26 Real recoveryRate)
const {
27 return notional * (1.0-recoveryRate);
33 const ext::shared_ptr<Bond>& referenceSecurity)
34 : referenceSecurity_(referenceSecurity) {
40 Real recoveryRate)
const {
43 return notional * (1.0-recoveryRate-accrual);
Classes for default-event claims.
Real amount(const Date &d, Real notional, Real recoveryRate) const override
FaceValueAccrualClaim(const ext::shared_ptr< Bond > &referenceSecurity)
ext::shared_ptr< Bond > referenceSecurity_
Real amount(const Date &d, Real notional, Real recoveryRate) const override
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)