ConstantRecoveryModel Class Reference

#include <ql/experimental/credit/recoveryratemodel.hpp>

Inheritance diagram for ConstantRecoveryModel:

Collaboration diagram for ConstantRecoveryModel:

Public Member Functions
	ConstantRecoveryModel (const Handle< RecoveryRateQuote > &quote)
	ConstantRecoveryModel (Real recovery, Seniority sen=NoSeniority)
void	update () override
bool	appliesToSeniority (Seniority) const override
Public Member Functions inherited from RecoveryRateModel
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 ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Protected Member Functions
Real	recoveryValueImpl (const Date &, const DefaultProbKey &) const override
virtual Real	recoveryValueImpl (const Date &, const DefaultProbKey &defaultKey) const =0

Private Attributes
Handle< RecoveryRateQuote >	quote_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Simple Recovery Rate model returning the constant value of the quote independently of the date and the seniority.

Examples

LatentModel.cpp.

Definition at line 62 of file recoveryratemodel.hpp.

Constructor & Destructor Documentation

ConstantRecoveryModel() [1/2]

ConstantRecoveryModel ( const Handle< RecoveryRateQuote > &  quote )

explicit

Definition at line 24 of file recoveryratemodel.cpp.

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ConstantRecoveryModel() [2/2]

ConstantRecoveryModel ( Real  recovery, Seniority  sen = NoSeniority  )

explicit

Definition at line 30 of file recoveryratemodel.cpp.

Member Function Documentation

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 68 of file recoveryratemodel.hpp.

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appliesToSeniority()

bool appliesToSeniority ( Seniority  ) const

overridevirtual

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

Implements RecoveryRateModel.

Definition at line 69 of file recoveryratemodel.hpp.

recoveryValueImpl()

Real recoveryValueImpl ( const Date &  , const DefaultProbKey &    ) const

overrideprotectedvirtual

Notice the quote's value is returned without a check on a match of the seniorties of the quote and the request.

Implements RecoveryRateModel.

Definition at line 76 of file recoveryratemodel.hpp.

Member Data Documentation

quote_

Handle<RecoveryRateQuote> quote_

private

Definition at line 82 of file recoveryratemodel.hpp.