return notional * (1.0-recoveryRate);
28 }
29
30
31
33 const ext::shared_ptr<Bond>& referenceSecurity)
34 : referenceSecurity_(referenceSecurity) {
35 registerWith(referenceSecurity);
36 }
37
39 Real notional,
40 Real recoveryRate) const {
41 Real accrual = referenceSecurity_->accruedAmount(d)
42 / referenceSecurity_->notional(d);
43 return notional * (1.0-recoveryRate-accrual);
44 }
45
46}
47
Classes for default-event claims.
Concrete date class.
Definition: date.hpp:125
Real amount(const Date &d, Real notional, Real recoveryRate) const override
Definition: claim.cpp:38
FaceValueAccrualClaim(const ext::shared_ptr< Bond > &referenceSecurity)
Definition: claim.cpp:32
ext::shared_ptr< Bond > referenceSecurity_
Definition: claim.hpp:56
Real amount(const Date &d, Real notional, Real recoveryRate) const override
Definition: claim.cpp:24
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:228
Date d
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35