QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <issuer.hpp>
Public Types | |
typedef std::pair< DefaultProbKey, Handle< DefaultProbabilityTermStructure > > | key_curve_pair |
Public Member Functions | |
Issuer (std::vector< key_curve_pair > probabilities=std::vector< key_curve_pair >(), DefaultEventSet events=DefaultEventSet()) | |
Issuer (const std::vector< std::vector< ext::shared_ptr< DefaultType > > > &eventTypes, const std::vector< Currency > ¤cies, const std::vector< Seniority > &seniorities, const std::vector< Handle< DefaultProbabilityTermStructure > > &curves, DefaultEventSet events=DefaultEventSet()) | |
Inspectors | |
const Handle< DefaultProbabilityTermStructure > & | defaultProbability (const DefaultProbKey &key) const |
Utilities | |
std::vector< std::pair< DefaultProbKey, Handle< DefaultProbabilityTermStructure > > > | probabilities_ |
probabilities of events for each bond collection More... | |
DefaultEventSet | events_ |
History of past events affecting this issuer. Notice it is possible. More... | |
ext::shared_ptr< DefaultEvent > | defaultedBetween (const Date &start, const Date &end, const DefaultProbKey &key, bool includeRefDate=false) const |
If a default event with the required seniority and. More... | |
std::vector< ext::shared_ptr< DefaultEvent > > | defaultsBetween (const Date &start, const Date &end, const DefaultProbKey &contractKey, bool includeRefDate) const |
Definition at line 40 of file issuer.hpp.
typedef std::pair<DefaultProbKey, Handle<DefaultProbabilityTermStructure> > key_curve_pair |
Definition at line 44 of file issuer.hpp.
Issuer | ( | std::vector< key_curve_pair > | probabilities = std::vector< key_curve_pair >() , |
DefaultEventSet | events = DefaultEventSet() |
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The first argument represents the probability of an issuer of having any of its bonds with the given seniority, currency incurring in that particular event. The second argument represents the history of past events. Theres no check on whether the event list makes sense, events can occur several times and several of them can take place on the same date.
To do: add settlement event access
Issuer | ( | const std::vector< std::vector< ext::shared_ptr< DefaultType > > > & | eventTypes, |
const std::vector< Currency > & | currencies, | ||
const std::vector< Seniority > & | seniorities, | ||
const std::vector< Handle< DefaultProbabilityTermStructure > > & | curves, | ||
DefaultEventSet | events = DefaultEventSet() |
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) |
Definition at line 41 of file issuer.cpp.
const Handle< DefaultProbabilityTermStructure > & defaultProbability | ( | const DefaultProbKey & | key | ) | const |
Definition at line 60 of file issuer.cpp.
ext::shared_ptr< DefaultEvent > defaultedBetween | ( | const Date & | start, |
const Date & | end, | ||
const DefaultProbKey & | key, | ||
bool | includeRefDate = false |
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) | const |
If a default event with the required seniority and.
Definition at line 68 of file issuer.cpp.
std::vector< ext::shared_ptr< DefaultEvent > > defaultsBetween | ( | const Date & | start, |
const Date & | end, | ||
const DefaultProbKey & | contractKey, | ||
bool | includeRefDate | ||
) | const |
Definition at line 84 of file issuer.cpp.
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private |
probabilities of events for each bond collection
Definition at line 94 of file issuer.hpp.
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private |
History of past events affecting this issuer. Notice it is possible.
Definition at line 98 of file issuer.hpp.