QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <defaultprobabilitykey.hpp>
Public Member Functions | |
DefaultProbKey () | |
DefaultProbKey (std::vector< ext::shared_ptr< DefaultType > > eventTypes, Currency cur, Seniority sen) | |
const Currency & | currency () const |
Seniority | seniority () const |
const std::vector< ext::shared_ptr< DefaultType > > & | eventTypes () const |
Size | size () const |
Protected Attributes | |
std::vector< ext::shared_ptr< DefaultType > > | eventTypes_ |
aggregation of event types for which the contract is sensitive. More... | |
Currency | obligationCurrency_ |
Currency of the bond and protection leg payment. More... | |
Seniority | seniority_ = NoSeniority |
Reference bonds seniority. More... | |
Used to index market implied credit curve probabilities. It is a proxy to the defaultable bond or class of bonds which determines the credit contract conditions. It aggregates the atomic default types in a group defining the contract conditions and which serves to index the probability curves calibrated to the market.
Definition at line 41 of file defaultprobabilitykey.hpp.
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default |
DefaultProbKey | ( | std::vector< ext::shared_ptr< DefaultType > > | eventTypes, |
Currency | cur, | ||
Seniority | sen | ||
) |
Definition at line 61 of file defaultprobabilitykey.cpp.
const Currency & currency | ( | ) | const |
Definition at line 57 of file defaultprobabilitykey.hpp.
Seniority seniority | ( | ) | const |
Definition at line 58 of file defaultprobabilitykey.hpp.
const std::vector< ext::shared_ptr< DefaultType > > & eventTypes | ( | ) | const |
Definition at line 60 of file defaultprobabilitykey.hpp.
Size size | ( | ) | const |
Definition at line 63 of file defaultprobabilitykey.hpp.
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protected |
aggregation of event types for which the contract is sensitive.
Definition at line 44 of file defaultprobabilitykey.hpp.
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protected |
Currency of the bond and protection leg payment.
Definition at line 46 of file defaultprobabilitykey.hpp.
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protected |
Reference bonds seniority.
Definition at line 48 of file defaultprobabilitykey.hpp.