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

Collaboration diagram for Issuer:

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 > &currencies, 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

Detailed Description

Definition at line 40 of file issuer.hpp.

Member Typedef Documentation

◆ key_curve_pair

typedef std::pair<DefaultProbKey, Handle<DefaultProbabilityTermStructure> > key_curve_pair

Definition at line 44 of file issuer.hpp.

Constructor & Destructor Documentation

◆ Issuer() [1/2]

Issuer	(	std::vector< key_curve_pair >	probabilities = `std::vector< key_curve_pair >()`,
		DefaultEventSet	events = `DefaultEventSet()`
	)

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() [2/2]

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()`
	)

Definition at line 41 of file issuer.cpp.

Member Function Documentation

◆ defaultProbability()

const Handle< DefaultProbabilityTermStructure > & defaultProbability ( const DefaultProbKey & key ) const

Definition at line 60 of file issuer.cpp.

◆ defaultedBetween()

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.

Definition at line 68 of file issuer.cpp.

◆ defaultsBetween()

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.

Member Data Documentation

◆ probabilities_

std::vector<std::pair<DefaultProbKey, Handle<DefaultProbabilityTermStructure> > > probabilities_

private

probabilities of events for each bond collection

Definition at line 94 of file issuer.hpp.

◆ events_

DefaultEventSet events_