DefaultEvent Class Reference

Credit event on a bond of a certain seniority(ies)/currency. More...

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

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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=Null< Date >(), Real recoveryRate=0.4)
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

Detailed Description

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.

Member Typedef Documentation

rate_map

typedef std::map<Seniority, Real> rate_map

private

Definition at line 86 of file defaultevent.hpp.

Constructor & Destructor Documentation

DefaultEvent() [1/2]

DefaultEvent	(	const Date &	creditEventDate,
		const DefaultType &	atomicEvType,
		Currency	curr,
		Seniority	bondsSen,
		const Date &	settleDate = Null<Date>(),
		const std::map< Seniority, Real > &	recoveryRates = rate_map()
	)

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() [2/2]

DefaultEvent	(	const Date &	creditEventDate,
		const DefaultType &	atomicEvType,
		Currency	curr,
		Seniority	bondsSen,
		const Date &	settleDate = Null<Date>(),
		Real	recoveryRate = 0.4
	)

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.

Member Function Documentation

date()

Date date ( ) const

overridevirtual

returns the date at which the event occurs

Implements Event.

Definition at line 29 of file defaultevent.cpp.

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isRestructuring()

bool isRestructuring

(

)

const

Definition at line 114 of file defaultevent.hpp.

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isDefault()

bool isDefault

(

)

const

Definition at line 115 of file defaultevent.hpp.

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hasSettled()

bool hasSettled

(

)

const

Definition at line 116 of file defaultevent.hpp.

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settlement()

const DefaultSettlement & settlement

(

)

const

Definition at line 119 of file defaultevent.hpp.

defaultType()

const DefaultType & defaultType

(

)

const

Definition at line 122 of file defaultevent.hpp.

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currency()

const Currency & currency

(

)

const

returns the currency of the bond this event refers to.

Definition at line 126 of file defaultevent.hpp.

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eventSeniority()

Seniority eventSeniority

(

)

const

returns the seniority of the bond that triggered the event.

Definition at line 130 of file defaultevent.hpp.

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recoveryRate()

virtual Real recoveryRate ( Seniority  seniority ) const

virtual

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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matchesEventType()

virtual bool matchesEventType ( const ext::shared_ptr< DefaultType > &  contractEvType ) const

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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matchesDefaultKey()

bool matchesDefaultKey ( const DefaultProbKey &  contractKey ) const

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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accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from Event.

Definition at line 33 of file defaultevent.cpp.

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Member Data Documentation

bondsCurrency_

Currency bondsCurrency_

protected

Definition at line 168 of file defaultevent.hpp.

defaultDate_

Date defaultDate_

protected

Definition at line 169 of file defaultevent.hpp.

eventType_

DefaultType eventType_

protected

Definition at line 170 of file defaultevent.hpp.

bondsSeniority_

Seniority bondsSeniority_

protected

Definition at line 171 of file defaultevent.hpp.

defSettlement_

DefaultSettlement defSettlement_

protected

Definition at line 172 of file defaultevent.hpp.