QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Atomic credit-event type. More...
#include <ql/experimental/credit/defaulttype.hpp>
Public Member Functions | |
DefaultType (AtomicDefault::Type defType=AtomicDefault::Bankruptcy, Restructuring::Type restType=Restructuring::XR) | |
virtual | ~DefaultType ()=default |
AtomicDefault::Type | defaultType () const |
Restructuring::Type | restructuringType () const |
bool | isRestructuring () const |
bool | containsDefaultType (AtomicDefault::Type defType) const |
bool | containsRestructuringType (Restructuring::Type resType) const |
Protected Attributes | |
AtomicDefault::Type | defTypes_ |
Restructuring::Type | restrType_ |
Atomic credit-event type.
This class encapsulates the ISDA default contractual types and their combinations. Non-atomicity works only at the atomic type level, obviating the specific event characteristics which it is accounted for only in derived classes.
Definition at line 106 of file defaulttype.hpp.
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explicit |
Definition at line 26 of file defaulttype.cpp.
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virtualdefault |
AtomicDefault::Type defaultType | ( | ) | const |
Restructuring::Type restructuringType | ( | ) | const |
bool isRestructuring | ( | ) | const |
bool containsDefaultType | ( | AtomicDefault::Type | defType | ) | const |
Returns true if one or a set of event types is within this one and as such will be recognised as a trigger. Not the same as equality.
Notice that these methods do not include any event logical hierarchy. The match is in a strict sense. If event B is contained in (implied by) event A this would not send a match. This policies should be implemented at the CreditEvent class, which is polymorphic.
Definition at line 134 of file defaulttype.hpp.
bool containsRestructuringType | ( | Restructuring::Type | resType | ) | const |
Definition at line 138 of file defaulttype.hpp.
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protected |
Definition at line 144 of file defaulttype.hpp.
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protected |
Definition at line 145 of file defaulttype.hpp.