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QuantLib_RiskyBond
Langue: en
Version: 378429 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- Member Function Documentation
- void setupExpired () const [protected, virtual]This method must leave the instrument in a consistent state when the expiration condition is met.
- void performCalculations () const [protected, virtual]In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
- Author
NAME
QuantLib::RiskyBond -SYNOPSIS
#include <ql/experimental/credit/riskybond.hpp>
Inherits QuantLib::Instrument.
Inherited by RiskyFixedBond, and RiskyFloatingBond.
Public Member Functions
RiskyBond (std::string name, Currency ccy, Real recoveryRate, Handle< DefaultProbabilityTermStructure > defaultTS, Handle< YieldTermStructure > yieldTS)
virtual std::vector< boost::shared_ptr< CashFlow > > cashflows () const =0
std::vector< boost::shared_ptr< CashFlow > > expectedCashflows ()
virtual Real notional (Date date=Date::minDate()) const =0
virtual Date effectiveDate () const =0
virtual Date maturityDate () const =0
virtual std::vector< boost::shared_ptr< CashFlow > > interestFlows () const =0
virtual std::vector< boost::shared_ptr< CashFlow > > notionalFlows () const =0
Real riskfreeNPV () const
Real totalFutureFlows () const
std::string name () const
Currency ccy () const
Handle< YieldTermStructure > yieldTS () const
Handle< DefaultProbabilityTermStructure > defaultTS () const
Real recoveryRate () const
Instrument interface
bool isExpired () const
returns whether the instrument might have value greater than zero.
Protected Member Functions
void setupExpired () const
void performCalculations () const
Detailed Description
Base class for default risky bonds
Member Function Documentation
void setupExpired () const [protected, virtual]This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
void performCalculations () const [protected, virtual]In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
Reimplemented from Instrument.
Author
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