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 | |
BankruptcyEvent (const Date &creditEventDate, const Currency &curr, Seniority bondsSen, const Date &settleDate, const std::map< Seniority, Real > &recoveryRates) | |
BankruptcyEvent (const Date &creditEventDate, const Currency &curr, Seniority bondsSen, const Date &settleDate, Real recoveryRates) | |
bool | matchesEventType (const ext::shared_ptr< DefaultType > &) const override |
This is a stronger than all event and will trigger all of them. More... | |
Public Member Functions inherited from DefaultEvent | |
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 () |
Additional Inherited Members | |
Protected Attributes inherited from DefaultEvent | |
Currency | bondsCurrency_ |
Date | defaultDate_ |
DefaultType | eventType_ |
Seniority | bondsSeniority_ |
DefaultSettlement | defSettlement_ |
Definition at line 225 of file defaultevent.hpp.
BankruptcyEvent | ( | const Date & | creditEventDate, |
const Currency & | curr, | ||
Seniority | bondsSen, | ||
const Date & | settleDate, | ||
Real | recoveryRates | ||
) |
Definition at line 216 of file defaultevent.cpp.
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overridevirtual |
This is a stronger than all event and will trigger all of them.
Reimplemented from DefaultEvent.
Definition at line 241 of file defaultevent.hpp.