QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Attributes | List of all members
DefaultProbKey Class Reference

#include <defaultprobabilitykey.hpp>

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Public Member Functions

 DefaultProbKey ()
 
 DefaultProbKey (std::vector< ext::shared_ptr< DefaultType > > eventTypes, Currency cur, Seniority sen)
 
const Currencycurrency () 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]

DefaultProbKey ( )
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.

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◆ seniority()

Seniority seniority ( ) const

Definition at line 58 of file defaultprobabilitykey.hpp.

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◆ eventTypes()

const std::vector< ext::shared_ptr< DefaultType > > & eventTypes ( ) const

Definition at line 60 of file defaultprobabilitykey.hpp.

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◆ size()

Size size ( ) const

Definition at line 63 of file defaultprobabilitykey.hpp.

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Member Data Documentation

◆ eventTypes_

std::vector<ext::shared_ptr<DefaultType> > eventTypes_
protected

aggregation of event types for which the contract is sensitive.

Definition at line 44 of file defaultprobabilitykey.hpp.

◆ obligationCurrency_

Currency obligationCurrency_
protected

Currency of the bond and protection leg payment.

Definition at line 46 of file defaultprobabilitykey.hpp.

◆ seniority_

Seniority seniority_ = NoSeniority
protected

Reference bonds seniority.

Definition at line 48 of file defaultprobabilitykey.hpp.