QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Credit event on a bond of a certain seniority(ies)/currency. More...
#include <defaultevent.hpp>
Classes | |
class | DefaultSettlement |
Public Member Functions | |
DefaultEvent (const Date &creditEventDate, const DefaultType &atomicEvType, Currency curr, Seniority bondsSen, const Date &settleDate=Null< Date >(), const std::map< Seniority, Real > &recoveryRates=rate_map()) | |
DefaultEvent (const Date &creditEventDate, const DefaultType &atomicEvType, Currency curr, Seniority bondsSen, const Date &settleDate, Real recoveryRate) | |
Date | date () const override |
returns the date at which the event occurs More... | |
bool | isRestructuring () const |
bool | isDefault () const |
bool | hasSettled () const |
const DefaultSettlement & | settlement () const |
const DefaultType & | defaultType () const |
const Currency & | currency () const |
returns the currency of the bond this event refers to. More... | |
Seniority | eventSeniority () const |
returns the seniority of the bond that triggered the event. More... | |
virtual Real | recoveryRate (Seniority seniority) const |
virtual bool | matchesEventType (const ext::shared_ptr< DefaultType > &contractEvType) const |
virtual bool | matchesDefaultKey (const DefaultProbKey &contractKey) const |
void | accept (AcyclicVisitor &) override |
Public Member Functions inherited from Event | |
~Event () override=default | |
virtual bool | hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const |
returns true if an event has already occurred before a date More... | |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Protected Attributes | |
Currency | bondsCurrency_ |
Date | defaultDate_ |
DefaultType | eventType_ |
Seniority | bondsSeniority_ |
DefaultSettlement | defSettlement_ |
Private Types | |
typedef std::map< Seniority, Real > | rate_map |
Credit event on a bond of a certain seniority(ies)/currency.
Represents a credit event affecting all bonds with a given \ seniority and currency. It assumes that all such bonds suffer \ the event simultaneously. Some events affect all seniorities and this has to be encoded through a different set of events of the same event type. The event is an actual realization, not a contractual reference, as such it contains only an atomic type.
Definition at line 49 of file defaultevent.hpp.
Definition at line 86 of file defaultevent.hpp.
DefaultEvent | ( | const Date & | creditEventDate, |
const DefaultType & | atomicEvType, | ||
Currency | curr, | ||
Seniority | bondsSen, | ||
const Date & | settleDate = Null<Date>() , |
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const std::map< Seniority, Real > & | recoveryRates = rate_map() |
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Credit event with optional settlement information. Represents a credit event that has taken place. Realized events are of an atomic type. If the settlement information is given seniorities present are the seniorities/bonds affected by the event.
Definition at line 90 of file defaultevent.cpp.
DefaultEvent | ( | const Date & | creditEventDate, |
const DefaultType & | atomicEvType, | ||
Currency | curr, | ||
Seniority | bondsSen, | ||
const Date & | settleDate, | ||
Real | recoveryRate | ||
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Use NoSeniority to settle to all seniorities with that recovery. In that case the event is assumed to have affected all seniorities.
Definition at line 108 of file defaultevent.cpp.
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overridevirtual |
returns the date at which the event occurs
Implements Event.
Definition at line 29 of file defaultevent.cpp.
bool isRestructuring | ( | ) | const |
Definition at line 114 of file defaultevent.hpp.
bool isDefault | ( | ) | const |
bool hasSettled | ( | ) | const |
Definition at line 116 of file defaultevent.hpp.
const DefaultSettlement & settlement | ( | ) | const |
Definition at line 119 of file defaultevent.hpp.
const DefaultType & defaultType | ( | ) | const |
const Currency & currency | ( | ) | const |
returns the currency of the bond this event refers to.
Definition at line 126 of file defaultevent.hpp.
Seniority eventSeniority | ( | ) | const |
returns the seniority of the bond that triggered the event.
Definition at line 130 of file defaultevent.hpp.
returns a value if the event lead to a settlement for the requested seniority. Specializations on the default atomics and recoveries could change the default policy.
Definition at line 137 of file defaultevent.hpp.
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virtual |
matches the event if this event would trigger a contract related to the requested event type. Notice the contractual event types are not neccesarily atomic. Notice it does not check seniority or currency only event type. typically used from Issuer
Reimplemented in BankruptcyEvent, and FailureToPayEvent.
Definition at line 150 of file defaultevent.hpp.
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virtual |
Returns true if this event would trigger a contract with the arguments characteristics.
Definition at line 123 of file defaultevent.cpp.
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overridevirtual |
Reimplemented from Event.
Definition at line 33 of file defaultevent.cpp.
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protected |
Definition at line 168 of file defaultevent.hpp.
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Definition at line 169 of file defaultevent.hpp.
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Definition at line 170 of file defaultevent.hpp.
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Definition at line 171 of file defaultevent.hpp.
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Definition at line 172 of file defaultevent.hpp.