QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <defaultevent.hpp>
Public Member Functions | |
Date | date () const override |
returns the date at which the event occurs More... | |
Real | recoveryRate (Seniority sen) 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 Member Functions | |
DefaultSettlement (const Date &date, const std::map< Seniority, Real > &recoveryRates) | |
DefaultSettlement (const Date &date=Date(), Seniority seniority=NoSeniority, Real recoveryRate=0.4) | |
Private Attributes | |
Date | settlementDate_ |
std::map< Seniority, Real > | recoveryRates_ |
Realized recovery rates. More... | |
Friends | |
class | DefaultEvent |
Definition at line 51 of file defaultevent.hpp.
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protected |
Default settlement events encode the settlement date and the recovery rates for the affected seniorities. Specific events might require different sets of recoveries to be present. The way these objects are constructed is a prerogative of the particular event class.
Definition at line 54 of file defaultevent.cpp.
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protected |
When NoSeniority is passed all seniorities are assumed to have settled to the recovery passed.
Definition at line 63 of file defaultevent.cpp.
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overridevirtual |
returns the date at which the event occurs
Implements Event.
Definition at line 42 of file defaultevent.cpp.
Returns the recovery rate of a default event which has already settled.
Definition at line 77 of file defaultevent.cpp.
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overridevirtual |
Reimplemented from Event.
Definition at line 46 of file defaultevent.cpp.
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friend |
Definition at line 53 of file defaultevent.hpp.
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private |
Definition at line 79 of file defaultevent.hpp.
Realized recovery rates.
Definition at line 81 of file defaultevent.hpp.