DigitalNotionalRisk Class Reference

#include <ql/experimental/catbonds/riskynotional.hpp>

Inheritance diagram for DigitalNotionalRisk:

Collaboration diagram for DigitalNotionalRisk:

Public Member Functions
	DigitalNotionalRisk (const ext::shared_ptr< EventPaymentOffset > &paymentOffset, Real threshold)
void	updatePath (const std::vector< std::pair< Date, Real > > &events, NotionalPath &path) const override
Public Member Functions inherited from NotionalRisk
	NotionalRisk (ext::shared_ptr< EventPaymentOffset > paymentOffset)
virtual	~NotionalRisk ()=default
virtual void	updatePath (const std::vector< std::pair< Date, Real > > &events, NotionalPath &path) const =0

Protected Attributes
Real	threshold_
Protected Attributes inherited from NotionalRisk
ext::shared_ptr< EventPaymentOffset >	paymentOffset_

Detailed Description

Definition at line 76 of file riskynotional.hpp.

Constructor & Destructor Documentation

DigitalNotionalRisk()

DigitalNotionalRisk	(	const ext::shared_ptr< EventPaymentOffset > &	paymentOffset,
		Real	threshold
	)

Definition at line 78 of file riskynotional.hpp.

Member Function Documentation

updatePath()

void updatePath ( const std::vector< std::pair< Date, Real > > &  events, NotionalPath &  path  ) const

overridevirtual

Implements NotionalRisk.

Definition at line 50 of file riskynotional.cpp.

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Member Data Documentation

threshold_

Real threshold_

protected

Definition at line 86 of file riskynotional.hpp.