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

Inheritance diagram for DefaultEvent::DefaultSettlement:

Collaboration diagram for DefaultEvent::DefaultSettlement:

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

Detailed Description

Definition at line 51 of file defaultevent.hpp.

Constructor & Destructor Documentation

◆ DefaultSettlement() [1/2]

DefaultSettlement	(	const Date &	date,
		const std::map< Seniority, Real > &	recoveryRates
	)

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.

◆ DefaultSettlement() [2/2]

DefaultSettlement	(	const Date &	date = `Date()`,
		Seniority	seniority = `NoSeniority`,
		Real	recoveryRate = `0.4`
	)

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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Member Function Documentation

◆ date()

Date date ( ) const

overridevirtual

returns the date at which the event occurs

Implements Event.

Definition at line 42 of file defaultevent.cpp.

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◆ recoveryRate()

Real recoveryRate ( Seniority sen ) const

Returns the recovery rate of a default event which has already settled.

Definition at line 77 of file defaultevent.cpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from Event.

Definition at line 46 of file defaultevent.cpp.

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Friends And Related Function Documentation

◆ DefaultEvent

friend class DefaultEvent

friend

Definition at line 53 of file defaultevent.hpp.

Member Data Documentation

◆ settlementDate_

Date settlementDate_

private

Definition at line 79 of file defaultevent.hpp.

◆ recoveryRates_

std::map<Seniority, Real> recoveryRates_