#include <ql/experimental/credit/recoveryratemodel.hpp>
Inheritance diagram for RecoveryRateModel:
Collaboration diagram for RecoveryRateModel:
Public Member Functions | |
| virtual Real | recoveryValue (const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const |
| virtual bool | appliesToSeniority (Seniority) const =0 |
| ~RecoveryRateModel () override=default | |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
Protected Member Functions | |
| virtual Real | recoveryValueImpl (const Date &, const DefaultProbKey &defaultKey) const =0 |
Detailed Description
Models of the recovery rate provide future values of a recovery rate in the event of a default.
Definition at line 33 of file recoveryratemodel.hpp.
Constructor & Destructor Documentation
◆ ~RecoveryRateModel()
|
overridedefault |
Member Function Documentation
◆ recoveryValue()
|
virtual |
returns the expected recovery rate at a future time conditional on some default event type and seniority.
Definition at line 38 of file recoveryratemodel.hpp.
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◆ appliesToSeniority()
Returns true if the model will return recovery rates for the requested seniority.
Implemented in ConstantRecoveryModel.
◆ recoveryValueImpl()
|
protectedpure virtual |
Returns Null<Real> if unable to produce a recovery for the requested seniority.
Implemented in ConstantRecoveryModel.
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