QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Attributes | List of all members
DigitalNotionalRisk Class Reference

#include <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< EventPaymentOffsetpaymentOffset_
 

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.

+ Here is the call graph for this function:

Member Data Documentation

◆ threshold_

Real threshold_
protected

Definition at line 86 of file riskynotional.hpp.