#include <ql/experimental/credit/defaultprobabilitykey.hpp>
Inheritance diagram for DefaultProbKey:
Collaboration diagram for DefaultProbKey:
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... | |
Detailed Description
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.
Constructor & Destructor Documentation
◆ DefaultProbKey() [1/2]
|
default |
◆ DefaultProbKey() [2/2]
| DefaultProbKey | ( | std::vector< ext::shared_ptr< DefaultType > > | eventTypes, |
| Currency | cur, | ||
| Seniority | sen | ||
| ) |
Definition at line 61 of file defaultprobabilitykey.cpp.
Member Function Documentation
◆ currency()
| const Currency & currency | ( | ) | const |
Definition at line 57 of file defaultprobabilitykey.hpp.
Here is the caller graph for this function:
◆ seniority()
| Seniority seniority | ( | ) | const |
Definition at line 58 of file defaultprobabilitykey.hpp.
Here is the caller graph for this function:
◆ eventTypes()
| const std::vector< ext::shared_ptr< DefaultType > > & eventTypes | ( | ) | const |
Definition at line 60 of file defaultprobabilitykey.hpp.
Here is the caller graph for this function:
◆ size()
| Size size | ( | ) | const |
Definition at line 63 of file defaultprobabilitykey.hpp.
Here is the caller graph for this function:
Member Data Documentation
◆ eventTypes_
|
protected |
aggregation of event types for which the contract is sensitive.
Definition at line 44 of file defaultprobabilitykey.hpp.
◆ obligationCurrency_
|
protected |
Currency of the bond and protection leg payment.
Definition at line 46 of file defaultprobabilitykey.hpp.
◆ seniority_
|
protected |
Reference bonds seniority.
Definition at line 48 of file defaultprobabilitykey.hpp.