DefaultType Class Reference

Atomic credit-event type. More...

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

Inheritance diagram for DefaultType:

Collaboration diagram for DefaultType:

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_

Detailed Description

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.

Constructor & Destructor Documentation

DefaultType()

DefaultType ( AtomicDefault::Type  defType = AtomicDefault::Bankruptcy, Restructuring::Type  restType = Restructuring::XR  )

explicit

Definition at line 26 of file defaulttype.cpp.

~DefaultType()

virtual ~DefaultType ( )

virtualdefault

Member Function Documentation

defaultType()

AtomicDefault::Type defaultType

(

)

const

Definition at line 114 of file defaulttype.hpp.

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restructuringType()

Restructuring::Type restructuringType

(

)

const

Definition at line 117 of file defaulttype.hpp.

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isRestructuring()

bool isRestructuring

(

)

const

Definition at line 118 of file defaulttype.hpp.

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containsDefaultType()

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.

containsRestructuringType()

bool containsRestructuringType

(

Restructuring::Type

resType

)

const

Definition at line 138 of file defaulttype.hpp.

Member Data Documentation

defTypes_

AtomicDefault::Type defTypes_

protected

Definition at line 144 of file defaulttype.hpp.

restrType_

Restructuring::Type restrType_

protected

Definition at line 145 of file defaulttype.hpp.