QuantLib: a free/open-source library for quantitative finance
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claim.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 StatPro Italia srl
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file claim.hpp
21 \brief Classes for default-event claims.
22*/
23
24#ifndef quantlib_claim_hpp
25#define quantlib_claim_hpp
26
28
29namespace QuantLib {
30
31 //! Claim associated to a default event
32 class Claim : public Observable, public Observer {
33 public:
34 ~Claim() override = default;
35 virtual Real amount(const Date& defaultDate,
36 Real notional,
37 Real recoveryRate) const = 0;
38 void update() override { notifyObservers(); }
39 };
40
41
42 //! Claim on a notional
43 class FaceValueClaim : public Claim {
44 public:
45 Real amount(const Date& d, Real notional, Real recoveryRate) const override;
46 };
47
48 //! Claim on the notional of a reference security, including accrual
50 public:
52 const ext::shared_ptr<Bond>& referenceSecurity);
53 Real amount(const Date& d, Real notional, Real recoveryRate) const override;
54
55 private:
56 ext::shared_ptr<Bond> referenceSecurity_;
57 };
58
59}
60
61
62#endif
concrete bond class
Claim associated to a default event.
Definition: claim.hpp:32
~Claim() override=default
void update() override
Definition: claim.hpp:38
virtual Real amount(const Date &defaultDate, Real notional, Real recoveryRate) const =0
Concrete date class.
Definition: date.hpp:125
Claim on the notional of a reference security, including accrual.
Definition: claim.hpp:49
Real amount(const Date &d, Real notional, Real recoveryRate) const override
Definition: claim.cpp:38
ext::shared_ptr< Bond > referenceSecurity_
Definition: claim.hpp:56
Claim on a notional.
Definition: claim.hpp:43
Real amount(const Date &d, Real notional, Real recoveryRate) const override
Definition: claim.cpp:24
Object that notifies its changes to a set of observers.
Definition: observable.hpp:62
Object that gets notified when a given observable changes.
Definition: observable.hpp:116
Date d
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35