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QuantLib_DefaultType
Langue: en
Version: 378095 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::DefaultType -Atomic credit-event type.
SYNOPSIS
#include <ql/experimental/credit/defaulttype.hpp>
Inherited by FailureToPay.
Public Member Functions
DefaultType (AtomicDefault::Type defType=AtomicDefault::Bankruptcy, Restructuring::Type restType=Restructuring::XR)
AtomicDefault::Type defaultType () const
Restructuring::Type restructuringType () const
bool isRestructuring () const
bool containsDefaultType (AtomicDefault::Type defType) const
bool containsRestructuringType (Restructuring::Type resType) const
Protected Attributes
AtomicDefault::Type defTypes_
Restructuring::Type restrType_
Detailed Description
Atomic credit-event type.
This class encapsulates the ISDA default contractual types and their combinations. Non-atomicity works only at the atomic type level, obviating the specific event characteristics which it is accounted for only in derived classes.
Member Function Documentation
bool containsDefaultType (AtomicDefault::Type defType) constReturns true if one or a set of event types is within this one and as such will be recognised as a trigger. Not the same as equality.
Notice that these methods do not include any event logical hierarchy. The match is in a strict sense. If event B is contained in (implied by) event A this would not send a match. This policies should be implemented at the CreditEvent class, which is polymorphic.
Author
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