QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <recoveryratemodel.hpp>
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 |
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.
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overridedefault |
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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.
Returns true if the model will return recovery rates for the requested seniority.
Implemented in ConstantRecoveryModel.
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protectedpure virtual |
Returns Null<Real> if unable to produce a recovery for the requested seniority.
Implemented in ConstantRecoveryModel.