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

#include <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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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()

~RecoveryRateModel ( )
overridedefault

Member Function Documentation

◆ recoveryValue()

virtual Real recoveryValue ( const Date defaultDate,
const DefaultProbKey defaultKey = DefaultProbKey() 
) const
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()

virtual bool appliesToSeniority ( Seniority  ) const
pure virtual

Returns true if the model will return recovery rates for the requested seniority.

Implemented in ConstantRecoveryModel.

◆ recoveryValueImpl()

virtual Real recoveryValueImpl ( const Date ,
const DefaultProbKey defaultKey 
) const
protectedpure virtual

Returns Null<Real> if unable to produce a recovery for the requested seniority.

Implemented in ConstantRecoveryModel.

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